how do you quantify your performance

So my figure is correct. square root of 256 is 16, and I use the factor of 15 instead of 16 for a rough estimate.

 

Perhaps I got lost along the way with various Q's, but yes - you take the StDev calculated from daily data and multiply by sqrt(256) to give you the annualised volatility %.

 

I think you divide (not multiply) the daily stdev by sqrt(256) to find the annualized volatility.

So the annual Sharpe ratio is sqrt(256) = 16 times higher than the daily Sharpe ratio.

 

No, you multiply daily to get annualized. Volatility increases with the square root of time.

 

You are right. You need to multiply the square root of time to get annual volatility, but you need to multiply t with daily return to get annual return. The effect is:

Annual Sharpe ratio = square root of 256* daily sharpe ratio
= 16*daily sharpe ratio.

I hope i got it right this time.

 

yip

Have a look at a few worked examples here;

http://www.miapavia.it/homes/ik2hlb/sr.htm

 

Profitaker,

I think i got it right. There is web info from Sharpe in case someone is interested to know more.


http://www.stanford.edu/~wfsharpe/art/sr/sr.htm

 

yip

I'm sure you have it right. It's not difficult, and a very useful indicator IMHO.