fp.

I built a simple but effective Sharpe Ratio calculator that gives the full historical variation of it. Should I add other rations like Calmar and Sortino?

Comments

ProjectArcturis•7mo ago

Who is the intended user for this? Pretty much anyone can calculate a mean and standard deviation without a bespoke website.

motoxpro•7mo ago

Yeah, what is a "professional grade" sharpe ratio compared to a shape ratio

tripplyons•7mo ago

I think professional-grade is referring to their calculator not the statistic. I don't see what would make this site better than throwing your CSV into a spreadsheet or a simple script that would make it considered professional-grade.

navquant•7mo ago

One of the benefits is that the risk free rate is kept up to date on a daily basis. The calculation matches for each day the actual risk free rate, rather than just using the latest available value.

blitzar•7mo ago

> professional grade

vibe coded - I dont know where in the training set the Ai learnt to call everything "professional", maybe too much linkedin cringe in the dataset but it picked up the habbit and it stuck.

Just yesterday I told Claude “If you have to say it, it's probably not true” - it of course told me I am right.

k2enemy•7mo ago

I was wondering too. If someone is sophisticated enough to have their return data in a CSV, calculating a Sharpe ratio is trivial. The hard part is already done.

molsson•7mo ago

I guess this is the 1yr sharpe plotted over time, ie the sharpe at date X considers the stddev within the previous 365 days etc?

Many brokers only show 1yr sharpe or perhaps 3yr sharpe (for example swedish nordnet has 1/3/5 year sharpe: https://www.nordnet.se/fonder/lista/jupiter-gold-silver-usd-... )... but very often stocks/funds go steadily upwards for several years in "good times" and then we have major drawdowns during turmoil like 2008 or 2020 etc. In these cases, a 1yr or 3yr sharpe can be very misleading.

Have you considered also plotting 3yr sharpe and 5yr sharpe over time? Perhaps the length of the sharpe ratio would be configurable in the calculator?

navquant•7mo ago

Right now it uses the total stddev of the portfolio, over the full history provided. It can be changed fairly easily to compute it over a moving window of 1/3/5 years.

shabbychef•7mo ago

Probably better to give some interpretation of the achieved Sharpe, to help end users interpret the results, rather than curating a whole zoo of exotics that nobody understands.

navquant•7mo ago

Valid point. I could show a comparison to known funds or stocks to give an idea of the real performance

thomasfl•7mo ago

How about adding a demo? A demo may even be for a made up non existing fund, named Acme Fund.

navquant•7mo ago

Great idea, will add

k2enemy•7mo ago

> Our tool automatically uses the up to date Secured Overnight Financing Rate (SOFR).

Are risk free rates matched to return dates? This makes it sound like the tool uses a single risk free rate for all excess return calculations.

navquant•7mo ago

It does not use a single risk free rate for all excess return calculations, but rather matches each return with the risk free rate of the day.

rongenre•7mo ago

Sharpe ratio is just the start: it gives you a metric on your portfolio. If it gave an interpretation of what that means, or give guidance on how certain actions would adjust the Sharpe, that might add a lot more value.

navquant•7mo ago

Good point, will add something to give a bit of guidance.