I have seen a few statements that link a particular annualised Sharpe Ratio to the likely frequency of 'loss day' across a given period:

e.g. "A annualised Sharpe Ratio of X, implies the portfolio would suffer a down day Y times a month."

What are the steps to go from a given Sharpe Ratio to the likely number of loss days in a given period?

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    $\begingroup$ You have the mean and the standard deviation. You could assume normality of returns (or something else) or apply Chebyshev. $\endgroup$ – Bob Jansen Mar 6 at 1:19
  • $\begingroup$ @BobJansen and if I make an assumption of normality of returns, what are the steps from there? $\endgroup$ – tfb Mar 7 at 13:56

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