Is it possible to express, given an annualized Sharpe Ratio value, what is an expected maximum/average time spent in a draw-down or something in this manner?
E.g. with SR of 10, you'd expect to spend e.g. about 1 day losing money every 2 weeks and not more than 3?
UPDATE: I was partly motivated to pose this question by reading about Virtu Financial Inc. going public and reporting it has only had 1 losing day in the last 5 years. What Sharpe Ratio would that imply?