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Morning thoughts about Sharpe Ratio. As it has already been said so many times, Sharpe Ratio is such a lazy (and misleading) metric. I tried to draw an illustrationpic.twitter.com/wsr3HzoTZo
Strategy A is a high Sharpe strategy with significant negative autocorrelation. Calculate the Sharpe ratio using observations every other period, it will be high.
Yes, absolutely. But you got my point I'm sure
you can fix sharpe ratio by adding a real return metric instead of risk free rate such as annual Harvard Tuition increase % which for the most part is our effective inflation. in this case the 2nd strategy would be negative sharpe
Reminds me a little of Mandelbrot's infinitesimal measuring stick thing. Sharpe ratio plummets the more frequently you check your portfolio!
same idea
Yep, although it is often a bigger problem the other way, with serial correlation. Probably best to do some sort of Newey West adjustment.https://twitter.com/DogFundAdvisors/status/1367308924643274753 …
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