Sharpe Ratio

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

  1. 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

  2. autocore


    Sharpe Ratio is always benchmarked against the risk free rate.
    Information Ratio is benchmarked vs several benchmarks