Tag Archives: sharpe ratio

On Alphaville, Matthew Klein discusses recent work by Jorda, Knoll, Kuvshinov, Schularick, and Taylor (“The Rate of Return on Everything, 1870–2015“) according to which Residential real estate, not equity, has been the best long-run investment over the course of modern history. … but they didn’t calculate the returns most homeowners actually experience. Most people borrow to buy housing and most people live in their properties without renting them out. This makes a big difference. … Net...

Standard deviation (sigma σ) measures volatility or the dispersion of random values around the mean of a variable such as a portfolio or individual stock prices, but does not measure the direction of a trend. Standard Deviation as volatility measure What has become the bedrock of finance is an out-of-date almost universally accepted finance theory, which uses the statistical normal distribution (the Gaussian bell curve) as the measure of risk per se. In reality stocks are found not to be...