The standard deviation of the excess return of the asset or portfolio.
]]>Is it the Std Dev of returns? Or Std Dev of the account value?
I assume it’s the Std Dev of the account value, but I’m finding it difficult to get confirmation anywhere. And it makes a HUGE difference to the final Sharpe ratio.
What is the standard? Any help would be appreciated…
]]>For example, the Sharpe Ratio approximates the returns distribution with the mean and standard deviation, and assumes the returns follow a normal distribution. Its one primary advantage is that everyone uses it.
The Omega Ratio effectively captures all of the information within the empirical returns distribution (and distinguishes between downside and upside risk). However, it’s not as widely used as the Sharpe Ratio, so it’s usually not given in mutual fund factsheets etc. I used the Omega Ratio Excel spreadsheet here to calculate the Omega Ratio myself.
]]>Thanks, that is a good tip! I wasn’t aware that Yahoo Finance provided the Sharpe ratio stats.
]]>http://finance.yahoo.com/q/rk?s=XLE
Here you’ll find the Sharpe ratio based on various time spans of data and other metrics.
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