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Sharpe Ratio

مؤشر شارب

How much extra return above the risk-free rate a fund earned for each unit of volatility it took on.

The Sharpe ratio answers the most important question in fund evaluation: was the return worth the risk? A fund that made 12% with violent swings can be a worse deal than one that made 8% calmly — Sharpe is the tool that reveals this.

The calculation starts with the excess return: the fund's return minus the risk-free rate (what a near-guaranteed alternative such as short-term government instruments would have paid). That excess is then divided by the fund's volatility. The result: extra return per unit of risk.

Reading it: higher is better. A negative Sharpe means the fund didn't even compensate you for leaving the safe alternative. Fair comparison is within the same category over the same period — comparing an equity fund's Sharpe to a money market fund's tells you little, as the two categories are different animals.

Its limits: it is built on history, treats upside and downside swings equally, and does not capture rare severe events. An excellent starting point for comparison — not a final verdict.

Formula

Sharpe = (fund return − risk-free rate) ÷ volatility (standard deviation of returns)

Numeric Example

A Saudi equity fund returned 8% a year with 12% volatility, while the risk-free rate was 5%: Sharpe = (8% − 5%) ÷ 12% = 0.25. Another fund returned only 7% but with 6% volatility: Sharpe = (7% − 5%) ÷ 6% ≈ 0.33 — a lower headline return, yet better pay for every unit of risk.

For educational and informational purposes only — not investment advice. Past performance does not guarantee future results.