[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Sharpe ratio

To: "Omega List" <omega-list@xxxxxxxxxx>
Subject: Sharpe ratio
From: "Chris Evans" <evanscje@xxxxxxxxxxxxx>
Date: Tue, 14 May 2002 09:02:52 -0700

PureBytes Links

Trading Reference Links

.. 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

Follow-Ups:
- Re: Sharpe ratio
  - From: Bob Fulks
- Re: Sharpe ratio
  - From: Schindler Trading
- Re: Sharpe ratio
  - From: Jack Zaner

Prev by Date: Data signal code
Next by Date: Re: Measuring System Streakiness
Previous by thread: Sharpe Ratio
Next by thread: Re: Sharpe ratio
Index(es):
- Date
- Thread