What is the Sharpe ratio of the S&P 500?
2.02
The current S&P 500 Portfolio Sharpe ratio is 2.02. A Sharpe ratio higher than 2.0 is considered very good.
Is a Sharpe ratio of 1.6 good?
Usually, any Sharpe ratio greater than 1.0 is considered acceptable to good by investors. A ratio higher than 2.0 is rated as very good. A ratio of 3.0 or higher is considered excellent. A ratio under 1.0 is considered sub-optimal.
What is the market’s Sharpe ratio?
What Is the Sharpe Ratio? The Sharpe ratio was developed by Nobel laureate William F. Sharpe and is used to help investors understand the return of an investment compared to its risk. 1 The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk.
Which stock has the highest Sharpe ratio?
High Sharpe Ratio Dividend Stocks in the S&P 500
- Mid-America Apartment Communities, Inc. (NYSE: MAA)
- WEC Energy Group, Inc. (NYSE: WEC)
- Sysco Corporation (NYSE: SYY) Number of Hedge Fund Holders: 40 Dividend Yield: 2.4% Sharpe Ratio: 1.2.
- Broadcom Inc. (NASDAQ: AVGO)
- Xcel Energy Inc. (NASDAQ: XEL)
What is Sharpe ratio of Bitcoin?
The current Bitcoin USD Sharpe ratio is -0.29.
Does Sharpe ratio matter?
Sharpe ratios are used extensively by hedge funds but are not typically used by individual investors. You should care about your Sharpe ratio because a low ratio means you’re almost automatically getting poor returns compared to what you could get if you allocated to better investments.
Can we use Sharpe ratio to evaluate a single investment?
The ratio can be used to evaluate a single stock or investment, or an entire portfolio.
What does a Sharpe ratio of 0.2 mean?
A Sharpe Ratio of 0.2 means volatility of the returns is 5x the average return. Some investors may not want investments that are up 10% one month and down 15% the next month, etc., even if the investment offers a higher overall average return.
What are the highest dividend stocks in the S&P 500?
Nine highest-paying dividend stocks in the S&P 500:
- Exxon Mobil Corp. (XOM)
- The Williams Companies Inc. (WMB)
- Oneok Inc. (OKE)
- PPL Corp. (PPL)
- Kinder Morgan Inc. (KMI)
- Altria Group Inc. (MO)
- AT Inc. (T)
- Lumen Technologies Inc. (LUMN)
What are the Sharpe ratios of S&P 500 stocks?
This filters for S&P 500 stocks with forward P/E ratios less than or equal to 15. The remaining stocks in this Excel document are S&P 500 stocks with Sharpe Ratios higher than 1 and forward price-to-earnings ratios less than 15. You now have a solid fundamental understanding of how to use the Sharpe Ratios list to find investment ideas.
How do I filter for stocks with high Sharpe ratios?
Step 1: Download the Sharpe Ratio Stocks List by clicking here. Step 2: Click the filter icon at the top of the Sharpe Ratio column, as shown below. Step 3: Change the filter setting to “Greater Than” and input 1 into the field beside it, as shown below. This filters for S&P 500 stocks with Sharpe Ratios higher than 1.
Do stocks recover after a bad Sharpe ratio year?
Stocks have tended to do better after a “bad” Sharpe ratio year than a good Sharpe year. If you split the 87 years in our dataset in half, the 43 worst Sharpe years saw an arithmetic return about 2.8% higher in the next year than the 43 years with the best Sharpe ratio.
How to determine the Sharpe ration?
Determination of the Sharpe ration thus can require a large number of repetitive calculations. This can be done easily and conveniently via a Microsoft Excel spreadsheet, as will be demonstrated later. The Sharpe ratio is calculated with the following formula: The risk free rate of return can be different depending on your use case.