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Show HN: Sharpe Ratio Calculation Tool

(www.fundratios.com)
23 points navquant | 1 comments | 29 Jun 25 17:38 UTC | HN request time: 0.207s | source

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?
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molsson ◴[29 Jun 25 20:30 UTC] No.44416175[source]▶
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?

replies(1): >>44420589 #
1. navquant ◴[30 Jun 25 07:52 UTC] No.44420589[source]▶
Right now it uses the total stddev of the portfolio, over the full history provided. It can be changed fairly easily to compute it over a moving window of 1/3/5 years.