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voiage.financial.risk_analysis.calculate_sharpe_ratio

calculate_sharpe_ratio

Section titled “calculate_sharpe_ratio”
calculate_sharpe_ratio([positional or keyword] returns: np.ndarray | list[float] = None, [positional or keyword] risk_free_rate: float = 0.0, [positional or keyword] annualize: bool = False) -> float

Calculate Sharpe ratio for portfolio or investment performance.

Args: returns: Array of historical returns or simulated returns risk_free_rate: Risk-free rate (default 0.0) annualize: Whether to annualize the Sharpe ratio (default False)

Returns

Section titled “Returns”

float: Sharpe ratio

Parameters:

  • returns np.ndarray | list[float]
  • risk_free_rate float (default: 0.0)
  • annualize bool (default: False)

Returns: float