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bjinge
Calcite | Level 5

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

2 REPLIES 2
Haikuo
Onyx | Level 15

This paper seems relevant:

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

Haikuo

bjinge
Calcite | Level 5

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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