Excess return per unit of deviation in return.

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How to compare Sharpe Ratios of different investment strategies (holding periods)

I am doing the momentum analysis and am trying to see, what strategy (based on trading frequency) yields the highest Sharpe ratio for different investment amounts. The trading frequencies I use are ...
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35 views

Do I calculate weights of assets correctly?

I solved attached question but I am not sure whether I did part a and c correctly. Is there a way to calculate weights of A and B by just knowing their standard deviation and correlation's value?
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181 views

Sharpe Ratio vs Net Profit vs max drawdown

When evaluating the performance of an algorithm, what should hold more importance? Sharpe Ratio , Net profit or max drawdown? For instance, I have two algorithms one performs very good on Stocks with ...
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Single better parameter to explain ETF's comparison graph: Sharpe or IR?

For single comparison graph depicting price over time: SPY VS US some Sector ETF VS Momentum ETF on that sector, What would be the best single param to put? Sharpe ratio of each Information ratio ...
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40 views

Multi-year annualized Sharpe Ratio

I'm taking a quiz, and trying to calculate the annualized Sharpe ratio of 11 years' worth of SPY fund monthly returns vs. a risk free investment return of 1.5%. When I write the function in Excel as ...
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52 views

How do I find the Sharpe Ratio?

Suppose I'm given two assets, x0, x1 and the stochastic discount factor m. How do I find m_p, then use it to compute Sharpe(R_p)? Any help is greatly appreciated.
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Calculating the optimal portfolio for an investor with quadratic utility

The problem is from Asset Pricing and Portfolio Theory by Back and can be found here. The relevant info from section 2.5 can be found here. Given that we have the Expected value and the variance of ...
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60 views

Why does the Sharpe ratio not change when the strategy is leveraged?

It has been correctly stated that the Sharpe ratio of a strategy does not change when it is leveraged. I understand Eric's point that leveraging by $n$ multiplies both the return $x$ and volatility ...