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comment Multi-year annualized Sharpe Ratio
The 0.015 is the annualized rate? Should you compare that to monthly returns?
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comment Portfolio Analytics Optimization
It seems your question is about computational efficiency. However, choosing a portfolio with ~10K free variables is unlikely to yield good future performance. Perhaps you can solve both problems by applying some domain knowledge about the 10K assets to reduce the problem size.
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comment How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?
This is one thing that burns my butter: Sharpe ratios published without units! I cannot tell from Exhibit 2 shown above whether the SRs are monthly, quarterly, or annualized. It matters! (Although in this case, not terribly).
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comment How are risk management practices applied to ML/AI-based automated trading systems
@wonghang at the current point in time you have to decide how to deploy your money over the next time delta. You can use all the data available to you to both select the best model and estimate its performance. If you do so, your estimate of performance is biased upwards 'by selection.' You can instead partition the data into two sets, one for selection, the other for estimation. This increases the chance of making a selection error and increases the standard error on your performance measure. Representation length can easily be confounded by introns, BTW ...