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Table of Contents

Sharpe Ratio v/s VaR Worksheet

  • The chart shows Sharpe Ratio and One Day VaR (or Value at Risk) for individual securities, custodians, asset classes or contract types as chosen by the User.
    • Sharpe Ratio is a popular measure of Risk / Return (values above 1 are considered good).
    • Value at Risk is a popular measure of risk being taken and is an estimate of likely single day change (whether up or down) in value of that particular investment.

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