Excess return per unit of deviation in return.

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32 views

Stochastic Optimal Control for ratios

Do you know any good papers on methods of Stochastic Optimal Control and Hamilton-Jacobi-Bellman(HJB) for optimization of different ratios(Sharpe, M2, Sortino, Sterling, etc.)? Meaning that using ...
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2answers
168 views

Sharpe Ratio and time spent in loss

Is it possible to express, given an annualized Sharpe Ratio value, what is an expected maximum/average time spent in a draw-down or something in this manner? E.g. with SR of 10, you'd expect to spend ...
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4answers
1k views

compute sharpe ratio for options?

Calculating sharpe ratio for shares is a straight forward task: (average returns - risk free ) / standard deviation. However i remain baffled as to how to tackle the task for options, can someone ...
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1answer
27 views

What are “df”, “t”, and “p” in these sharpe ratio related estimates?

I am looking at some sharpe ratio related estimates and have not seen Sharpe stats broken down this way before. I don't know what is meant by df, t, and p. Can someone explain that to me? Thank ...
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1answer
50 views

How to calculate Sharpe Ratio if there are gaps in returns?

I see a lot of examples, like "We hold long position during whole year, then we calculate daily sharpe ratio and multiply it by SQRT(252) to get the annual one". This example makes sense for me. ...
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1answer
58 views

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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1answer
36 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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3answers
216 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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1answer
31 views

Sharpe ratio and efficient portfolio

If I have a portfolio with sharpe ratio less than the sharpe ratio of the tangent portfolio, can I conclude something about whether or not it is efficient? If so, how/why?
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30 views

Adding negative EV position to portfolio for diversification?

Say I have a portfolio of expected return $10%$ and volatility $20%%. If I have another asset that is either one of: Negatively correlated Positively correlated Uncorrelated With negative expected ...
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0answers
17 views

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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1answer
67 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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58 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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73 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 ...