Programming the statistical procedures from SAS

Sharpe ratio

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Occasional Contributor
Posts: 12

Sharpe ratio

Hi guys,

I am working on a project for school, and I was wondering if I could calculate the sharpe ratio by  SAS?

My dataset consists of daily returns of mutual funds (=colom ret fund) and the return of their benchmarks (colom market)

I first tried to do this manual in excel, but with my 660 000 datapoints, I quickly gave it up.

Can anyone help me?

Thanks a lot in advance

Respected Advisor
Posts: 3,147

Re: Sharpe ratio

This paper seems relevant:

http://www.nesug.org/proceedings/nesug04/ap/ap16.pdf

Haikuo

Occasional Contributor
Posts: 12

Re: Sharpe ratio

Hi,

I also found this paper, but I don't know how to put that in my code?

I am not so good at SAS, so I am sorry if I ask stupid questions...

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