I am doing some calculations and I am working currently with the weekly Sharpe Ratio. Can I annualize the Sharpe ratio by multiplying with the square root of 52?
Greetings!
$\begingroup$
$\endgroup$
2
-
1$\begingroup$ Yes, assuming that the time series does not have significant positive or negative autocorrelation. $\endgroup$ – Chris Taylor Mar 3 '20 at 16:08
-
$\begingroup$ thank you for your help! $\endgroup$ – memecon Mar 3 '20 at 17:01
Add a comment
|
