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Show HN: Sharpe Ratio Calculation Tool
navquant
5 hours ago
14
4
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?
https://www.fundratios.com/
ProjectArcturis2 hours ago
Who is the intended user for this? Pretty much anyone can calculate a mean and standard deviation without a bespoke website.
motoxproProjectArcturis2 hours ago
Yeah, what is a "professional grade" sharpe ratio compared to a shape ratio
tripplyonsmotoxproan hour 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.
molsson2 hours 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-b0ea606b?details )... 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?