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?
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?
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.
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.
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[ 4.8 ms ] story [ 23.4 ms ] threadMany 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?
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.