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SharpeRatio.annualized formula #142

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JannesRed opened this issue Feb 6, 2020 · 0 comments
Open

SharpeRatio.annualized formula #142

JannesRed opened this issue Feb 6, 2020 · 0 comments

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@JannesRed
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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.

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