|
PureBytes Links
Trading Reference Links
|
John,
Imho, the SR is a universal measure. The Sharpe Engine I want to develop is
intended to make it quite easy to apply the metric and report daily updates
to given portfolios. For example, an Analyst's SR is derived from a virtual
portfolio consisting of positions opened and closed, given his/her
recommendations.
I don't agree that omitting volatility to the upside is a flaw in the SR,
particularly if one's trading and/or investing includes short positions. The
highest SRs I've seen are from stat-arb strategies. I could be mistaken, but
I believe the Sortino Ratio excludes volatility on the long-side.
I also intend to have a feature for a modified SR, which will allow the
substitution of a risk-free rate with another benchmark, such as a
money-market or treasury fund, of any symbol.
-----Original Message-----
From: John Pretorius [mailto:johnpretorius@xxxxxxxxxxxxx]
Sent: Saturday, December 29, 2007 9:07 AM
To: cwest@xxxxxxxxxxxx
Subject: RE: "The Sharpe Engine" My 2008 project
Good idea. My understanding is that you are trying to get a sort of
universal standard measure.
My first knee jerk is that the effort would be wasted on the Sharpe with its
well known problem of treating all movement, including positive return, as
"bad" volatility. I think this weakness would become even more apparent when
it is used to compare different classes of investment to each other.
Why don't you start by revisiting the relative merits of the other
measurement tools.
John Pretorius
-----Original Message-----
From: cwest [mailto:cwest@xxxxxxxxxxxx]
Sent: 29 December 2007 01:38 AM
To: omega-list@xxxxxxxxxx
Subject: "The Sharpe Engine" My 2008 project
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
|