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    Posts made by damnedlies

    • 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?

      posted in Support
      damnedlies
      damnedlies
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