[Xaron]

I did another update, added some managers again and added an important performance measurement number: the sharpe ratio...

[contrarian]

You calculating the sharpe yourself?

[Xaron]

I use the daily net asset value to calculate the anualized volatility and use that to calculate the sharpe ratio. Excel does that for me.

[contrarian]

My next question was going to be what are you using for the 'risk less/no-risk' part of the calculation used for sharpe?

But, guess you're not using one, correct?

More of a proprietary risk calculation than a sharpe ratio really then, isn't it?

Just curious,
Contrarian

[contrarian]

^^
Too late for me to edit my last post... but I re-read what you replied with and think I got it wrong.

So, the question still stands, what is your 'riskless' benchmark/baseline?

Cheers in advance,
Contrarian.

[Xaron]

Ok, I do it that way:

First I calculate the daily returns (based on the net asset value):
(Today Nav - Yesterday Nav)/Yesterday Nav

Then I calculate the annualized volatility (I use 250 trading days as a base):
Volatility=SQRT((SUMSQ(C3:C65000)/COUNT(C3:C65000)))*SQRT(250)

(column C contains the previously computed daily returns)

Now I compute the sharpe ratio:
SR=((Current NAV - Start Balance)/Start Balance)/Volatility

At the moment I don't factor in a risk free return, so you're right, it's not exactly the sharpe ratio. But to be honest, it doesn't change so much if I use a risk free return of around 1-2% p.a. in this formula or not. The numbers are meaningful.

[contrarian]

Cool, cheers for that.

As I said, I was only just curious more than anything.

I'll bet they are more meaningful to you (the numbers), as it's your capital at risk, so by all means, do it any way you like ;-]

At least you're doing it, is the important factor I think!

Thanks again for the info.

[Xaron]

Hi all,

did an update again. The april numbers are now in...

[miskec]

This is a great thread, thanks for sharing with us, ill keep following you.

[Xaron]

Thanks! Page is up to date again. I'll add some more managers soon...