CV and Sharp Ratio

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whodey

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When calculating the CV and Sharp Ratio for portfolios do you use the arithmetic mean or the geo mean?

This seems simple but there was a question like this on one of the mock exams and I honesntly didn't know the answer. Thanks.
 
AM for everything but time weighted return.

i've read that line about 7 times in the last few days.
 
Why is that? Wouldn't GM be a better measure of risk/return?
 
I had the same problem. Fortunately the test made it clear based on the options.

Arithmetic for all statistical calcs.
 
speshaled Wrote:
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> How come for Mock 1 the answer uses Geo mean for
> CV?


errata likely
 
AM for sure.

GM is appropriate for sequential time series.
 
it does not say this. the only thing on mock one that states geo is correct is the value line index b/c it is an unweighted index. almost everything except for time-weighted returns and unweighted indexes are am.
 
use geometric only if you need the compounding effect to be included in your value. and thats why we use it in time weighted return
 
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