Sharpe Ratio

v1.0.0

Compute the Sharpe ratio of one or several portfolio(s) from either:

Portfolio assets arithmetic returns and assets covariance matrix
Portfolio values

References

Carl R. Bacon, Practical Portfolio Performance Measurement and Attribution
Harry M. Markowitz, Portfolio Selection, Efficient Diversification of Investments, Second edition, Blackwell Publishers Inc.

Input

{
  "type": "object"
}

Output

{
  "type": "object",
  "required": [
    "portfolios"
  ],
  "properties": {
    "portfolios": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "portfolioSharpeRatio"
        ],
        "properties": {
          "portfolioSharpeRatio": {
            "type": "number",
            "description": "The Sharpe ratio of the portfolio"
          }
        }
      }
    }
  }
}