Calc Portfolio Sharpe Ratio

Discussion in 'Professional Trading' started by savagemp5, Mar 29, 2011.

  1. I wld like to ask traders here on 2 things.

    1) Calculating a typical portfolio Sharpe Ratio. Say for eg, I have an daily AUM to calculate the PnL on a daily or even monthly basis.

    Problem is my AUM increases when I add funds into it too. How do I differentiate an increase in AUM is caused by some share rise, and some by adding new cash ?

    2) Next on Sharpe Ratio itself, By using this performance metric, would I say I do not need to care about my portfolio beta anymore ?

    Most public funds I see has a close 0.9 to 1.1 beta, with Long/Short positions, or has a mandate to keep to that. I am trying to follow that, but sometimes its kinda of hard (maybe some Long or Short positions has high beta).

    Would using sharpe ratio be a standard, or should I keep to my Alpha calculation (keep in mind sortina too) ?