01-07 Sharpe ratio and other por

prices>> 归一化>> 投资组合比率>> 金额

normed = prices/prices[0]
alloced = normed * allocs
pos_vals = alloced * start_val
port_val = pos_vals.sum(axis = 1)

• 投资组合统计数据

daily_rets = daily_rets[1:]
cum_ret = (port_val[-1]/port_val[0]) -1 # 累计收益
avg_daily_ret = daily_rets.mean() # 平均每日收益
std_daily_ret = daily_rets.std() #每日收益标准差
sharpe_ratio #夏普比率

all else being equal

• lower risk is better
• higher return is betterall else being equal

:portfolio return 回报
:risk free rate of return （国债收益等）
: std dev of portfolio return 回报标准差

以上计算用的都是日化无风险收益
SR is an annual measure
SR can vary widely depending on how frequently you sample

so

basis point 基点：0.01%

Quiz: given 60 days of data
avg_daily_ret = 10 bps = 0.001
daily_risk_free = 2 bps = 0.0002
std_daily_ret = 10 bps = 0.001

1. Cumulative Return
2. Average daily return
3. std Return, a.k.a. Risk
4. Sharpe Ratio