Friday, September 14, 2012

Version 1.5.5 is out, just tell it what's the risk free yield to affect Sharpe measurement

Talk about an evolution. It started with a temporary glitch on Yahoo!Finance which forced me to revert to a default yield value, and allow alternative real world result for the "risk free yield" being used to measure Sharpe. And then I was asked over on email: well, why not let us pick the yield? It will allow better Particle-Swarm optimization, and will allow meager results to be disqualified as negative Sharpe.

Download on this site, version 1.5.5 is out.


Monday, September 10, 2012

New version out: 1.5.4, resolving Sharpe calculation issue

Up until now, Sharpe calculations were based on the reported yield of the ETF SHV, representing short term treasury bonds. The value was downloaded from Yahoo!Finance.

Well, today I noticed that the download results for this ticker right now report N/A on the yield (the html page still has a value). Which brings me to today's version providing our users with two options:

a. If the value is missing or can't be downloaded at the time, it will be assumed as 0.2 - allowing both Sharpe calculation per back-test session, and allowing comparing portfolios

b. The users can now choose to use a different ETF ticker to consider its dividend yield as the risk free return value. So, if you manage to find a risk free investment out there today that's safer than SHV... and is not 0 in yield - be my guest.

Download from this site on the download page or click on the snapshot on the right column of the blog.


Friday, September 7, 2012

The tool for Sharpe evaluation!

I've been tracking recent traffic and was happy to see new users being introduced through a great article on mREITs I Am Buying With The Proceeds Of My mREIT ETF Sale

Investors, this is the tool for you - those who seek offline tool to evaluate their current, and future investment options.

It's free, and it's yours, and every comment and request by user makes it even more valuable.