Hello,
I am working on finding Sharpe and Sortino ratios for longer than 2 years. So far, I have this formula ((100*Sharpe(500,5,251)+50*Sharpe(250,5,0))/365) for $Sharpe3Y. It took some reverse engineering to do this. Does anyone have formulas for Five-Year Sharpe or 10-Year Sortino? Thanks in advance for your help.
TheBarnacle