抱歉兄弟，发现昨天回你有关Sharpe Ratio的帖子计算有错误。原公式中收益是年收益，而标准差则应该是月收益统计的标准差，这个许多资料中都没讲，我今天挖了很深才搞清楚。改正后计算出的Sharpe Ratio应该没有什么问题。两个例子，纳指和标普500计算出的Sharpe Ratio如下（假设无风险回报是4%），似乎都还合理。再次抱歉没有完全搞清楚就发言了。握手。
纳指：
| Since 2009 | ||
| Mean | 18.13% | |
| Standard deviation | 5.10% | |
| Sharp Ratio | 2.77 | |
| Past 10 years | ||
| Mean | 18.08% | |
| Standard deviation | 5.33% | |
| Sharp Ratio | 2.64 | |
| Past 5 years | ||
| Mean | 14.01% | |
| Standard deviation | 5.62% | |
| Sharp Ratio | 1.78 | |
| Past 3 years | ||
| Mean | 27.25% | |
| Standard deviation | 4.74% | |
| Sharp Ratio | 4.91 | |
| Mean is for annual return; | ||
| Standard deviation is for monthly return. | ||
标普500
| Since 2009 | ||
| Mean | 12.80% | |
| Standard deviation | 4.38% | |
| Sharp Ratio | 2.01 | |
| Past 10 years | ||
| Mean | 13.15% | |
| Standard deviation | 4.45% | |
| Sharp Ratio | 2.06 | |
| Past 5 years | ||
| Mean | 12.73% | |
| Standard deviation | 4.54% | |
| Sharp Ratio | 1.92 | |
| Past 3 years | ||
| Mean | 18.73% | |
| Standard deviation | 3.68% | |
| Sharp Ratio | 4.00 | |
| Mean is for annual return; | ||
| Standard deviation is for monthly return. | ||
