Sharpe Ratio

Feb 24, 2018

A Sharper Sharpe II : Skewed Distributions

Note: This blog post previously analyzed Damien Challet's 'Sharper estimator' of the Signal-Noise Ratio. The analysis used version 1.1 of the sharpeRratio, written by Challet. That version of the package contained a bug which severely biased the estimator, causing illusory improvements in the achieved standard error. Challet has fixed the package, which is now at version 1.2 (or later), and thus the analysis that was here can no longer be reproduced. We will perform an investigation of the fixed drawdown estimator, and link to it here.

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