All Questions
Tagged with sharpe-ratio portfolio-management
28 questions
1
vote
1
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76
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Calculate Sharpe Ratio, Annualized Return, and Volatility for Uneven Cashflows and Mixed Asset Classes?
I am working on a portfolio problem and encountered some challenges related to calculating key performance metrics. I would greatly appreciate any guidance on the following:
Say, I started with an ...
- 313
1
vote
1
answer
184
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How to create a long-short portfolio on an academic basis
This question may have been asked before, but unfortunately the answers didn't help me very much.
It's about how to create long short portfolios. In the papers you often read that they have created ...
- 8,621
3
votes
1
answer
399
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Proof that Sharpe ratio of the benchmark is related to the maximal information ratio and Sharpe ratio
I understand the economic logic behind it, that the active portfolio with the highest information ratio will also have the highest Sharpe ratio, but I can't see how
$SR_B^2 = SR_P^2 - IR^2 $
- 1,986
4
votes
3
answers
6k
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mean-variance optimization === max sharpe ratio portfolio?
Noobie here. I just wanna ask a simple question:
in the context of portfolio optimization, is Mean-Variance optimization the same as the max sharpe ratio portfolio?
- 7,024
0
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0
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62
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Correct way of making sharpe optimized portfolio?
I have monthly returns of about 977 securities of past 10 years.
If I keep the returns as it is i.e. I do not multiply by 100 and keep the returns as 0.1, 0.2 , -0.3, 1.2
then I get different results ...
- 145
2
votes
0
answers
61
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Do options have diversification benefit?
Imagine the universe where we have one investable volatile asset but with an available liquid options chain for it.
The question: can a portfolio consisted of this asset, and some options have any ...
- 53
1
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0
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111
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From annualized Sharpe Ratio to number of daily losses
I have seen a few statements that link a particular annualised Sharpe Ratio to the likely frequency of 'loss day' across a given period:
e.g. "A annualised Sharpe Ratio of X, implies the ...
- 33
-1
votes
2
answers
798
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calculating sharpe and sortino ratio given monthly returns [closed]
suppose I have (fictitious) monthly returns:
...
- 3,090
2
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0
answers
56
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Question on the details of certain parameters in Sharpe Ratio [closed]
I'm puzzled about certain parameters in calculating the annualized Sharpe Ratio using monthly return data.
Average excess return: Does this mean the arithmetic average of all the monthly excess ...
- 21
0
votes
1
answer
663
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Which riskfree rate to use for Maximum Sharpe Ratio Portfolio?
I am conducting out of sample backtests of the MV framework. But how exactly do I derive the Maximum Sharpe Ratio portfolio for this? The standard forumula of the Sharpe Ratio is given by:
$$\frac{(...
- 239
0
votes
1
answer
216
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ESG Style Analysis
Hi all and thank you in advance.
Do you think that implementing a style analysis on ESG equity portfolios is feasible?
When I mean style analysis I refer to the seminal paper of Sharpe (1992) but I ...
- 5,895
2
votes
1
answer
113
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Is there any way to compare portfolios created using sharpe optimization model?
I created different portfolios using sharpe portfolio optimization model and I want to know is there any way to compare those portfolios before actually investing in them?
- 3,090
1
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0
answers
165
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Annualizing Sharpe Ratio using small time frames
I have coded a strategy that works 5m time frame. I know you multiply it by 252 but i am using 5m or sometimes 1h time frame. Which number do i have to chose to multiply? There are 72576 five minutes ...
- 137
7
votes
1
answer
557
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Alternative relative performance measure to Sharpe ratio for non-IID return
The Sharpe ratio is often used to compare the relative performance of portfolios despite its IID-assumption for the returns being violated.
I can find ample warnings about the consequences of ...
- 4,368
2
votes
0
answers
398
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Given multiple strategies with their ER, volatility, how would I calculate the combined Sharpe?
Without knowing the actual daily returns, I have a table something like this:
...
- 21
0
votes
2
answers
786
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Geometric Sharpe ratio
I'm computing different metrics for mutual fund performance. I want to use classic Sharpe ratio, but I also got to know there is geometric Sharpe ratio. Unfortunately I didn't find enough info about ...
- 1,660
2
votes
0
answers
51
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Which performance evaluation measure to assess "Connectedness Matrix" based porfolios?
1. Question
Which performance evaluation measure would be best to assess the portfolios built on 'connectedness matrix'? The connectedness matrix is the concept introduced in the academic paper "...
- 550
0
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0
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244
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Another variation of the 'Sharpe ratio' in CVaR-based portfolio optimization?
Question
What is the ratio S(p) shown below? Do we have a name for it like 'Sharpe ratio'?
The ratio above is introduced in the academic paper Optimal portfolio selection in a Value-at-Risk framework
...
- 550
2
votes
0
answers
425
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Maximum Sharpe Ratio Portfolio
Conceptually, what are the drawbacks / unforeseen risks of running a portfolio whose weight are derived from what would have maximised the sharpe ratio over the previous time period (last 30 days) ?
2
votes
0
answers
2k
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How to calculate "Differential Sharpe ratio"?
Instead of using the "sliding the time window" method of calculating the sharpe ratio under online framework,
they've defined "differential sharpe ratio" as such
But under equation 5, you can ...
- 173
2
votes
0
answers
1k
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Calculating Ex-Post Sharpe Ratio
I'm trying to calculate an Ex-Post Sharpe Ratio for my portfolio and I would appreciate verification I'm doing it correctly.
I have my portfolio's daily returns in one column and my benchmark's ...
- 21
6
votes
3
answers
2k
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Sharpe Ratio : why the normalization factor?
I try to understand why a $\sqrt{252}$ normalization factor is useful for Sharpe Ratio:
Let's compute the Sharpe Ratio for this imaginary portfolio, for various sampling periods:
...
- 547
4
votes
5
answers
1k
views
Logic behind sharpe ratio
I have a confusion regarding how the sharpe ratio is derived. My question is why the denominator contains the standard deviation of returns of portfolio? I mean why did someone came to this conclusion ...
- 4,329
1
vote
1
answer
438
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Simple Sharpe Ratio Question Related to Trading Strategy
Given a price vector $(p_1,p_2,...,p_n)$ for some stock, then the corresponding return at $k$th day is described by
$$
R_k = \frac{p_{k+1} - p_k}{p_k}
$$
On the other hand, let $W_k$ be wealth at day ...
- 113
1
vote
1
answer
249
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Having Difficulty With Sharpe Ratio and Optimal Portfolio
I have begun by using such equations as:
By finding the $Rp$ and $\sigma p$ with the weighted values, and then I followed the equation using a value of $.02$ for the fixed asset, $rf$, but this comes ...
- 8,621
2
votes
0
answers
195
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Sharpe Ratio for loans
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 ...
- 121
3
votes
1
answer
1k
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What is the correct Stutzer index and Sharpe ratio relation, assuming a normal returns distribution?
Assuming the returns distribution is normal, then there is a relation between Stutzer index and Sharpe ratio.
However, I found in the following paper 2 different equation:
Paper I (page 10-11) ...
- 2,935
3
votes
2
answers
4k
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Calculating Geometric mean
I need to annualize daily returns for about 120 firms for over a period of 10 years. I chose to calculate the geometric return because 1) it is the actual return 2) to avoid the asymmetric effect of ...
- 454