Hello All,
I am struggling with calculating Sharpe Ratio from weekly returns data.
Here is the weekly data:
Rx: -0.60%, -0.40%, -0.80%, 1.60%, 1.00%, 0.40%, -0.20%, -1.00%, 0.10%, 2.00% (Weekly)
Rf: 1.74%, 1.67%, 1.72%, 1.67%, 1.59%, 1.58%, 1.65%, 1.60%, 1.63%, 1.63% (Annual)
Erx: -0.45%-0.43%, 0.71%, 1.51%, 0.93%, 0.32%, -0.21%, -0.82%, 0.07%, 2.00% [Formula: Rx - (Tbill / 52)]
Average Rx = 0.21% [Formula: Average (Rx)]
Average Rf = 0.03% [Formula: Average (Rf) / 52]
Std Dev Erx = 0.91% [Formula: Stdev (Erx)]
Sharpe Ratio = 1.41 [Formula: (Average Rx - Average Rf) / Standard Deviation * SQRT(52)]
Could you please help check if this is correct? If not, please advise.
Appreciate your time and help.
Here is the excel file if anyone is interested: https://file.io/4Eqh891cP18b
I am struggling with calculating Sharpe Ratio from weekly returns data.
Here is the weekly data:
Rx: -0.60%, -0.40%, -0.80%, 1.60%, 1.00%, 0.40%, -0.20%, -1.00%, 0.10%, 2.00% (Weekly)
Rf: 1.74%, 1.67%, 1.72%, 1.67%, 1.59%, 1.58%, 1.65%, 1.60%, 1.63%, 1.63% (Annual)
Erx: -0.45%-0.43%, 0.71%, 1.51%, 0.93%, 0.32%, -0.21%, -0.82%, 0.07%, 2.00% [Formula: Rx - (Tbill / 52)]
Average Rx = 0.21% [Formula: Average (Rx)]
Average Rf = 0.03% [Formula: Average (Rf) / 52]
Std Dev Erx = 0.91% [Formula: Stdev (Erx)]
Sharpe Ratio = 1.41 [Formula: (Average Rx - Average Rf) / Standard Deviation * SQRT(52)]
Could you please help check if this is correct? If not, please advise.
Appreciate your time and help.
Here is the excel file if anyone is interested: https://file.io/4Eqh891cP18b