Sharpe (90d)
Return per unit of risk over the last 90 days
Description
The Sharpe ratio relates return to risk.
Higher values occur when an asset delivered returns while moving relatively smoothly (with less volatility).
We use a short 90-day window. It reacts quickly to market regimes, but it’s also more sensitive to short-term outliers.
Important: in this simplified variant we don’t subtract an explicit risk-free rate — it’s mainly meant for comparisons within this universe.
Source
Calculation
- 1) r_t = (Price_t / Price_{t-1}) − 1
- 2) R_90 = Π(1 + r_t) − 1
- 3) σ = std(r_t)
- 4) σ_90 = σ * √90
- 5) R_90 / σ_90
Interpretation
- Higher is better.
- Values around 0 mean: little return relative to volatility — values below 0 indicate negative return while still taking risk.
Ranking
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