dyga

1. By lengthening the measurement interval - std deviation increases.

Usually annual std dev > weekly std dev.
But what is a way this number can be gamed?
if you calculated a weekly std deviation and converted it into a annual std deviation using
annual std dev calculated = weekly std dev * sqrt(52) (since there are 52 weeks in a year) the annual calculated std dev will be a smaller number.

but numerator likewise would not be affected. It would be more or less the same number (r weekly * 52 would be approximately equal to r-annual.)

but now since a lower annual std dev calculated is used - the sharpe ratio now would be a HIGHER number (since the denom. is lower).

2:
Returns are compounded. So numerator = (1+rweek1)*(1+rweek2)*...(1+rweek52) - 1
std dev = monthly std dev*sqrt(12). (not compounded).

return would most likely be equivalent to the annual return (or off by a very little bit).
but std deviation calculated as above would be lower - so end result Sharpe Ratio would be higher.

CP