I don't have enough points to post links yet goddamnit.
I’m trying to calculate the Modified Sharpe ratio of the Nasdaq returns over the last 10 years as of March 2021, using monthly data. I’m very familiar with calculating the traditional Sharpe, and I'm getting a Sharpe of 1.05 which seems roughly correct. However, MVaR results in a negative number, making my Sharpe negative which seems overly punitive. I could use the absolute value, but it’s still too small of a number. My annualized standard deviation is 15.63%, and the absolute value of my MVaR is 9.42%. This makes my Modified Sharpe (1.78) much better than my traditional Sharpe (1.05), which doesn’t seem right to me! Should I be annualizing the MVaR? Should I be doing something else? What am I missing here?
Thanks for the help!
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