1
$\begingroup$

Could you provide examples of academic papers proposing strategies with Sharpe Ratio above 3? Above 4?

Any type of strategy and any mix of asset classes would do. However, a particular interest is in research focused on generating returns within a single asset class.

There is obviously no one "correct" answer, all responses are appreciated.

Improve this question
$\endgroup$
  • 4
    $\begingroup$ Above 5? :) On a more serious note, even if such a winning strategy existed why would anyone then write about it? $\endgroup$ – ilovevolatility Feb 14 '20 at 9:01
  • $\begingroup$ Well, that is precisely intent of the question: to figure out whether there is research out there claiming such results. As a matter of fact, I heard a couple of times in conversations people referencing academic works topping ratio of 4. I never got solid links though. Hence the post here. $\endgroup$ – DharmaBum Feb 14 '20 at 11:03
  • $\begingroup$ To add to the first comment: academic papers are notoriously bad at backtesting their signals. It may be that they are aware of it or just don't care, but majority won't even report sharpe ratios. If the numbers are reported, they are often unreliable. $\endgroup$ – LazyCat Feb 14 '20 at 14:27
  • 1
    $\begingroup$ lol @DharmaBum I'd be shocked if any academic article published results, with methodology used, for a strategy that even topped a Sharpe of 2 over extended periods. Strategies with Sharpe of 3+ exist (I've heard stories of Renaissance strats north of 6), but pretty much only in a high-frequency realm where capacity is more limited, or with additional undesirable risks (ie, selling tail risk) $\endgroup$ – Chris Feb 15 '20 at 3:34