Hi Steve, You should use the effective yeild,NOT the discount rate as in high interest rate enviorments you will have significant discrepancies.With a 5.07 yeild there is only a 13 bps dicrepency,so its no big deal..
What you really should be concerned with is including dividends in the numerator.If you happen to be backtesting stocks with high yeilds that are going ex dividend during your backtesting period,you will be severly understating your excess return if you dont include dividends(yeild) Its not a big deal as a measure of risk as long as you are consistent.Also,check to see if you are comparing your "ulcer" vs someone elses,if theres is dividen adjusted..Apples to apples If you would like some more info as why the Ulcr is a far better measure than traditional Sharpe http://www.tangotools.com/ui/ui.htm Any questions,feel free to ask or write me directly Allan There i something far more important than --- In [email protected], "Steve Dugas" <[EMAIL PROTECTED]> wrote: > > Hi All, > > Is there any reason that AB's risk-free return rate should be different for Sharp Ratio and UPI? Should I just use 3 month T-Bill for both? If so, should I use the yeild (5.07) rather than the discount (4.94)? Thank you! > > Steve > Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
