Hi guys, bit of a random question, and I am probably being a dunce, but here goes:
Obviously the ex post Sharpe ratio can be negative, if portfolio returns over the period have been negative;
But if say two portfolios have produced the same, e.g. -10% return over a period, and one has SD of 5%, and the other of 2%, the portfolio with the higher SD will come out with the ‘better’ Sharpe ratio, i.e. -2 as opposed to -5, which is wrong…
Was just wondering if anyone perhaps had a way around the issue in Excel? Am trying to put together some portfolio stats for 2008 returns that show negative performance!