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Here is my opinion of CAPM and Sharpe Ratio while you research your potential profitable quant trading strategy

(Last Updated On: September 14, 2013)

Here is my opinion of CAPM and Sharpe Ratio while you research your potential profitable quant trading strategy

This came in from some one on my email list:
Question:
do you know much about capm or sharpe ration?
http://www.investinganswers.com/financial-dictionary/stock-valuation/capital-asset-pricing-model-capm-1125
I want to write my own sharpe ratio and was hoping someone can help clarify a few things

My response:

I am no expert but I do believe CAPM is really decent for finding beta. That is about it.

Sharpe ratio is an industry standard to find the performance on your trading strategies.

More info on the function from Matlab from:

http://www.mathworks.com/discovery/capm.html

http://www.mathworks.com/help/finance/sharpe.html

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