Sharpe ratio 74If the fund has a higher Sharpe ratio than the market, it is positioned above the CML, and it is considered to have a good performance, i.e. the fund “outperformed the market”(and vice versa).
Sharpe ratio is sensitive to the magnitude of the excess return captured by the manager.
Sharpe ratio is sensitive to the number of different securities for which a manager captured excess returns.
Single-period random cash flows:
CAPM - Performance measurement