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Yeah, and nay. 365 makes sense talking interest. But so does 360. And then there's +1/+2. And more fancy stuff. It all depends on currency. So, 365 makes
by zhte415 6y ago
Yeah, and nay.
365 makes sense talking interest. But so does 360. And then there's +1/+2. And more fancy stuff. It all depends on currency. So, 365 makes sense from a mentality of opportunity cost and accrual, given an ACT365 currency.
And I wouldn't go with 252 because of OTC.
I also would strongly advise against Sharpe ratios. From the title of the post - which I have my own problems with the post, but - "Why only buy when you can also sell?" really highlights why not to go with Sharpe, or Sortino, ratios: non-normal returns are the normal. Better with Omega, which is a concept already 20 years old but finance oddly sticks to the 80s.
- smabie 6y agoThe Omega ratio doesn't solve the problem of non-normal returns. In fact, it makes it worse: The Omega ratio requires a cumulative distribution function of the returns!
- davinci26 6y agoI would love to know your problems with the post :) If you got spare time feel free to reach out either here or via email or via Twitter, whichever is more convenient