Message Font: Serif | Sans-Serif
 
UnThreaded | Threaded | Whole Thread (2) | Ignore Thread Prev | Next
Author: humblehenri Big red star, 1000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 33138  
Subject: SD and GSD Date: 5/15/2012 9:53 AM
Post New | Post Reply | Reply Later | Create Poll . Report this Post | Recommend it!
Recommendations: 0
Anyone:

I've been a member for many years, yet still have Foolish questions! Long story made short: In order to calculate the Sharpe Ratio, we need the arithmetic mean of the (usually, yearly) returns R (call it <R>). Also the risk-free return (either every year, or an average; subtract that from <R>, then divide the whole thing by the SD.

However, the standard calculation for any screen gives the CAGR and the GSD, which is fine. It also gives the SR, BUT it is not at all clear how that is found! (Unless a separate calculation of the ROI and the SD are made, and not shown). Could someone be kind enough to write down the mathematical expression for getting the SR when only the CAGR and GSD are calculated?

It would also be useful to know whether (and how) it is possible to obtain the arithmetic return (ROI) from the CAGR. I could expand the mathematical expressions for the logarithms, and obtain an approximation, but that seems like a lot of work!

Thanks in advance

Henri
Post New | Post Reply | Reply Later | Create Poll . Report this Post | Recommend it!
Print the post  
UnThreaded | Threaded | Whole Thread (2) | Ignore Thread Prev | Next

Announcements

Post of the Day:
Value Hounds

Mylan Transitioning from Generics
What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
Community Home
Speak Your Mind, Start Your Blog, Rate Your Stocks

Community Team Fools - who are those TMF's?
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and "#1 Media Company to Work For" (BusinessInsider 2011)! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.
Advertisement