You should double check your Sharpe Ratio calculation

來源: ybdddnlyglny 於 2026-01-10 15:50:06 [] [舊帖] [給我悄悄話] 閱讀數 : (489 bytes)
回答: 計算回報率不考慮風險就是耍流氓 由 jenning 於 2026-01-10 14:45:20

I have done some research, and it seems that the standard deviation in the equation is for monthly return of the concerned period, while the mean is calculated with the average of each year's return.  -- Pretty bizarre, and I assume only a economist would do something like that. 

Note: I found that out becase my own calculation earlier could not match the Sharpe Ratio value given in Fidelity.  Making the revisions above matched Fidelity perfectly.

所有跟帖： 

• 謝謝老兄提醒，我是逼著AI寫的Code -jenning- ♂ 給 jenning 發送悄悄話 jenning 的博客首頁 (686 bytes) () 01/10/2026 postreply 16:44:22

• Sharpe ratio的計算應該不受時間粒度的影響。譬如比較你的Portfolio和SPY，可以 -BullishSolar- ♂ 給 BullishSolar 發送悄悄話 BullishSolar 的博客首頁 (90 bytes) () 01/11/2026 postreply 08:46:00

• 我也理解為Sharpe Ratio隻是個相對值 -jenning- ♂ 給 jenning 發送悄悄話 jenning 的博客首頁 (586 bytes) () 01/11/2026 postreply 09:31:10

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