You can expect a more detailed explanation of the what’s and why’s to the following changes to come later this week.
When the term excess is used below, it means that, for a given period, T-bill is subtracted from return.
The changes affect Standard Deviation, Sharpe, Sortino, Correlation, R-Squared, Beta, and Alpha.
Previously, these statistics all used a daily period for returns. They have been changed to use a monthly period.
Standard Deviation and Sharpe now take sample standard deviation instead of population standard deviation.
Sharpe takes the summation of the excesses for the numerator instead of the excess of the summation of the thereof.
Sortino takes the sample semi-deviation for the denominator instead of excluding zeros to compute population standard deviation.
Correlation now takes excesses for both portfolio and benchmark.
Beta is unchanged besides its use of a monthly period.
Alpha has been revised to compute alpha for a monthly period and annualize it. Previously, it was using daily returns to compound the excesses for the whole period then annualizing that value.
Please see ‘Glossary of Risk Statistics’ in the ‘Help’ menu for details on the current methodology.