STD and Sharpe Ratio

Discussion in 'Trading' started by dragonman, Jan 22, 2013.

  1. Hi, I have questions regarding calculating standard deviation and Sharpe ratio with respect to a stock portfolio:

    1. Is a standard deviation of a stock portfolio generally expressed as % (i.e., by measuring the deviation of the stock portfolio's return from its average return)? For instance, if my portfolio returns were 2%, 3%, 4% and -5% at the recent 4 months, will the standard deviation be 4.08% or just 4.08?

    2. Is a Sharpe ratio of a stock portfolio generally expressed as % as well? For instance, if the total return of the portfolio in the recent year was 10%, the risk free rate was 0.25%, and the portfolio's standard deviation was 4%, will the Sharpe ratio be 2.43% or just 2.43?

    Thanks in advance for any help.
     
  2. misaki

    misaki

    It doesn't matter whether you use % or dollar value. The Sharpe ratio is dimensionless.
     
  3. Lucrum

    Lucrum

    From the thread title I thought it was Sexually Transmitted Diseases.
     
  4. misaki

    misaki

    :D