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Sharpe Ratio and Sortino Ratio for a Portfolio in SQL

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23 Apr 2006CPOL5 min read 50.7K   38  
Calculates Annualized Sharpe Ratio and Sortino Ratio for a Portfolio Trading History in SQL

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This article, along with any associated source code and files, is licensed under The Code Project Open License (CPOL)


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United States United States
Andrew Peters is a systems developer interested in non-trivial trading systems and financial systems architecture. He is currently focused on realtime, high performance multi-threaded applications running on the server and the desktop.

After a 4 year stint in China learning Mandarin and Tibetan, Andrew returned to the US to learn more about enterprise development and financial markets. While in China, he translated meetings between demure Communist officials and angry American businessmen, served coffee and fetid tofu in his 'BaiSuiFang' Coffee Shop, started Fabrefactum Software and was generally laughed at for his stupid jokes in Chinese.

He currently helps the pricing/analytics team hack on code at Chatham Financial, an interest rate and foreign exchange derivative consulting company.

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