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I built a simple but effective Sharpe Ratio calculator that gives the full historical variation of it. Should I add other rations like Calmar and Sortino?

Who is the intended user for this? Pretty much anyone can calculate a mean and standard deviation without a bespoke website.

7 months agoby ProjectArcturis

I guess this is the 1yr sharpe plotted over time, ie the sharpe at date X considers the stddev within the previous 365 days etc?

Many brokers only show 1yr sharpe or perhaps 3yr sharpe (for example swedish nordnet has 1/3/5 year sharpe: https://www.nordnet.se/fonder/lista/jupiter-gold-silver-usd-... )... but very often stocks/funds go steadily upwards for several years in "good times" and then we have major drawdowns during turmoil like 2008 or 2020 etc. In these cases, a 1yr or 3yr sharpe can be very misleading.

Have you considered also plotting 3yr sharpe and 5yr sharpe over time? Perhaps the length of the sharpe ratio would be configurable in the calculator?

7 months agoby molsson

How about adding a demo? A demo may even be for a made up non existing fund, named Acme Fund.

7 months agoby thomasfl

Sharpe ratio is just the start: it gives you a metric on your portfolio. If it gave an interpretation of what that means, or give guidance on how certain actions would adjust the Sharpe, that might add a lot more value.

7 months agoby rongenre

> Our tool automatically uses the up to date Secured Overnight Financing Rate (SOFR).

Are risk free rates matched to return dates? This makes it sound like the tool uses a single risk free rate for all excess return calculations.

7 months agoby k2enemy

Probably better to give some interpretation of the achieved Sharpe, to help end users interpret the results, rather than curating a whole zoo of exotics that nobody understands.

7 months agoby shabbychef