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Python Data Analysis Cookbook
book

Python Data Analysis Cookbook

by Ivan Idris
July 2016
Beginner to intermediate
462 pages
9h 14m
English
Packt Publishing
Content preview from Python Data Analysis Cookbook

Ranking stocks with the Sharpe ratio and liquidity

The Sharpe ratio, defined by William Sharpe, is a fundamental investing metric. The ratio is given as follows:

Ranking stocks with the Sharpe ratio and liquidity

The ratio depends on the returns of the asset and the returns of a benchmark. We will use the S&P 500 index as the benchmark. The ratio is supposed to represent a reward to risk ratio. We want to maximize reward while minimizing risk, which corresponds to maximizing the Sharpe ratio.

Another important investing variable is liquidity. Cash is the ultimate liquid asset, but most other assets are less liquid, which means that they change value when we try to sell or buy them. We will use trading ...

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Publisher Resources

ISBN: 9781785282287