tag:blogger.com,1999:blog-7905515.post888581675959783486..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: R2s and SharpesEric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-7905515.post-72452829212852924162010-01-25T20:12:55.463-06:002010-01-25T20:12:55.463-06:00egads, you're right! I spent so much time try...egads, you're right! I spent so much time trying to get those darn equations to work I didn't check them enough. It seems, with MathType, the equations are buggy, and sometimes show up, sometimes not, as if there's a randomizer in them.Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-52973663658503872532010-01-25T10:42:27.797-06:002010-01-25T10:42:27.797-06:00I think you made a mistake when you annualized.
I...I think you made a mistake when you annualized.<br /><br />I believe you should have simply multiplied the formula by sqrt(t). Instead, you put the radical around everything.<br /><br />In other words, I think annualized Sharpe should be (rho/sqrt(1+rho^2))*sqrt(t).<br /><br />Correct?<br /><br />Thanks for your great blog.Charles Penningtonhttps://www.blogger.com/profile/02280382872632299977noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-70375032037942556342010-01-19T04:19:28.624-06:002010-01-19T04:19:28.624-06:00Just a heads-up, the "white on transparent ba...Just a heads-up, the "white on transparent background" images are very hard to make out when viewed over a white background (for example, in Google Reader).Anonymoushttps://www.blogger.com/profile/13952924286037255721noreply@blogger.com