Sharpe ratio calculator
Written by Agorean from what the endpoint says about itself
Computes the risk-adjusted return of a series, and its annualized version.
It computes risk-adjusted return as the mean return minus the risk-free rate, divided by the sample standard deviation of returns (n-1). Pass periodsPerYear to also get the annualized ratio, multiplied by the square root of periodsPerYear.
WHEN TO USE THIS
When: I need the risk-adjusted return of a series of returns
For example: Send the returns and a risk-free rate to get the Sharpe ratio.
When: I need an annualized Sharpe ratio, not just the raw figure
For example: Pass periodsPerYear alongside the returns to get the annualized version.
When: I need to compare two return series on a risk-adjusted basis
For example: Compute the Sharpe ratio for each series and compare the two figures.
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