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Multiply by 12 for log returns, CAGR for arithmetic.
For stdev, you just have to realize that you multiply by 12 for variance, so for standard deviation you multiply by the square root of 12.
Hence if you multiply by 12 on top and divide by the square root of 12 on the bottom, you would adjust the Sharpe ratio by the square root of 12. |
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发表于 2011-10-13 00:35
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