how do you quantify your performance

Quote from Profitaker:

yip

You take the sandard deviation of your daily returns. Then, since these are daily returns, you multiply it by the square root of 252 (maybe 256 for the yanks). This will then give you the "annualised" volatility.
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So my figure is correct. square root of 256 is 16, and I use the factor of 15 instead of 16 for a rough estimate.
 
Quote from yip1997:

So my figure is correct. square root of 256 is 16, and I use the factor of 15 instead of 16 for a rough estimate.
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Perhaps I got lost along the way with various Q's, but yes - you take the StDev calculated from daily data and multiply by sqrt(256) to give you the annualised volatility %.
 
Quote from Profitaker:

Perhaps I got lost along the way with various Q's, but yes - you take the StDev calculated from daily data and multiply by sqrt(256) to give you the annualised volatility %.
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I think you divide (not multiply) the daily stdev by sqrt(256) to find the annualized volatility.

So the annual Sharpe ratio is sqrt(256) = 16 times higher than the daily Sharpe ratio.
 
Quote from yip1997:

I think you divide (not multiply) the daily stdev by sqrt(256) to find the annualized volatility.

So the annual Sharpe ratio is sqrt(256) = 16 times higher than the daily Sharpe ratio.
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No, you multiply daily to get annualized. Volatility increases with the square root of time.
 
Quote from MTE:

No, you multiply daily to get annualized. Volatility increases with the square root of time.
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You are right. You need to multiply the square root of time to get annual volatility, but you need to multiply t with daily return to get annual return. The effect is:

Annual Sharpe ratio = square root of 256* daily sharpe ratio
= 16*daily sharpe ratio.

I hope i got it right this time.
 
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