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Suppose I have a portfolio with a mix of long short equity, some bonds, as well as derivatives such as options. Is there a quick way to aggregate sharpe ratio on a portfolio level? I would imagine some difficulties calculating correlation between bonds and derivatives... Is exposure weighted average good enough for a simple approximation?

Thank you!

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    $\begingroup$ Assuming this is backwards looking (based on historical performance) then just calculate mean and std dev of the portfolio returns over the historical period. $\endgroup$
    – TickaJules
    Dec 15, 2022 at 22:31

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