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Annualized Sharpe Ratio Calculation #44

Open jakewillms17 opened 5 months ago

jakewillms17 commented 5 months ago

Wondering why the annualized sharpe ratio calculation doesn't line up with the traditional methodology of annualized return / annualized volatility?

qs.stats.cagr(returns)/qs.stats.volatility(returns) 0.6317448862990539 qs.stats.sharpe(returns) 0.8451565697277529

returns is a daily returns object. All other resources I've worked with give a number like the 0.6317 value (R, online resources).

jakewillms17 commented 5 months ago

following up on this, most of the difference was as a result of the 365 days for a period. This should be 252. the rest, however, would have to do with using arithmetic vs. geometric return when calculating Sharpe I believe?