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.


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