What are Sharpe returns relative to?
-
The FAQ says that your calculation of the Sharpe ratio uses "the time series of the daily relative returns during a Competition".
The 1966 formulation of the Sharpe ratio uses the difference of returns and a risk-free return (such as government security), while others might use a benchmark against the relevant security (S&P500).How are relative returns calculated for the Sharpe ratio in Competition scoring?
-
@damnedlies Hello:
-
we are taking relative daily returns, in other words the ratio: [price(t)-price(t-1)]/price(t-1)
-
we are using no benchmark.
Note also that we apply reinvesting when computing the numerator of the Sharpe ratio (geometric mean)
-
