{"id":1858,"date":"2025-04-26T11:44:49","date_gmt":"2025-04-26T07:44:49","guid":{"rendered":"https:\/\/eoninvestment.com\/?p=1858"},"modified":"2026-04-13T16:34:00","modified_gmt":"2026-04-13T12:34:00","slug":"capm-2","status":"publish","type":"post","link":"https:\/\/eoninvestment.com\/ka\/2025\/04\/26\/capm-2\/","title":{"rendered":"<span class=\"eon-recovered-georgian-title\" data-no-translation=\"\">Sharpe-\u10d8\u10e1 \u10d7\u10d0\u10dc\u10d0\u10e4\u10d0\u10e0\u10d3\u10dd\u10d1\u10d0<\/span>"},"content":{"rendered":"<p class=\"wp-block-paragraph\">It is generally believed that an investment portfolio is better constructed the higher its Sharpe ratio (Sharpe Ratio \u2013 William F. Sharpe).<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">The Sharpe ratio describes the relationship between a portfolio&#8217;s risk premium and its risk:<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Sharpe Ratio = Risk Premium\/Standard Deviation<br \/>Sharpe Ratio = (Return-Risk Free Rate) \/ \u03b4<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>Why is this interesting?<\/strong><\/p>\n\n\n\n<p class=\"wp-block-paragraph\">In the graph below, dots represent 1,000 randomized combinations of five different stocks (IBKR, PDD, GOOG, COIN, CROX), showing the trade-off between portfolio return and risk.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">The higher and more to the left we are positioned on this &#8220;cloud&#8221; (the <strong>Efficient Frontier<\/strong>), the better the expected return-to-risk ratio of the portfolio (based on 3-year historical data).<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><img data-recalc-dims=\"1\" loading=\"lazy\" decoding=\"async\" width=\"609\" height=\"373\" data-attachment-id=\"6511\" data-permalink=\"https:\/\/eoninvestment.com\/ka\/2025\/04\/26\/capm-2\/image-423\/\" data-orig-file=\"https:\/\/i0.wp.com\/eoninvestment.com\/wp-content\/uploads\/2024\/12\/image-48.png?fit=609%2C373&amp;ssl=1\" data-orig-size=\"609,373\" data-comments-opened=\"1\" data-image-meta=\"{&quot;aperture&quot;:&quot;0&quot;,&quot;credit&quot;:&quot;&quot;,&quot;camera&quot;:&quot;&quot;,&quot;caption&quot;:&quot;&quot;,&quot;created_timestamp&quot;:&quot;0&quot;,&quot;copyright&quot;:&quot;&quot;,&quot;focal_length&quot;:&quot;0&quot;,&quot;iso&quot;:&quot;0&quot;,&quot;shutter_speed&quot;:&quot;0&quot;,&quot;title&quot;:&quot;&quot;,&quot;orientation&quot;:&quot;0&quot;}\" data-image-title=\"image\" data-image-description=\"\" data-image-caption=\"\" data-large-file=\"https:\/\/i0.wp.com\/eoninvestment.com\/wp-content\/uploads\/2024\/12\/image-48.png?fit=609%2C373&amp;ssl=1\" class=\"wp-image-6511\" style=\"width: 700px\" src=\"https:\/\/i0.wp.com\/eoninvestment.com\/wp-content\/uploads\/2024\/12\/image-48.png?resize=609%2C373&#038;ssl=1\" alt=\"\"\/><\/p>\n\n\n\n<p class=\"wp-block-paragraph\">On the graph, a straight line (the Capital Market Line) originates from the risk-free rate (10Y T-Bond) and touches the upper part of the cloud.<br \/>At the point of contact, the Sharpe ratio reaches its maximum \u2014 meaning the portfolio is at its most optimized point.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">This straight line is called the <strong>Capital Market Line (CML)<\/strong>, and it represents the trade-off between risk and return for a portfolio made up of a combination of risky assets and a risk-free asset.<br \/>At the point of tangency, you have the optimized market portfolio.<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>If you combine this optimized portfolio with risk-free assets (e.g., by buying Treasury bonds), your combined portfolio will move <em>down<\/em> the line, decreasing both risk and return \u2014 but the Sharpe ratio stays the same.<\/li>\n\n\n\n<li>If you are willing to take on more risk (e.g., by leveraging your position), you can move <em>up<\/em> the line.<\/li>\n<\/ul>\n\n\n\n<p class=\"wp-block-paragraph\"><img data-recalc-dims=\"1\" loading=\"lazy\" decoding=\"async\" width=\"800\" height=\"282\" data-attachment-id=\"1859\" data-permalink=\"https:\/\/eoninvestment.com\/ka\/1697178173656\/\" data-orig-file=\"https:\/\/i0.wp.com\/eoninvestment.com\/wp-content\/uploads\/2024\/05\/1697178173656.jpeg?fit=800%2C282&amp;ssl=1\" data-orig-size=\"800,282\" data-comments-opened=\"1\" data-image-meta=\"{&quot;aperture&quot;:&quot;0&quot;,&quot;credit&quot;:&quot;&quot;,&quot;camera&quot;:&quot;&quot;,&quot;caption&quot;:&quot;&quot;,&quot;created_timestamp&quot;:&quot;0&quot;,&quot;copyright&quot;:&quot;&quot;,&quot;focal_length&quot;:&quot;0&quot;,&quot;iso&quot;:&quot;0&quot;,&quot;shutter_speed&quot;:&quot;0&quot;,&quot;title&quot;:&quot;&quot;,&quot;orientation&quot;:&quot;0&quot;}\" data-image-title=\"Effective Frontier\" data-image-description=\"\" data-image-caption=\"\" data-large-file=\"https:\/\/i0.wp.com\/eoninvestment.com\/wp-content\/uploads\/2024\/05\/1697178173656.jpeg?fit=800%2C282&amp;ssl=1\" class=\"wp-image-1859\" style=\"width: 750px\" src=\"https:\/\/i0.wp.com\/eoninvestment.com\/wp-content\/uploads\/2024\/05\/1697178173656.jpeg?resize=800%2C282&#038;ssl=1\" alt=\"\"\/><\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>\u10ec\u10e7\u10d0\u10e0\u10dd:<\/strong> <em>Principles of Corporate Finance<\/em> \u2013 by Richard Brealey, Stewart Myers, and Franklin Allen<\/p>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\"\/>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>Interesting details:<\/strong><\/p>\n\n\n\n<p class=\"wp-block-paragraph\">In reality, the CML relates to the <strong>market portfolio<\/strong>, not any individual investor\u2019s portfolio.<br \/>Therefore, the more diversified your personal portfolio is, the more your &#8220;cloud&#8221; will shift to the left, as specific risks are minimized and only systematic (market) risk remains.<br \/>(One good diversification strategy is adding real estate to an equity portfolio.)<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Also, because we are talking about the market portfolio, at the point of contact (tangency point), the portfolio beta (\u03b2) equals 1.<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Above the CML line, \u03b2 > 1 (higher risk)<\/li>\n\n\n\n<li>Below the CML line, \u03b2 < 1 (lower risk)<\/li>\n<\/ul>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>It&#8217;s considered good when the Sharpe ratio is above 1; a ratio near 2 is seen as very good, and near 3 is rare and excellent.<\/strong><\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong><a href=\"https:\/\/eoninvestment.com\/wp-content\/uploads\/2025\/04\/optimizer.5.xlsx\">Optimizer in Excel:<\/a><\/strong><br \/>In this model, you can optimize across five stocks.<br \/>If you are interested, it\u2019s easy to expand the model to include more stocks.<br \/>However, keep in mind that this model does <strong>not<\/strong> account for dividend statistics, so it\u2019s best suited for stocks that do not distribute dividends.<\/p>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\"\/>\n\n\n\n<p class=\"wp-block-paragraph\"><\/p>","protected":false},"excerpt":{"rendered":"<p>\u10d8\u10d7\u10d5\u10da\u10d4\u10d1\u10d0 \u10e0\u10dd\u10db \u10e1\u10d0\u10d8\u10dc\u10d5\u10d4\u10e1\u10e2\u10d8\u10ea\u10d8\u10dd \u10de\u10dd\u10e0\u10d7\u10e4\u10d4\u10da\u10d8 \u10db\u10d8\u10d7 \u10e3\u10e4\u10e0\u10dd \u10d9\u10d0\u10e0\u10d2\u10d0\u10d3 \u10d0\u10e0\u10d8\u10e1 \u10d0\u10d2\u10d4\u10d1\u10e3\u10da\u10d8 \u10e0\u10d0\u10ea \u10e3\u10e4\u10e0\u10dd \u10e3\u10d9\u10d4\u10d7\u10d4\u10e1\u10d8\u10d0 \u10e8\u10d0\u10e0\u10de\u10d8\u10e1 \u10d7\u10d0\u10dc\u10d0\u10e4\u10d0\u10e0\u10d3\u10dd\u10d1\u10d8\u10e1 \u10db\u10e9\u10d5\u10d4\u10dc\u10d4\u10d1\u10d4\u10da\u10d8 (Sharpe Ratio &#8211; William F. Sharpe). \u10db\u10d0\u10e9\u10d5\u10d4\u10dc\u10d4\u10d1\u10d4\u10da\u10d8 \u10d0\u10e6\u10ec\u10d4\u10e0\u10e1 \u10de\u10dd\u10e0\u10d7\u10e4\u10d4\u10da\u10d8\u10e1 \u10e0\u10d8\u10e1\u10d9\u10d8\u10e1 \u10de\u10e0\u10d4\u10db\u10d8\u10e3\u10db\u10e1\u10d0 \u10d3\u10d0 \u10e0\u10d8\u10e1\u10d9\u10e1 \u10e8\u10dd\u10e0\u10d8\u10e1 \u10d7\u10d0\u10dc\u10d0\u10e4\u10d0\u10e0\u10d3\u10dd\u10d1\u10d0\u10e1. Sharpe Ratio [\u2026]<\/p>","protected":false},"author":12998525,"featured_media":6511,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_coblocks_attr":"","_coblocks_dimensions":"","_coblocks_responsive_height":"","_coblocks_accordion_ie_support":"","_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":false,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"_wpcom_ai_launchpad_first_post":false,"_eon_insights_quality":"","_eon_insights_decision":"","_eon_insights_destination":"","_eon_insights_merge_group":"","_eon_insights_required_changes":"","_eon_insights_start_order":0,"_eon_featured_insight":0,"_eon_insights_map_version":"","_jetpack_feature_clip_id":0,"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":false,"jetpack_social_options":{"image_generator_settings":{"template":"highway","default_image_id":0,"font":"","enabled":false},"version":2},"jetpack_post_was_ever_published":false},"categories":[774675666,37372],"tags":[],"eon_topic":[],"eon_learning_path":[],"eon_collection":[],"eon_level":[784445726],"eon_content_type":[],"eon_source":[784445716],"eon_idea":[784445690],"eon_framework":[],"class_list":["post-1858","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-principles-of-corporate-finance-by-f-allen-r-a-brealey-s-myers","category-risk","eon_level-basic","eon_source-principles-of-corporate-finance-by-f-allen-r-a-brealey-s-myers","eon_idea-risk"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v28.5 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Sharpe Ratio - Eon Investment<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/eoninvestment.com\/ka\/2025\/04\/26\/capm-2\/\" \/>\n<meta property=\"og:locale\" content=\"ka_GE\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Sharpe Ratio - Eon Investment\" \/>\n<meta property=\"og:description\" content=\"\u10d8\u10d7\u10d5\u10da\u10d4\u10d1\u10d0 \u10e0\u10dd\u10db \u10e1\u10d0\u10d8\u10dc\u10d5\u10d4\u10e1\u10e2\u10d8\u10ea\u10d8\u10dd \u10de\u10dd\u10e0\u10d7\u10e4\u10d4\u10da\u10d8 \u10db\u10d8\u10d7 \u10e3\u10e4\u10e0\u10dd \u10d9\u10d0\u10e0\u10d2\u10d0\u10d3 \u10d0\u10e0\u10d8\u10e1 \u10d0\u10d2\u10d4\u10d1\u10e3\u10da\u10d8 \u10e0\u10d0\u10ea \u10e3\u10e4\u10e0\u10dd \u10e3\u10d9\u10d4\u10d7\u10d4\u10e1\u10d8\u10d0 \u10e8\u10d0\u10e0\u10de\u10d8\u10e1 \u10d7\u10d0\u10dc\u10d0\u10e4\u10d0\u10e0\u10d3\u10dd\u10d1\u10d8\u10e1 \u10db\u10e9\u10d5\u10d4\u10dc\u10d4\u10d1\u10d4\u10da\u10d8 (Sharpe Ratio - William F. Sharpe). \u10db\u10d0\u10e9\u10d5\u10d4\u10dc\u10d4\u10d1\u10d4\u10da\u10d8 \u10d0\u10e6\u10ec\u10d4\u10e0\u10e1 \u10de\u10dd\u10e0\u10d7\u10e4\u10d4\u10da\u10d8\u10e1 \u10e0\u10d8\u10e1\u10d9\u10d8\u10e1 \u10de\u10e0\u10d4\u10db\u10d8\u10e3\u10db\u10e1\u10d0 \u10d3\u10d0 \u10e0\u10d8\u10e1\u10d9\u10e1 \u10e8\u10dd\u10e0\u10d8\u10e1 \u10d7\u10d0\u10dc\u10d0\u10e4\u10d0\u10e0\u10d3\u10dd\u10d1\u10d0\u10e1. 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Sharpe). \u10db\u10d0\u10e9\u10d5\u10d4\u10dc\u10d4\u10d1\u10d4\u10da\u10d8 \u10d0\u10e6\u10ec\u10d4\u10e0\u10e1 \u10de\u10dd\u10e0\u10d7\u10e4\u10d4\u10da\u10d8\u10e1 \u10e0\u10d8\u10e1\u10d9\u10d8\u10e1 \u10de\u10e0\u10d4\u10db\u10d8\u10e3\u10db\u10e1\u10d0 \u10d3\u10d0 \u10e0\u10d8\u10e1\u10d9\u10e1 \u10e8\u10dd\u10e0\u10d8\u10e1 \u10d7\u10d0\u10dc\u10d0\u10e4\u10d0\u10e0\u10d3\u10dd\u10d1\u10d0\u10e1. 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