I am hoping to determine the practical implications of the Andy Lo paper criticizing the use of a scaling factor in converting periodic Sharpe ratio to annualized Sharpe ratio. I am particularly interested in knowing more about the validity of using a scaling factor using quarterly return data. I welcome any thought on how best to approach Sharpe ratio using quarterly data.
Additionally I am confuse about how to interpret annualized Sharpe ratio. It is not clear how interpretation changes from non annualized to annualized Sharpe.
Sorry for my English I am from Hong Kong.