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Chris: The reigning list guru on the Sharpe ratio is Bob Fulks. Perhaps he
can help you.
Regards, Jack.
----- Original Message -----
From: "Chris Evans" <evanscje@xxxxxxxxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Tuesday, May 14, 2002 8:59 AM
Subject: Sharpe ratio
> .. Does anyone know the algebra behind the calculation that says that you
must multiply a monthly time series driven Sharpe ratio by Sq Rt 12 in order
to annualize it??
>
> CJE
>
>
>
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