Tag: Sharpe

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

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 point estimate of the Sharpe Ratio. Today, we’ll again be disussing the revered Sharpe Ratio (SR), the metric that has been widely used ...