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Goetzmann, W., Ingersoll, J., Spiegel, M., & Welch, I. (2002). Sharpening Sharpe Ratios. National Bureau of Economic Research [Preprint]. National Bureau of Economic Research.
https://doi.org/10.3386/w9116

has been cited by the following article:

• TITLE: Reinterpreting the Sharpe Ratio as a Measure of Investment Return from Alpha

  AUTHORS: Michele Anelli

  KEYWORDS: Sharpe Ratio, Alpha Return

  JOURNAL NAME: Modern Economy, Vol.14 No.2, February 6, 2023

  ABSTRACT: This paper examines the fundamental building blocks of the Sharpe ratio to debate over the economic interpretation of this well-known tool used to measure the risk-adjusted performance of various financial portfolios and funds. It focuses on the risk-adjusted expected return of an investment versus a benchmark portfolio (or index) return. By leveraging on a set of statements and assumptions, I isolate the information content of the ratio as expression of the investment return from alpha. I finally derive that, under the efficient market hypothesis (EMH) or perfectly diversified portfolios, the Sharpe ratio is zero.