Versions Compared


  • This line was added.
  • This line was removed.
  • Formatting was changed.


We compute sharpe ratios depending on the choice of currency to report returns, assuming that for the 'risk-free' asset for any given investor is the domestic 3-month risk-free asset. A Sharpe Ratio based on local currency returns and risk-free rates is also computed using local currency excess returns, as described  here.

We also compute an Adjusted Sharpe ratio to account for the skewness and excess kurtosis in the returns distribution

LaTeX Math Block
AdjSR_{T} = SR_{T} \times [ 1 + \frac {S} {6} \times SR_{T} - \frac {(K - 3)} {24} \times SR_{T}^2]


LaTeX Math Inline
 is the skewness of the return distribution

LaTeX Math Inline
 is the excess kurtosis of the return distribution