sharpe ratio in Financial time series toolbox

Dear all,

I used the "sharpe" function to calculate the sharpe ratio of my monthly return data. But the result is different from the the function I wrote using the definition from http://financetrainingcourse.com/education/2011/04/market-risk-metrics-sharpe-and-treynor-ratios/.

Here is my code:

RI = (sum(Return))*12/N; % holding period return
MonSigma = std(Return); % monthly volatility
AnuSigma = MonSigma*sqrt(12); % annual volatility
IPO.SharpeRatio = (RI-RIF)/AnuSigma;

could anyone help me out with this?

Thank you.

Answer 1

[Sean de Wolski]

Just run:

edit sharpe

Scroll down and you can see exactly what it's doing. Looks like likes 75:79 are the engine.

[Kaijie Cui]

Thank you for your answer. I checked the sharpe source code, the problem is I do not understand what kind of data is the function "sharpe" working with, annual return? monthly? or daily? That might be financial question not Matlab question...

[Sean de Wolski]

It describes it in the doc for sharpe and provides an example.