Comments on ThePreparedInvestor - Market favors the prepared mind!: Risk Adjusted Return - Sharpe Ratio using MS exce...

Rabih, When you calculate monthly standard deviat...

2010-02-13T23:36:41.830-08:00

Rabih,

When you calculate monthly standard deviation, then we can annualize that by multiplying the std dev by square root 12. Similarly if the SD is calculated for daily, then annualization is done by my multiplying daily SD by square root of 250. Assuming 250 is the number of trading days in a year .. hope that helps ..

Basically you are extending monthly variance to yearly and so you multiply by 12. But since you are considering SD, you make it square root of 12.

Market favors the prepared investor

i think there's a mistake in cell G6. u have put s...

2010-01-17T22:26:18.685-08:00

i think there's a mistake in cell G6. u have put square root of 12, times SD. r u sure??? if its true, plz elaborate. thanks

Dear Author www.thepreparedinvestor.com ! In my o...

2009-11-17T20:11:43.833-08:00

Dear Author www.thepreparedinvestor.com !
In my opinion you commit an error. Let's discuss it.

Also, I would compute the geometric (GEOMEAN)mean ...

2009-09-10T23:27:21.424-07:00

Also, I would compute the geometric (GEOMEAN)mean rather than the average.

But doesn't that only allow positive numbers meaning it will fall over if any return is negative?

Hi, Nice work on the Sharpe Ratio. Getting the yie...

2009-08-16T07:57:07.893-07:00

Hi,
Nice work on the Sharpe Ratio. Getting the yield on the US Bond market is easy .

From where I can get the 90-day Treasury bill of Govt. Of India .

Thanks for the feedback on STDEVP. Let me look int...

2009-05-19T21:25:00.273-07:00

Thanks for the feedback on STDEVP. Let me look into that.

Nidhi

The link changes to data for each month, and hence...

2009-05-19T21:24:11.184-07:00

The link changes to data for each month, and hence when you visit next time it is on different month's data. FOr May of 2009, here is the data for 5/1/09:

Date 1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr
05/01/09 0.06 0.16 0.31 0.49 0.92 1.39 2.03 2.72 3.21 4.14 4.09

So 3 month data is 0.16. Hope that helps.

I would suggest to use STDEVP rather than STDEV. ...

2009-05-15T14:25:00.000-07:00

I would suggest to use STDEVP rather than STDEV. Also, I would propose to compute the geometric (GEOMEAN)mean rather than the average. The Sharpe Ratio number will change slightly as a consequence. It is more correct this way.

I would suggest to use STDEVP rather than STDEV. ...

2009-05-15T14:23:00.000-07:00

I would suggest to use STDEVP rather than STDEV. Also, I would compute the geometric (GEOMEAN)mean rather than the average. The Sharpe Ration number will change slightly as a consequence.

I apologize. I know you posted that you went to th...

2009-05-09T14:17:00.000-07:00

I apologize. I know you posted that you went to the link mentioned below to obtain the 3 Month Treasury Bill. However, like the person Anonymous wrote on April 29, 2007; I am confused on how you obtained 0.8% from the risk free return of 5%. Would you mind explaining in detail your steps? I am new to this area.

http://www.ustreas.gov/offices/domestic-finance/debt-management/interest-rate/yield.shtml

Thank you in advance.

You can find the 3 mon treasury bill rate at: htt...

2009-05-06T21:23:10.518-07:00

You can find the 3 mon treasury bill rate at:

http://www.ustreas.gov/offices/domestic-finance/debt-management/interest-rate/yield.shtml

hey nidhi.. nice work.. pleasently surprising to s...

2009-05-06T12:09:00.000-07:00

hey nidhi.. nice work.. pleasently surprising to see indian girl blogging online about investing and related things, and that too monetizing it using adsense.that's not to undermine women in any way. just that i havnt seen one such case before.. cool.

so where are u frm ? and also.. is adsense making decent money for u?

Hi, I found your blog when I was trying to calcula...

2009-04-29T17:07:00.000-07:00

Hi, I found your blog when I was trying to calculate the sharpe ratio. It's very useful. Thank you!

I have a question about the "3 Month Treasury Bill" in cell G8. How did you get 0.8% from the risk free return of 5%?

Thanks!

I had considered writing a post about the Sharpe r...

2007-06-25T16:46:03.485-07:00

I had considered writing a post about the Sharpe ratio on my blog but you have already done a great job. Moreover the instructions on calculating the Sharpe ratio using excel was very useful.

Asif
www.SINLetter.com