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Modified Sharpe Ratio
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<p><span>In this paper, we use a large dataset of mutual funds in 35 countries worldwide for the from 1990 to 2024 interval, we evaluate the current Sharpe ratio and create a new ratio, which originated from the Sharpe's original ratio and replaces the absolute return premium in the numerator of the Sharpe ratio for a new relative premium, in this sense we solve the inconsistency problem related to the innapropriate treatment of risk in the original Sharpe ratio in certain situations. There are circunstances that can occur in financial markets without apparent logic in the long term in which the application of the original Sharpe ratio can lead to inconsistencies in portfolio evaluation based on its efficiency. To solve this issue, we present an alternative Sharpe ratio that overcomes these inconsistencies without violating the basic principles on which is inspired the original Sharpe ratio.</span></p>
Title: Modified Sharpe Ratio
Description:
<p><span>In this paper, we use a large dataset of mutual funds in 35 countries worldwide for the from 1990 to 2024 interval, we evaluate the current Sharpe ratio and create a new ratio, which originated from the Sharpe's original ratio and replaces the absolute return premium in the numerator of the Sharpe ratio for a new relative premium, in this sense we solve the inconsistency problem related to the innapropriate treatment of risk in the original Sharpe ratio in certain situations.
There are circunstances that can occur in financial markets without apparent logic in the long term in which the application of the original Sharpe ratio can lead to inconsistencies in portfolio evaluation based on its efficiency.
To solve this issue, we present an alternative Sharpe ratio that overcomes these inconsistencies without violating the basic principles on which is inspired the original Sharpe ratio.
</span></p>.
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