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Several years ago Bob Fulks enlightened me (and many others I suspect) to
the merit of considering trading and investing in the context of the Sharpe
Ratio (SR). For quite some time I've wanted to develop what I'll call the
"Sharpe Engine." Its one of those ideas that sits on the back-burner until
it evolves into a more complete design, which it now has.
My vision is to have a resource that'll calculate the SR on just about
anything. Imagine an historical data repository that consolidates data from
wherever its readily available--stocks, commodities, derivatives, USA,
foreign, and so on. Next, drag or paste a list of transactions or trades
into a window, click submit, and the SR for the portfolio equity and/or
notional value calculates.
To extend this further, imagine that you could also retrieve the top,
average and bottom SRs for the last 1-10 years of the performance of
analysts, CEOs and fund managers--mutual, hedge, futures, etc. That ought to
shine the spot-light on a few red faces.
The purpose of this post is to obtain some input that anyone considers would
be a feature to include in this project. All suggestions are welcome.
Thank you.
cwest
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