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Sharpe benchmark

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Definition of Sharpe benchmark

Sharpe Benchmark Image 1

Sharpe benchmark

A statistically created benchmark that adjusts for a managers' index-like tendencies.



Related Terms:

Benchmark

The performance of a predetermined set of securities, for comparison purposes. Such sets may be
based on published indexes or may be customized to suit an investment strategy.


Benchmark error

Use of an inappropriate proxy for the true market portfolio.


Benchmark interest rate

Also called the base interest rate, it is the minimum interest rate investors will
demand for investing in a non-Treasury security. It is also tied to the yield to maturity offered on a
comparable-maturity Treasury security that was most recently issued ("on-the-run").


Benchmark issues

Also called on-the-run or current coupon issues or bellwether issues. In the secondary
market, it's the most recently auctioned Treasury issues for each maturity.


Customized benchmarks

A benchmark that is designed to meet a client's requirements and long-term
objectives.



Posttrade benchmarks

Prices after the decision to trade.


Pre-trade benchmarks

Prices occurring before or at the decision to trade.


Sharpe Benchmark Image 2

Sharpe ratio

A measure of a portfolio's excess return relative to the total variability of the portfolio. Related:
treynor index


Benchmark

A standard by which something may be compared and measured


benchmarking

the process of investigating how others do something better so that the investigating company can imitate,
and possibly improve upon, their techniques


process benchmarking

benchmarking that focuses on practices and how the best-in-class companies achieved their results


results benchmarking

benchmarking in which an end product or service is examined; the focus is on product/service specifications and performance results



 

 

 

 

 

 

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