Richardman “富人”请进

抱歉兄弟，发现昨天回你有关Sharpe Ratio的帖子计算有错误。原公式中收益是年收益，而标准差则应该是月收益统计的标准差，这个许多资料中都没讲，我今天挖了很深才搞清楚。改正后计算出的Sharpe Ratio应该没有什么问题。两个例子，纳指和标普500计算出的Sharpe Ratio如下（假设无风险回报是4%），似乎都还合理。再次抱歉没有完全搞清楚就发言了。握手。

纳指：

Since 2009
	Mean	18.13%
	Standard deviation	5.10%
	Sharp Ratio	2.77
Past 10 years
	Mean	18.08%
	Standard deviation	5.33%
	Sharp Ratio	2.64
Past 5 years
	Mean	14.01%
	Standard deviation	5.62%
	Sharp Ratio	1.78
Past 3 years
	Mean	27.25%
	Standard deviation	4.74%
	Sharp Ratio	4.91
Mean is for annual return;
Standard deviation is for monthly return.

 

标普500

Since 2009
	Mean	12.80%
	Standard deviation	4.38%
	Sharp Ratio	2.01
Past 10 years
	Mean	13.15%
	Standard deviation	4.45%
	Sharp Ratio	2.06
Past 5 years
	Mean	12.73%
	Standard deviation	4.54%
	Sharp Ratio	1.92
Past 3 years
	Mean	18.73%
	Standard deviation	3.68%
	Sharp Ratio	4.00
Mean is for annual return;
Standard deviation is for monthly return.