I was wondering too. If someone is sophisticated enough to have their return data in a CSV, calculating a Sharpe ratio is trivial. The hard part is already done.
I think professional-grade is referring to their calculator not the statistic. I don't see what would make this site better than throwing your CSV into a spreadsheet or a simple script that would make it considered professional-grade.
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.
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.
Who is the intended user for this? Pretty much anyone can calculate a mean and standard deviation without a bespoke website.
I was wondering too. If someone is sophisticated enough to have their return data in a CSV, calculating a Sharpe ratio is trivial. The hard part is already done.
Yeah, what is a "professional grade" sharpe ratio compared to a shape ratio
I think professional-grade is referring to their calculator not the statistic. I don't see what would make this site better than throwing your CSV into a spreadsheet or a simple script that would make it considered professional-grade.
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.
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?
> Our tool automatically uses the up to date Secured Overnight Financing Rate (SOFR).
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.
How about adding a demo? A demo may even be for a made up non existing fund, named Acme Fund.
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.