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I am trying to calculate the sharpe ratio for a set of loans. These loans have already matured and I know if they were good or not: grades are the different grades of the loans. interest rate is the floating point value:

12.12   
13.11   
7.90    
8.90    
15.31   
14.33   
11.14   
16.29   
17.27   
10.99   

this is the python code that tries to compute the sharpe ratio for each grade.

for grade,name in enumerate(grades):
    print name, grade
    if pd.isnull(name):
        continue
    grade = float(grade)
    positive = (df_loans_completed.ix[s_grade_stats.groups[(grade, True)]]['interest_rate'] - R)
    negative = (df_loans_completed.ix[s_grade_stats.groups[(grade, False)]]['interest_rate'] - R)
    sigma = positive.append(negative).std()
    avg_return = positive.mean()
    print "sharpe:", (avg_return -R) / sigma
  • should I consider the fact that I know which loans returned an interest positive and which did not ?
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