Is Your Sharpe Ratio Lying to You? Meet the Probabilistic Sharpe Ratio

<p>In the last article we explained the downfalls of relying on the Central Limit Theorem (CLT) and using the mean and standard deviation to calculate a&nbsp;<strong>point estimate of the Sharpe Ratio</strong>.</p> <p>Today, we&rsquo;ll again be disussing the revered Sharpe Ratio (SR), the metric that has been widely used for decades to measure investment performance relative to risk.</p> <p>But as with any tried-and-true method, it&rsquo;s crucial to question its efficacy and explore innovative alternatives. That&rsquo;s where the Probabilistic Sharpe Ratio (PSR), developed by Bailey and L&oacute;pez de Prado, comes into play&sup1;.</p> <p><a href="https://medium.com/@TheQuantPy/is-your-sharpe-ratio-lying-to-you-meet-the-probabilistic-sharpe-ratio-d06077e423e8"><strong>Click Here</strong></a></p>