Sharp ratio, Treno index and Zhan Sen index are three classic risk-adjusted return indicators.
1, Sharp ratio refers to the excess return of investment products under unit risk. The higher the Sharp ratio of investment wealth management products, the higher the excess return and the better the performance of investment wealth management products under the premise of taking the same risks.
2. The Treynor index takes the system risk of investment and wealth management products as the income adjustment factor, reflecting the excess income obtained by investment and wealth management products taking on the unit system risk. The greater the index value, the higher the excess return obtained by taking the risk of unit system.
3. The Zhan Sen index reflects the excess return of investment and wealth management products relative to market portfolio (that is, the average return level), and the larger the index value, the better.
Sharp ratio is the ratio of excess return to volatility, in which excess return refers to the income of the fund MINUS the risk-free interest rate; Volatility refers to the standard deviation of fund income sequence, which represents the risk of fund. Through this index, we can measure the income compensation that the fund can get for each unit risk.
Based on this concept, let's make another calculation: we choose the strategic performance of the fund according to the historical risk adjustment income of the fund. Specifically, at the beginning of each year, we choose the funds with the former Sharp ratio of 1, 3 years and 5 years respectively, and hold them for one year to observe their income.