Marco Demaio
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 Oct9 awarded Popular Question Sep24 awarded Autobiographer Mar5 accepted Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns? Mar5 comment Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns? Thanks for explaining also when to use CAGR (ex-post Sharpe Ratio) and when to use simple arithmetic returns (forward-looking forecast Sharpe Ratio) Mar4 comment Should I use an arithmetic or a geometric calculation for the Sharpe Ratio? Where can I find a demonstration that $$\mu_g \leq \mu_a$$ Feb28 revised Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns? Bolded the phrase that I think to be best related to the question, I had to remove a piece of phrase because it did not let me edit answer unless I change at least 6 chars Feb28 suggested approved edit on Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns? Feb28 comment Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns? @Richard: thanks, I got the point to NOT use WAY 1, let's ignore rolling returns then, but still the question remains: why shoukd i use annualized monthly returns which adds a bit of complexity, instead of just yearly (non-rolling) returns (i.e. WAY 2). I updated again the question, hope it helps to make it more clear. Feb28 revised Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns? added 12 characters in body Feb27 revised Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns? deleted 2 characters in body Feb27 awarded Scholar Feb27 accepted At what point does someone using technical analysis become a Quant? Feb27 comment Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns? @John: thanks for your comment which started to enlight things up a bit. I thought the rolling yearly was the way to go because it generated more RoRs, I updated the question. Please let me know what you think, and how I could improve it. Feb27 revised Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns? added 752 characters in body; edited title Feb26 revised Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns? added 37 characters in body Feb26 asked Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns? Apr20 awarded Popular Question Mar18 awarded Nice Question Oct5 awarded Critic Oct4 comment At what point does someone using technical analysis become a Quant? +1: thanks, starting to understand a bit the difference. Interesting book. I agree about the fact that most TA books are garbage.