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Yeah, but it would have been nice to have it integrated with the performance
report and spreadsheet !!!! Omega did have a solution provider do this
nicely, it's just that it is practically "never available" unless you've got
10 gigs of past price data !!!
It would have been nice to override the built-in restriction of 36
months.....but it is "hardwired" in the binary code.
Who was that listee who said something about "lack of attention to detail" ?
> -----Original Message-----
> From: Dennis Holverstott [mailto:dennis@xxxxxxxxxx]
> Sent: Thursday, June 01, 2000 10:40 AM
> To: Omega List
> Subject: Re: Sharpe & K-Ratio - requisite time-frame
>
>
> > Why can't monthly or even weekly returns be used as a proxy for this
> > important measure ?
>
> They can. Or even daily. Bob Fulks posted some nice Sharpe code. You
> have to annualize the numbers. For the standard deviation calc, multiply
> the stddev by squareroot(periods per year) to annualize it.
>
> --
> Dennis
>
>
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