New answers tagged sharpe-ratio
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long short portfolio sharpe ratio
Let's assume stock "A" yields a 5% return and stock "B" yields a 6% return, they both have standard deviations of 10% (per annum) and a correlation factor of 0.5.
You decide to ...
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Confidence in Sharpe ratio given performance
I was wondering the same thing. I found your question, then I found this, so I came back to share the link:
https://www.twosigma.com/articles/sharpe-ratio-estimation-confidence-intervals-and-...
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statistically compare 2 sharpe ratios
This paper covers the topic and should be helpful:
https://alo.mit.edu/wp-content/uploads/2017/06/The-Statistics-of-Sharpe-Ratios.pdf
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How to annualize Sharpe Ratio if monthly returns are serially correlated? Calculation of autocorrelations
The following simulations indicate that autocorrelation does not bias the Sharpe ratio:
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