Professor William F. Sharpe's Thoughts on his own "Sharpe Ratio"
Dr. Sharpe's thoughts on his original paper, Sharpe 1966, and how it's evolved since then
Hi Friends,
I thought you would enjoy this by Dr. Sharpe going over his original paper that introduced the “Sharpe Ratio”…
Over 25 years ago, in Sharpe [1966], I introduced a measure for the performance of mutual funds and proposed the term reward-to-variability ratio to describe it (the measure is also described in Sharpe [1975] ). While the measure has gained considerable popularity, the name has not. Other authors have termed the original version the Sharpe Index (Radcliff [1990, p. 286] and Haugen [1993, p. 315]), the Sharpe Measure (Bodie, Kane and Marcus [1993, p. 804], Elton and Gruber [1991, p. 652], and Reilly [1989, p.803]), or the Sharpe Ratio (Morningstar [1993, p. 24]). Generalized versions have also appeared under various names (see. for example, BARRA [1992, p. 21] and Capaul, Rowley and Sharpe [1993, p. 33]). Bowing to increasingly common usage, this article refers to both the original measure and more generalized versions as the Sharpe Ratio. My goal here is to go well beyond the discussion of the original measure in Sharpe [1966] and Sharpe [1975], providing more generality and covering a broader range of applications.
Enjoy!
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Stay quanty!
All the best,
Sebastian
https://web.stanford.edu/~wfsharpe/art/sr/sr.htm