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patina


Total Posts: 1
Joined: Sep 2020
 
Posted: 2020-09-08 11:00
Hi,
I'm looking to retrospectively calculate the sharpe on a number of trades I have placed.
I trade a portfolio weekly, but in each week the individual elements are not traded at the same time.
Enclosed is an example of these trades.

I've been recommended to look at the CFA calculation of sharpe - does anyone know how I can best look at this?

Many thanks in advanceAttached File: Trading Example.xls

Patrik
Founding Member

Total Posts: 1376
Joined: Mar 2004
 
Posted: 2020-09-18 16:33
When and how often you trade has nothing to do with evaluating a realized sharpe. You just need consistent M2M of your portfolio at concurrent snapshots in time (of whatever frequency you want to use for estimating sharpe).

The data you have in your sheet is worthless in terms of the question. You need daily/weekly/monthly (whatever frequency you intend to use) M2M values of your portfolio.

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