Annualized Sharpe Ratio from monthly data final, adjust, correct, monthly, 2011

dkishore1

Anyone know the correct way to compute the annualized Sharpe ratio from historical monthly or quarterly data?

Do you first annualize the components then compute the ratio, or do you compute the ratio on raw data and adjust the final calculation?

Thanks,



Edited 1 time(s). Last edit at Saturday, August 27, 2011 at 01:01PM by Hank Moody.