This page lists the annualised Sharpe ratios for a selection of assets, based on weekly historical returns, measured from close of Friday to close of Friday.
The Sharpe ratio is the ratio of excess returns (i.e. returns above the risk-free rate) to volatility.
| Asset | Sharpe | Ann. return | Ann. volatility | Max drawdown | Total return | Data since | |
|---|---|---|---|---|---|---|---|
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* Asset had fewer weeks of data than the selected range.