|
#1
12-29-2006, 12:42 PM
| |||
| |||
 Re: Dollar weighted Sharpe ratio - make sense? On Thu, 28 Dec 2006 12:56:01 -0600, The Guy <chainyanker60[at]nyetspam.hotmail.com> wrote: - quote - > Does a dollar weighted Sharpe ratio calculated for a portfolio of mutual
I think it would only "make sense" if it agreed with the computation of the> funds make sense for a point in time? The Sharpe ratio for each fund > would be used in the weighting. > TIA Sharpe Ratio for the entire portfolio of funds. Of course, the latter might be simpler to calculate. --ron |
|
12-28-2006, 09:18 PM
| |||
| |||
| Re: Dollar weighted Sharpe ratio - make sense? The Guy wrote: - quote - > Does a dollar weighted Sharpe ratio calculated for a portfolio of mutual
I don't know how your computed Sharpe ratio will be used, but to> funds make sense for a point in time? The Sharpe ratio for each fund > would be used in the weighting. evaluate a portfolio of mutual funds, I think it is better to compute the Sharpe ratio of the portfolio returns, which would give proper credit to portfolios of funds with low correlations to each other. |
|
#-1
12-28-2006, 05:56 PM
| |||
| |||
| Dollar weighted Sharpe ratio - make sense? Does a dollar weighted Sharpe ratio calculated for a portfolio of mutual funds make sense for a point in time? The Sharpe ratio for each fund would be used in the weighting. TIA -- The Guy |
| Tags |
| dollar, make, ratio, sense, sharpe, weighted |
Similar Threads | ||||
| Thread | Forum | Replies | Last Post | |
| Does VUL make sense? sugargenius: Sorry if this is a repost, but I tried to post last night and it's not showing up on my news server. I recently went into business for myself,... | Financial Planning | 20 | 12-16-2005 03:58 PM | |
| Does it make sense to pay off a loan early? Jeff: Hi Folks, I am taking out a 60 month loan at 5% interest (home equity), using the cash to invest. I am not a sophisticated investor but have done... | Financial Planning | 15 | 11-26-2004 05:54 PM | |
| ESPP Turbo Tax worksheet -- does not make sense?! kuzo robinson: I am using TurboTax to report the ESPP. It makes no sense to me how the worksheet brakes down what I think should be reported as long term gaim... | Taxes | 8 | 04-30-2004 07:49 AM | |
| balances that don't make sense Discouraged Money User: I've had Money 2002 Deluxe since it came out. I've gone through the setup thing at least 20 times and I still have problems getting any statements... | Microsoft Money | 2 | 01-22-2004 03:50 PM | |
| Thread Tools | |
| Display Modes | |
| |
Linear Mode
