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Thanks for the reply. I noticed that one of the net's largest hedgefund
sites www.hedgefund.net is using Sharpe to rank the managers. They are using
MONTHLY data for this.
Why can't monthly or even weekly returns be used as a proxy for this
important measure ?
Why are futures an exception ?
> -----Original Message-----
> From: Macromnt@xxxxxxx [mailto:Macromnt@xxxxxxx]
> Sent: Wednesday, May 31, 2000 10:51 PM
> To: prosys@xxxxxxxxxxxxxxxx; omega-list@xxxxxxxxxx
> Subject: Re: Sharpe & K-Ratio - requisite time-frame
>
>
> You should not debate whether this much data is required to calculate the
> Sharpe ratio when trading using 5 or 20 minute bars. The Sharpe ratio has
> absolutely nothing to do with individual trades. It's the ratio of the
> average yearly return by the standard deviation of the yearly
> return. It's
> obvious that you can not calculate the Sharpe without at least
> three years
> data and it's not even very interesting with less than 5 years
> performance
> record.
> However, you can calculate a monthly Sharpe but usually if you
> trade futures
> it won't be very good.
>
> J.J.
>
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