% Sharpe Ratio Calculation using Financial Time Series Toolbox
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% Example data: Replace with your actual return series
% Assume 'returns' is a vector of asset returns (e.g., daily returns)
returns = [0.01, -0.005, 0.007, 0.002, -0.003, 0.004, 0.006]; % Sample data
% Define the risk-free rate (annualized). Adjust based on your context.
riskFreeRateAnnual = 0.02; % 2% annual risk-free rate
% Convert annual risk-free rate to the same period as returns (e.g., daily)
% Assuming 252 trading days in a year
riskFreeRate = riskFreeRateAnnual / 252;
% Calculate excess returns
excessReturns = returns - riskFreeRate;
% Compute the mean and standard deviation of excess returns
meanExcessReturn = mean(excessReturns);
stdExcessReturn = std(excessReturns);
% Calculate the Sharpe Ratio (assuming returns are in the same period as risk-free rate)
sharpeRatio = meanExcessReturn / stdExcessReturn;
% Annualize the Sharpe Ratio if needed
% sharpeRatioAnnualized = sharpeRatio * sqrt(252);
% Display the Sharpe Ratio
fprintf('Sharpe Ratio: %.4f\n', sharpeRatio);
% fprintf('Annualized Sharpe Ratio: %.4f\n', sharpeRatioAnnualized);
