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The Sharpe Ratio Annualised documentation in line with Sharpe's 1994 revision to the Sharpe ratio states that:
"the annualized Sharpe ratio is computed by dividing the annualized mean monthly excess return by the annualized monthly standard deviation of excess return."
However, in code it divides by the standard deviation of returns.
The text was updated successfully, but these errors were encountered:
The Sharpe Ratio Annualised documentation in line with Sharpe's 1994 revision to the Sharpe ratio states that:
"the annualized Sharpe ratio is computed by dividing the annualized mean monthly excess return by the annualized monthly standard deviation of excess return."
However, in code it divides by the standard deviation of returns.
The text was updated successfully, but these errors were encountered: