This link has been bookmarked by 16 people . It was first bookmarked on 05 Sep 2006, by Jean Loup.
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15 May 14
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05 Feb 14
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that the latter have zero serial correlation
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It is common practice to "annualize" data that apply to periods other than one year, using equations (7) and (8). Doing so before computing a Sharpe Ratio can provide at least reasonably meaningful comparisons among strategies, even if predictions are initially stated in terms of different measurement periods.
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To maximize information content, it is usually desirable to measure risks and returns using fairly short (e.g. monthly) periods. For purposes of standardization it is then desirable to annualize the results.
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27 Mar 09
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27 Sep 06
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