Skewness consideration for Sharpe Ratio
Skewness consideration for Sharpe Ratio
I have calculated Skewness of the full time period monthly returns for all the portfolios 50-50 Gold Sensex, 50-50 USA Sensex and Sensex and they at worst indicate moderate skew so this suggests Sharpe Ratio is good measure of risk adjusted returns if we are comparing sharpe ratios which are computed using full time period monthly returns but I am wondering does this still hold true if we are to comparing sharpe ratios which are computed using 5 year rolling monthly returns. These Sharpe Ratios are what I call 5 Year Rolling Sharpe Ratio. Do I need to consider skewness of the portfolios 5 year rolling monthly returns instead?
Land/Real Estate:89.4% (Land/RE is Inheritance which will be recieved in 10-20 years) Equities:7.6% Fixed Income:1.7% Gold:0.8% Cryptocurrency:0.5%