Sharpe Ratio

Discussion in 'Options' started by uptickk, Feb 1, 2010.

  1. uptickk

    uptickk

    I was just wondering what are acceptable benchmarks for various spread types (i.e. vertical and calendar spreads on the S&P 500 (SPX)? I am trying to calculate my Sharpe ratio and I am not sure what I should be benchmarking myself against. Additionally, is there an industry period you should use (i.e. annually, quarterly, monthly)?

    Any ideas would be greatly appreciated

    Thanks
     
    #1     Feb 1, 2010
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  2. autocore

    autocore

    Sharpe Ratio is always benchmarked against the risk free rate.
    Information Ratio is benchmarked vs several benchmarks
     
    #2     Feb 1, 2010
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