Sharpe ratio calculation

[pingua]

Hi, thanks for this great library.
I just want to confirm if the Sharpe ratio calculation here is intentional or if it might be an oversight.
https://github.com/JerBouma/FinanceToolkit/blob/aa6cb284cda91b6c695b3e5a6fd08153c4220c37/financetoolkit/performance/performance_model.py#L511C1-L515C53

Shouldn't it be excess_returns.mean() / excess_returns.std()?

[JerBouma]

Hi! The calculation is entirely dependent on the period you select. For example lets say you select "monthly" as a period, in that case it uses a DataFrame with 3 index levels (ticker, month, days within the month) and calculates the average return and standard deviation within the month. This is where it makes sense to do excess_return.mean() / excess_return.std() (in this case this is done with a lambda) given that you are then asking for the monthly Sharpe ratio.

However, the regular daily Sharpe Ratio (not within a period) is simply (Return - Risk Free Rate) / (Standard Deviation of Return minus Risk Free Rate) and that is exactly why you do not see a .mean() at the other parts of the code.