Sharpe Ratio: International Evidence

18 Pages Posted: 17 Apr 2016 Last revised: 4 Dec 2023

See all articles by Marta Vidal

Marta Vidal

Universidad Europea de Madrid; Universidad Complutense de Madrid (UCM)

Javier Vidal-García

Complutense University of Madrid; Harvard University

Date Written: August 15, 2023

Abstract

There is no overall consensus about which measure is the most suitable for evaluating portfolios’ performance. Despite being affected by some of the statistical characteristics of returns, Sharpe ratio is the most widely used measure for portfolio performance evaluation. Thus, the other measures such as Treynor ratio or Modigliani and Modigliani (M2) are considered as alternatives to the Sharpe ratio. Using daily and monthly returns, our study confirms that these measures provide comparable results across countries, even examining the relative performance of mutual funds to a benchmark using the M2 approach. We obtain the same performance ranking regardless of the measure employed.

Keywords: Mutual Fund; Performance Measurement; Sharpe Ratio; Treynor Ratio

JEL Classification: G11, G12

Suggested Citation

Vidal, Marta and Vidal-García, Javier and Vidal-García, Javier, Sharpe Ratio: International Evidence (August 15, 2023). Available at SSRN: https://ssrn.com/abstract=2765647 or http://dx.doi.org/10.2139/ssrn.2765647

Marta Vidal

Universidad Europea de Madrid ( email )

Villaviciosa de Odón
Madrid, 28670
Spain

Universidad Complutense de Madrid (UCM) ( email )

Somosaguas Campus
Madrid, 28223
Spain

Javier Vidal-García (Contact Author)

Complutense University of Madrid ( email )

School of Business Administration
Somosaguas Campus
Madrid, Madrid 28223
Spain

Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

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