user4796

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visits member for 1 year, 2 months
seen Feb 18 '13 at 18:30

Feb
15
comment Computing the Sharpe Ratio
I merely wanted to exchange views in order to clarify some things. Thanks for your explanation.
Feb
15
comment Computing the Sharpe Ratio
Factor3 is the other user who answered this question. He suggests to use log returns to determine volatility. After that transform via exp(log_return) - 1 to get geometric returns. Thanks in advance
Feb
15
comment Computing the Sharpe Ratio
How can you relate that to the answer of factor3? Iam getting the impression that iam missing the picture here..
Feb
15
comment Computing the Sharpe Ratio
regarding step 2; so if iam correct you say use the sumproduct(geomean(xx;xx+1))-1 on the derived log returns?
Feb
15
comment Computing the Sharpe Ratio
could you explain why simple returns? Isn't it so that as the values grow, the % change is affected by this and this would cause the returns to be biased?