SQL Server MovingSHARPE Function

Updated 2024-03-14 15:25:40.757000

Description

Use the scalar function MovingSHARPE to calculate the Sharpe ratio from column values in an ordered resultant table without the need to a self-join. The Sharpe ratio is calculated for each value from the first value in the window to the last value in the window. If the column values are presented to the function out of order, an error message will be generated.

The Sharpe ratio is calculated using Sharpe's 1994 revision of his original formula and is calculated as the mean difference of the returns and risk-free rate divided by the standard deviation of the differences multiplied by the square root of a scaling factor. For daily returns the scale factor might be 252; for weekly returns 52; for monthly returns 12. For the sake of consistency, the risk-free rate should be in the same units as the scaling factor. The standard deviation is the sample standard deviation.

SHARPE=\ \frac{\bar{R}-\ \bar{R_f}}{\sigma_{R-R_f}}\ast\ \sqrt{scale}

Syntax

SELECT [westclintech].[wct].[MovingSHARPE](
  <@R, float,>
 ,<@Rf, float,>
 ,<@Scale, float,>
 ,<@Prices, bit,>
 ,<@Offset, int,>
 ,<@RowNum, int,>
 ,<@Id, tinyint,>
 ,<@Exact, bit,>)

Arguments

@R

the return or price value; if return values are being supplied, it should the percentage return in floating point format (i.e. 10% = 0. 1). @R is an expression of type float or of a type that can be implicitly converted to float.

@Rf

the risk-free rate. @Rf is an expression of type float or of a type that can be implicitly converted to float.

@Scale

the scaling factor used in the calculation. @Scale is an expression of type float or of a type that can be implicitly converted to float.

@Prices

a bit value identifying whether the supplied @R values are prices (or portfolio values) or returns. If @Prices is true, then the return is calculated. @Prices is an expression of type bit or of a type that can be implicitly converted to bit.

@Offset

specifies the window size. @Offset is an expression of type int or of a type that can be implicitly converted to int.

@RowNum

the number of the row within the group for which the Sharpe ratio is being calculated. If @RowNum for the current row in a set is less than or equal to the previous @RowNum and @RowNum is not equal to 1, an error message will be generated. @RowNum is an expression of type int or of a type that can be implicitly converted to int.

@Id

a unique identifier for the MovingSHARPE calculation. @Id allows you to specify multiple moving Sharpe ratio calculations within a resultant table. @Id is an expression of type tinyint or of a type that can be implicitly converted to tinyint.

@Exact

a bit value which tells the function whether or not to return a NULL value if the number of rows in the window is smaller the @Offset value. If @Exact is 'True' and the number of rows in the window is less the @Offset then a NULL is returned. @Exact is an expression of type bit or of a type that can be implicitly converted to bit.

Return Type

float

Remarks

If @Scale IS NULL then @Scale is set to 12.

If @Prices IS NULL then @Prices is set to 'False'.

Examples

In this example we have 60 months' worth of return data for and we want to calculate the SHARPE ratio with a window size of 36 rows.

SELECT cast(eom as date) as eom,
       CAST(r as float) as r,
       CAST(rf as float) as rf
INTO #s
FROM
(
    VALUES
        ('2013-12-31', 0.006141, 0.000721),
        ('2013-11-30', 0.004506, 0.000794),
        ('2013-10-31', -0.011454, 0.00082),
        ('2013-09-30', -0.001549, 0.000774),
        ('2013-08-31', 0.00568, 0.000869),
        ('2013-07-31', 0.000241, 0.00087),
        ('2013-06-30', 0.00648, 0.000845),
        ('2013-05-31', 0.005113, 0.000796),
        ('2013-04-30', 0.002461, 0.000832),
        ('2013-03-31', -0.012148, 0.00087),
        ('2013-02-28', -0.005735, 0.000826),
        ('2013-01-31', 0.007749, 0.000806),
        ('2012-12-31', -0.001317, 0.000815),
        ('2012-11-30', -0.000728, 0.000845),
        ('2012-10-31', 0.009667, 0.000775),
        ('2012-09-30', 0.017884, 0.000859),
        ('2012-08-31', 0.011488, 0.000833),
        ('2012-07-31', -0.001725, 0.000813),
        ('2012-06-30', 0.001178, 0.000792),
        ('2012-05-31', -0.000403, 0.00076),
        ('2012-04-30', 0.004734, 0.000849),
        ('2012-03-31', 0.018142, 0.000753),
        ('2012-02-29', 0.0099, 0.000788),
        ('2012-01-31', 0.012923, 0.000801),
        ('2011-12-31', 0.01715, 0.000793),
        ('2011-11-30', -0.005677, 0.000783),
        ('2011-10-31', 0.004575, 0.000764),
        ('2011-09-30', 0.005032, 0.000821),
        ('2011-08-31', 0.015355, 0.000762),
        ('2011-07-31', 0.002744, 0.000737),
        ('2011-06-30', 0.004112, 0.000794),
        ('2011-05-31', 0.007087, 0.000833),
        ('2011-04-30', 0.001757, 0.000818),
        ('2011-03-31', 0.002962, 0.000778),
        ('2011-02-28', 0.001222, 0.000782),
        ('2011-01-31', 0.008292, 0.00078),
        ('2010-12-31', 0.007464, 0.000738),
        ('2010-11-30', 0.009659, 0.00084),
        ('2010-10-31', 0.007148, 0.000693),
        ('2010-09-30', 0.015428, 0.000777),
        ('2010-08-31', 0.006701, 0.000799),
        ('2010-07-31', 0.013108, 0.000785),
        ('2010-06-30', 0.003393, 0.000856),
        ('2010-05-31', 0.009797, 0.000731),
        ('2010-04-30', 0.01416, 0.000718),
        ('2010-03-31', 0.004966, 0.000854),
        ('2010-02-28', -0.001553, 0.000752),
        ('2010-01-31', 0.01009, 0.000804),
        ('2009-12-31', 0.006488, 0.000721),
        ('2009-11-30', 0.001107, 0.00092),
        ('2009-10-31', 0.009641, 0.000774),
        ('2009-09-30', 0.001297, 0.000846),
        ('2009-08-31', 0.001314, 0.000767),
        ('2009-07-31', 0.008622, 0.000815),
        ('2009-06-30', 0.015167, 0.000721),
        ('2009-05-31', -0.002137, 0.0008),
        ('2009-04-30', 0.016035, 0.000798),
        ('2009-03-31', 0.018067, 0.00077),
        ('2009-02-28', 0.013449, 0.000823),
        ('2009-01-31', -0.000029, 0.000852)
) n (eom, r, rf);
SELECT eom,
       r,
       rf,
       wct.MovingSharpe(   r,                                    --@R
                           rf,                                   --@Rf
                           12,                                   --@Scale
                           'False',                              --@Prices
                           36,                                   --@Offset
                           ROW_NUMBER() OVER (ORDER BY eom ASC), --@RowNum
                           NULL,                                 --@Id
                           'True'                                --@Exact
                       ) as SHARPE
FROM #s;
DROP TABLE #s;

This produces the following result.

In this example, we do the same calculation, using price data rather than return data.

SELECT cast(eom as date) as eom,
       CAST(pr as float) as pr,
       CAST(rf as float) as rf
INTO #s
FROM
(
    VALUES
        ('2013-12-31', 70.31, 0.000721),
        ('2013-11-30', 69.88, 0.000794),
        ('2013-10-31', 69.56, 0.00082),
        ('2013-09-30', 70.37, 0.000774),
        ('2013-08-31', 70.48, 0.000869),
        ('2013-07-31', 70.08, 0.00087),
        ('2013-06-30', 70.06, 0.000845),
        ('2013-05-31', 69.61, 0.000796),
        ('2013-04-30', 69.26, 0.000832),
        ('2013-03-31', 69.09, 0.00087),
        ('2013-02-28', 69.94, 0.000826),
        ('2013-01-31', 70.34, 0.000806),
        ('2012-12-31', 69.8, 0.000815),
        ('2012-11-30', 69.89, 0.000845),
        ('2012-10-31', 69.94, 0.000775),
        ('2012-09-30', 69.28, 0.000859),
        ('2012-08-31', 68.06, 0.000833),
        ('2012-07-31', 67.28, 0.000813),
        ('2012-06-30', 67.4, 0.000792),
        ('2012-05-31', 67.32, 0.00076),
        ('2012-04-30', 67.35, 0.000849),
        ('2012-03-31', 67.03, 0.000753),
        ('2012-02-29', 65.84, 0.000788),
        ('2012-01-31', 65.19, 0.000801),
        ('2011-12-31', 64.36, 0.000793),
        ('2011-11-30', 63.27, 0.000783),
        ('2011-10-31', 63.64, 0.000764),
        ('2011-09-30', 63.35, 0.000821),
        ('2011-08-31', 63.03, 0.000762),
        ('2011-07-31', 62.08, 0.000737),
        ('2011-06-30', 61.91, 0.000794),
        ('2011-05-31', 61.65, 0.000833),
        ('2011-04-30', 61.22, 0.000818),
        ('2011-03-31', 61.11, 0.000778),
        ('2011-02-28', 60.93, 0.000782),
        ('2011-01-31', 60.86, 0.00078),
        ('2010-12-31', 60.36, 0.000738),
        ('2010-11-30', 59.91, 0.00084),
        ('2010-10-31', 59.34, 0.000693),
        ('2010-09-30', 58.91, 0.000777),
        ('2010-08-31', 58.02, 0.000799),
        ('2010-07-31', 57.63, 0.000785),
        ('2010-06-30', 56.89, 0.000856),
        ('2010-05-31', 56.7, 0.000731),
        ('2010-04-30', 56.15, 0.000718),
        ('2010-03-31', 55.36, 0.000854),
        ('2010-02-28', 55.09, 0.000752),
        ('2010-01-31', 55.17, 0.000804),
        ('2009-12-31', 54.62, 0.000721),
        ('2009-11-30', 54.27, 0.00092),
        ('2009-10-31', 54.21, 0.000774),
        ('2009-09-30', 53.69, 0.000846),
        ('2009-08-31', 53.62, 0.000767),
        ('2009-07-31', 53.55, 0.000815),
        ('2009-06-30', 53.09, 0.000721),
        ('2009-05-31', 52.3, 0.0008),
        ('2009-04-30', 52.41, 0.000798),
        ('2009-03-31', 51.59, 0.00077),
        ('2009-02-28', 50.67, 0.000823),
        ('2009-01-31', 50, 0.000852),
        ('2008-12-31', 50, NULL)
) n (eom, pr, rf);
SELECT eom,
       pr,
       rf,
       wct.MovingSharpe(   pr,                                   --@R
                           rf,                                   --@Rf
                           12,                                   --@Scale
                           'True',                               --@Prices
                           36,                                   --@Offset
                           ROW_NUMBER() OVER (ORDER BY eom ASC), --@RowNum
                           NULL,                                 --@Id
                           'True'                                --@Exact
                       ) as SHARPE
FROM #s;
DROP TABLE #s;

This produces the following result.

In this example we calculate the SHARPE ratio for multiple portfolios simultaneously. Notice that we have to use a different value in @Id for each Sharpe column in the resultant table.

SELECT CAST(eom as date) as eom,
       CAST(AAA as money) as AAA,
       CAST(BBB as money) as BBB,
       CAST(CCC as money) as CCC,
       CAST(rf as float) as rf
INTO #s
FROM
(
    VALUES
        ('2013-12-31', 52.03, 97.35, 73.04, 0.000721),
        ('2013-11-30', 58.92, 95.74, 72.65, 0.000794),
        ('2013-10-31', 48.58, 107.59, 68.81, 0.00082),
        ('2013-09-30', 54.22, 83.56, 66.05, 0.000774),
        ('2013-08-31', 54.82, 106.24, 58.86, 0.000869),
        ('2013-07-31', 41.44, 104.6, 67.41, 0.00087),
        ('2013-06-30', 44.9, 94.92, 71.37, 0.000845),
        ('2013-05-31', 54.5, 90.99, 81.44, 0.000796),
        ('2013-04-30', 48.96, 97.37, 78.01, 0.000832),
        ('2013-03-31', 57.34, 97.38, 62.76, 0.00087),
        ('2013-02-28', 52.24, 98.21, 72.69, 0.000826),
        ('2013-01-31', 55.93, 104.99, 76.76, 0.000806),
        ('2012-12-31', 49.4, 101.6, 80.51, 0.000815),
        ('2012-11-30', 41.82, 105.63, 79.25, 0.000845),
        ('2012-10-31', 53.53, 113.72, 78.97, 0.000775),
        ('2012-09-30', 52.48, 98.52, 87.03, 0.000859),
        ('2012-08-31', 42.28, 103.66, 87.31, 0.000833),
        ('2012-07-31', 51.54, 103.55, 70.13, 0.000813),
        ('2012-06-30', 46.31, 99.08, 77.34, 0.000792),
        ('2012-05-31', 52.38, 90.17, 73.11, 0.00076),
        ('2012-04-30', 43.06, 99.05, 77.64, 0.000849),
        ('2012-03-31', 48.65, 99.85, 80.5, 0.000753),
        ('2012-02-29', 57.31, 97.77, 66.44, 0.000788),
        ('2012-01-31', 56.15, 93.11, 84.58, 0.000801),
        ('2011-12-31', 48.6, 107.23, 72.52, 0.000793),
        ('2011-11-30', 50.56, 88.77, 66.47, 0.000783),
        ('2011-10-31', 44.84, 91.39, 59.29, 0.000764),
        ('2011-09-30', 41.18, 104.57, 79.52, 0.000821),
        ('2011-08-31', 51.37, 89.04, 77.67, 0.000762),
        ('2011-07-31', 54.1, 104.02, 82.81, 0.000737),
        ('2011-06-30', 45.17, 94.51, 75.64, 0.000794),
        ('2011-05-31', 44.66, 110.92, 70.9, 0.000833),
        ('2011-04-30', 50.12, 105.48, 79.38, 0.000818),
        ('2011-03-31', 51.53, 103.38, 71.51, 0.000778),
        ('2011-02-28', 44.86, 90.51, 80.92, 0.000782),
        ('2011-01-31', 58.52, 90.08, 80.27, 0.00078),
        ('2010-12-31', 46.93, 97.22, 82.46, 0.000738),
        ('2010-11-30', 41.79, 92.71, 68.57, 0.00084),
        ('2010-10-31', 47.35, 100.14, 78.22, 0.000693),
        ('2010-09-30', 63.3, 100.09, 74.26, 0.000777),
        ('2010-08-31', 47.38, 100.04, 59.61, 0.000799),
        ('2010-07-31', 47.44, 103.36, 77.98, 0.000785),
        ('2010-06-30', 45.69, 96.24, 78.26, 0.000856),
        ('2010-05-31', 50.75, 103.71, 67.34, 0.000731),
        ('2010-04-30', 50.96, 105.03, 75.53, 0.000718),
        ('2010-03-31', 56.29, 98.58, 78.84, 0.000854),
        ('2010-02-28', 54.66, 98.59, 82.37, 0.000752),
        ('2010-01-31', 49.01, 103.69, 56.64, 0.000804),
        ('2009-12-31', 44.88, 103.58, 83.74, 0.000721),
        ('2009-11-30', 54.67, 98.86, 64.38, 0.00092),
        ('2009-10-31', 53.41, 97.42, 79.84, 0.000774),
        ('2009-09-30', 49.59, 100.01, 63.9, 0.000846),
        ('2009-08-31', 60.45, 92.4, 71.18, 0.000767),
        ('2009-07-31', 45.36, 107.93, 63.73, 0.000815),
        ('2009-06-30', 51.16, 105.77, 74.11, 0.000721),
        ('2009-05-31', 45.33, 88.62, 65.69, 0.0008),
        ('2009-04-30', 56.12, 103.07, 83.46, 0.000798),
        ('2009-03-31', 52.43, 109.46, 75.83, 0.00077),
        ('2009-02-28', 57.2, 94.24, 69.08, 0.000823),
        ('2009-01-31', 41.42, 92.54, 79.03, 0.000852),
        ('2008-12-31', 49.89, 101.87, 69.56, NULL)
) n (eom, AAA, BBB, CCC, rf);
SELECT eom,
       wct.MovingSHARPE(AAA, rf, 12, 'True', 36, ROW_NUMBER() OVER (ORDER BY EOM 
                 ASC), 1, 'TRUE') as AAA,
       wct.MovingSHARPE(BBB, rf, 12, 'True', 36, ROW_NUMBER() OVER (ORDER BY EOM 
                 ASC), 2, 'TRUE') as BBB,
       wct.MovingSHARPE(CCC, rf, 12, 'True', 36, ROW_NUMBER() OVER (ORDER BY EOM 
                 ASC), 3, 'TRUE') as CCC
FROM #s;
DROP TABLE #s;

This produces the following result.

In this example, we have the same data as in the previous example, except that is stored in 3^rd normal form rather than in the de-normalized form. The risk-free rate is included in the table with using the symbol RF. We use the PARTITION clause in order to generate the correct row number within a symbol.

SELECT CAST(eom as date) as eom,
       sym,
       CAST(pr as float) as pr
INTO #s
FROM
(
    VALUES
        ('2013-12-31', 'AAA', 52.03),
        ('2013-11-30', 'AAA', 58.92),
        ('2013-10-31', 'AAA', 48.58),
        ('2013-09-30', 'AAA', 54.22),
        ('2013-08-31', 'AAA', 54.82),
        ('2013-07-31', 'AAA', 41.44),
        ('2013-06-30', 'AAA', 44.9),
        ('2013-05-31', 'AAA', 54.5),
        ('2013-04-30', 'AAA', 48.96),
        ('2013-03-31', 'AAA', 57.34),
        ('2013-02-28', 'AAA', 52.24),
        ('2013-01-31', 'AAA', 55.93),
        ('2012-12-31', 'AAA', 49.4),
        ('2012-11-30', 'AAA', 41.82),
        ('2012-10-31', 'AAA', 53.53),
        ('2012-09-30', 'AAA', 52.48),
        ('2012-08-31', 'AAA', 42.28),
        ('2012-07-31', 'AAA', 51.54),
        ('2012-06-30', 'AAA', 46.31),
        ('2012-05-31', 'AAA', 52.38),
        ('2012-04-30', 'AAA', 43.06),
        ('2012-03-31', 'AAA', 48.65),
        ('2012-02-29', 'AAA', 57.31),
        ('2012-01-31', 'AAA', 56.15),
        ('2011-12-31', 'AAA', 48.6),
        ('2011-11-30', 'AAA', 50.56),
        ('2011-10-31', 'AAA', 44.84),
        ('2011-09-30', 'AAA', 41.18),
        ('2011-08-31', 'AAA', 51.37),
        ('2011-07-31', 'AAA', 54.1),
        ('2011-06-30', 'AAA', 45.17),
        ('2011-05-31', 'AAA', 44.66),
        ('2011-04-30', 'AAA', 50.12),
        ('2011-03-31', 'AAA', 51.53),
        ('2011-02-28', 'AAA', 44.86),
        ('2011-01-31', 'AAA', 58.52),
        ('2010-12-31', 'AAA', 46.93),
        ('2010-11-30', 'AAA', 41.79),
        ('2010-10-31', 'AAA', 47.35),
        ('2010-09-30', 'AAA', 63.3),
        ('2010-08-31', 'AAA', 47.38),
        ('2010-07-31', 'AAA', 47.44),
        ('2010-06-30', 'AAA', 45.69),
        ('2010-05-31', 'AAA', 50.75),
        ('2010-04-30', 'AAA', 50.96),
        ('2010-03-31', 'AAA', 56.29),
        ('2010-02-28', 'AAA', 54.66),
        ('2010-01-31', 'AAA', 49.01),
        ('2009-12-31', 'AAA', 44.88),
        ('2009-11-30', 'AAA', 54.67),
        ('2009-10-31', 'AAA', 53.41),
        ('2009-09-30', 'AAA', 49.59),
        ('2009-08-31', 'AAA', 60.45),
        ('2009-07-31', 'AAA', 45.36),
        ('2009-06-30', 'AAA', 51.16),
        ('2009-05-31', 'AAA', 45.33),
        ('2009-04-30', 'AAA', 56.12),
        ('2009-03-31', 'AAA', 52.43),
        ('2009-02-28', 'AAA', 57.2),
        ('2009-01-31', 'AAA', 41.42),
        ('2008-12-31', 'AAA', 49.89),
        ('2013-12-31', 'BBB', 97.35),
        ('2013-11-30', 'BBB', 95.74),
        ('2013-10-31', 'BBB', 107.59),
        ('2013-09-30', 'BBB', 83.56),
        ('2013-08-31', 'BBB', 106.24),
        ('2013-07-31', 'BBB', 104.6),
        ('2013-06-30', 'BBB', 94.92),
        ('2013-05-31', 'BBB', 90.99),
        ('2013-04-30', 'BBB', 97.37),
        ('2013-03-31', 'BBB', 97.38),
        ('2013-02-28', 'BBB', 98.21),
        ('2013-01-31', 'BBB', 104.99),
        ('2012-12-31', 'BBB', 101.6),
        ('2012-11-30', 'BBB', 105.63),
        ('2012-10-31', 'BBB', 113.72),
        ('2012-09-30', 'BBB', 98.52),
        ('2012-08-31', 'BBB', 103.66),
        ('2012-07-31', 'BBB', 103.55),
        ('2012-06-30', 'BBB', 99.08),
        ('2012-05-31', 'BBB', 90.17),
        ('2012-04-30', 'BBB', 99.05),
        ('2012-03-31', 'BBB', 99.85),
        ('2012-02-29', 'BBB', 97.77),
        ('2012-01-31', 'BBB', 93.11),
        ('2011-12-31', 'BBB', 107.23),
        ('2011-11-30', 'BBB', 88.77),
        ('2011-10-31', 'BBB', 91.39),
        ('2011-09-30', 'BBB', 104.57),
        ('2011-08-31', 'BBB', 89.04),
        ('2011-07-31', 'BBB', 104.02),
        ('2011-06-30', 'BBB', 94.51),
        ('2011-05-31', 'BBB', 110.92),
        ('2011-04-30', 'BBB', 105.48),
        ('2011-03-31', 'BBB', 103.38),
        ('2011-02-28', 'BBB', 90.51),
        ('2011-01-31', 'BBB', 90.08),
        ('2010-12-31', 'BBB', 97.22),
        ('2010-11-30', 'BBB', 92.71),
        ('2010-10-31', 'BBB', 100.14),
        ('2010-09-30', 'BBB', 100.09),
        ('2010-08-31', 'BBB', 100.04),
        ('2010-07-31', 'BBB', 103.36),
        ('2010-06-30', 'BBB', 96.24),
        ('2010-05-31', 'BBB', 103.71),
        ('2010-04-30', 'BBB', 105.03),
        ('2010-03-31', 'BBB', 98.58),
        ('2010-02-28', 'BBB', 98.59),
        ('2010-01-31', 'BBB', 103.69),
        ('2009-12-31', 'BBB', 103.58),
        ('2009-11-30', 'BBB', 98.86),
        ('2009-10-31', 'BBB', 97.42),
        ('2009-09-30', 'BBB', 100.01),
        ('2009-08-31', 'BBB', 92.4),
        ('2009-07-31', 'BBB', 107.93),
        ('2009-06-30', 'BBB', 105.77),
        ('2009-05-31', 'BBB', 88.62),
        ('2009-04-30', 'BBB', 103.07),
        ('2009-03-31', 'BBB', 109.46),
        ('2009-02-28', 'BBB', 94.24),
        ('2009-01-31', 'BBB', 92.54),
        ('2008-12-31', 'BBB', 101.87),
        ('2013-12-31', 'CCC', 73.04),
        ('2013-11-30', 'CCC', 72.65),
        ('2013-10-31', 'CCC', 68.81),
        ('2013-09-30', 'CCC', 66.05),
        ('2013-08-31', 'CCC', 58.86),
        ('2013-07-31', 'CCC', 67.41),
        ('2013-06-30', 'CCC', 71.37),
        ('2013-05-31', 'CCC', 81.44),
        ('2013-04-30', 'CCC', 78.01),
        ('2013-03-31', 'CCC', 62.76),
        ('2013-02-28', 'CCC', 72.69),
        ('2013-01-31', 'CCC', 76.76),
        ('2012-12-31', 'CCC', 80.51),
        ('2012-11-30', 'CCC', 79.25),
        ('2012-10-31', 'CCC', 78.97),
        ('2012-09-30', 'CCC', 87.03),
        ('2012-08-31', 'CCC', 87.31),
        ('2012-07-31', 'CCC', 70.13),
        ('2012-06-30', 'CCC', 77.34),
        ('2012-05-31', 'CCC', 73.11),
        ('2012-04-30', 'CCC', 77.64),
        ('2012-03-31', 'CCC', 80.5),
        ('2012-02-29', 'CCC', 66.44),
        ('2012-01-31', 'CCC', 84.58),
        ('2011-12-31', 'CCC', 72.52),
        ('2011-11-30', 'CCC', 66.47),
        ('2011-10-31', 'CCC', 59.29),
        ('2011-09-30', 'CCC', 79.52),
        ('2011-08-31', 'CCC', 77.67),
        ('2011-07-31', 'CCC', 82.81),
        ('2011-06-30', 'CCC', 75.64),
        ('2011-05-31', 'CCC', 70.9),
        ('2011-04-30', 'CCC', 79.38),
        ('2011-03-31', 'CCC', 71.51),
        ('2011-02-28', 'CCC', 80.92),
        ('2011-01-31', 'CCC', 80.27),
        ('2010-12-31', 'CCC', 82.46),
        ('2010-11-30', 'CCC', 68.57),
        ('2010-10-31', 'CCC', 78.22),
        ('2010-09-30', 'CCC', 74.26),
        ('2010-08-31', 'CCC', 59.61),
        ('2010-07-31', 'CCC', 77.98),
        ('2010-06-30', 'CCC', 78.26),
        ('2010-05-31', 'CCC', 67.34),
        ('2010-04-30', 'CCC', 75.53),
        ('2010-03-31', 'CCC', 78.84),
        ('2010-02-28', 'CCC', 82.37),
        ('2010-01-31', 'CCC', 56.64),
        ('2009-12-31', 'CCC', 83.74),
        ('2009-11-30', 'CCC', 64.38),
        ('2009-10-31', 'CCC', 79.84),
        ('2009-09-30', 'CCC', 63.9),
        ('2009-08-31', 'CCC', 71.18),
        ('2009-07-31', 'CCC', 63.73),
        ('2009-06-30', 'CCC', 74.11),
        ('2009-05-31', 'CCC', 65.69),
        ('2009-04-30', 'CCC', 83.46),
        ('2009-03-31', 'CCC', 75.83),
        ('2009-02-28', 'CCC', 69.08),
        ('2009-01-31', 'CCC', 79.03),
        ('2008-12-31', 'CCC', 69.56),
        ('2013-12-31', 'RF', 0.000721),
        ('2013-11-30', 'RF', 0.000794),
        ('2013-10-31', 'RF', 0.00082),
        ('2013-09-30', 'RF', 0.000774),
        ('2013-08-31', 'RF', 0.000869),
        ('2013-07-31', 'RF', 0.00087),
        ('2013-06-30', 'RF', 0.000845),
        ('2013-05-31', 'RF', 0.000796),
        ('2013-04-30', 'RF', 0.000832),
        ('2013-03-31', 'RF', 0.00087),
        ('2013-02-28', 'RF', 0.000826),
        ('2013-01-31', 'RF', 0.000806),
        ('2012-12-31', 'RF', 0.000815),
        ('2012-11-30', 'RF', 0.000845),
        ('2012-10-31', 'RF', 0.000775),
        ('2012-09-30', 'RF', 0.000859),
        ('2012-08-31', 'RF', 0.000833),
        ('2012-07-31', 'RF', 0.000813),
        ('2012-06-30', 'RF', 0.000792),
        ('2012-05-31', 'RF', 0.00076),
        ('2012-04-30', 'RF', 0.000849),
        ('2012-03-31', 'RF', 0.000753),
        ('2012-02-29', 'RF', 0.000788),
        ('2012-01-31', 'RF', 0.000801),
        ('2011-12-31', 'RF', 0.000793),
        ('2011-11-30', 'RF', 0.000783),
        ('2011-10-31', 'RF', 0.000764),
        ('2011-09-30', 'RF', 0.000821),
        ('2011-08-31', 'RF', 0.000762),
        ('2011-07-31', 'RF', 0.000737),
        ('2011-06-30', 'RF', 0.000794),
        ('2011-05-31', 'RF', 0.000833),
        ('2011-04-30', 'RF', 0.000818),
        ('2011-03-31', 'RF', 0.000778),
        ('2011-02-28', 'RF', 0.000782),
        ('2011-01-31', 'RF', 0.00078),
        ('2010-12-31', 'RF', 0.000738),
        ('2010-11-30', 'RF', 0.00084),
        ('2010-10-31', 'RF', 0.000693),
        ('2010-09-30', 'RF', 0.000777),
        ('2010-08-31', 'RF', 0.000799),
        ('2010-07-31', 'RF', 0.000785),
        ('2010-06-30', 'RF', 0.000856),
        ('2010-05-31', 'RF', 0.000731),
        ('2010-04-30', 'RF', 0.000718),
        ('2010-03-31', 'RF', 0.000854),
        ('2010-02-28', 'RF', 0.000752),
        ('2010-01-31', 'RF', 0.000804),
        ('2009-12-31', 'RF', 0.000721),
        ('2009-11-30', 'RF', 0.00092),
        ('2009-10-31', 'RF', 0.000774),
        ('2009-09-30', 'RF', 0.000846),
        ('2009-08-31', 'RF', 0.000767),
        ('2009-07-31', 'RF', 0.000815),
        ('2009-06-30', 'RF', 0.000721),
        ('2009-05-31', 'RF', 0.0008),
        ('2009-04-30', 'RF', 0.000798),
        ('2009-03-31', 'RF', 0.00077),
        ('2009-02-28', 'RF', 0.000823),
        ('2009-01-31', 'RF', 0.000852),
        ('2008-12-31', 'RF', NULL)
) n (eom, sym, pr);
SELECT s1.EOM,
       s1.sym,
       wct.MovingSHARPE(
                           s1.pr,
                           s2.pr / 12,
                           12,
                           'True',
                           36,
                           ROW_NUMBER() OVER (PARTITION BY s1.SYM ORDER BY s1.sym,
                                     s1.eom ASC),
                           1,
                           'True'
                       ) as SHARPE
FROM #s s1
    JOIN #s s2
        ON s1.eom = s2.eom
WHERE s1.sym <> 'RF'
      AND s2.sym = 'RF';

This produces the following result.

Using the same data, we could PIVOT the results into a tabular format.

SELECT EOM,
       AAA,
       BBB,
       CCC
FROM
(
    SELECT s1.EOM,
           s1.sym,
           wct.MovingSHARPE(
                               s1.pr,
                               s2.pr / 12,
                               12,
                               'True',
                               36,
                               ROW_NUMBER() OVER (PARTITION BY s1.SYM ORDER BY 
                                         s1.sym, s1.eom ASC),
                               1,
                               'True'
                           ) as SHARPE
    FROM #s s1
        JOIN #s s2
            ON s1.eom = s2.eom
    WHERE s1.sym <> 'RF'
          AND s2.sym = 'RF'
) d
PIVOT
(
    sum(SHARPE)
    for sym in (AAA, BBB, CCC)
) as P;

This produces the following result.