Calculate sharpe ratios for different periods
The version of the browser you are using is no longer supported. Please upgrade to a supported browser.Dismiss

ABCDEFGHIJKLMNOPQRSTUVWXYZ
1
This spreadsheet forms part of additional material for the following book:
2
Systematic Trading: A unique new method for designing trading and investing systems
3
Written by Robert Carver 2015 (www.systematictrading.com). Published by Harriman House. ISBN 978-0-85719-445-9
4
This spreadsheet is copyrighted, Robert Carver, 2015; under the GNU General public license (http://www.gnu.org/licenses/gpl.html). You may copy the sheet; and modify it providing you follow the guidelines in the license. In particular this front cover sheet must remain intact and unchanged. It is provided for personal educational purposes only. No warranty is included or implied. Nothing in this spreadsheet constitutes investment advice.
5
Sheet name: Calculate Sharpe Ratios for different periods (Chapter two)
6
7
8
Instructions: On sheet 'generate random series' enter the annualised mean and standard deviation in the yellow cells. In the cells below you'll see the calculation of the daily values for Sharpe Ratio. Below that the sheet will generate a series of random values for daily returns. Weekly, monthly and annual returns are also calculated. The next sheet 'Results' summarises the statistics. Press F9 to see the values update. This sheet allows you to see how Sharpe Ratios for different periods relate to each other, as well as understand the effect of randomness on returns.
9
10
11
12
13
14
28
29
Optional: As an optional exercise try changing the autocorrelation coefficient (red cell in 'generate random series'). Positive values mean good returns are more likely to persist; negative values mean bad will usually follow good. Changing this should influence the relationships between daily, weekly, monthly and annual Sharpe Ratios.
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113