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Sharpe ratios, along with Treynor ratios and Jensen's alphas, are often used to rank the performance of portfolio or mutual fund managers. Berkshire Hathaway had a Sharpe ratio of 0.79 for the period 1976 to 2017, higher than any other stock or mutual fund with a history of more than 30 years.
It always matches the share price performance (including dividends, etc.). Unless this feature of the time-weighted return is the desired objective, it arguably makes the time-weighted method less informative than alternative methodologies for investment performance attribution at the level of individual instruments.
A 2024 study evaluates the formula for the U.S. market from 1963 to 2022 and compares it with the performance of the Piotroski F-Score, Acquirer’s Multiple, and Conservative Formula. The study finds that all four formulas generate significant raw and risk-adjusted returns, primarily by providing efficient exposure to well-established style ...
The simple Dietz method [1] is a means of measuring historical investment portfolio performance, compensating for external flows into/out of the portfolio during the period. [2] The formula for the simple Dietz return is as follows: = + / where is the portfolio rate of return,
Turning to performance, the Invesco fund has been one of the top-performing ETFs for a while. Over the last decade, for instance, the Invesco fund has generated a compound annual growth rate (CAGR ...
A 2024 study evaluates the formula for the U.S. market from 1963 to 2022 and compares it with the performance of the Magic Formula, F-Score, and Acquirer’s Multiple. The study finds that all four formulas generate significant raw and risk-adjusted returns, primarily by providing efficient exposure to well-established style factors.