Library /Backtesting

The Statistics of Sharpe Ratios

Andrew W. Lo · 2002 · Financial Analysts Journal

BeginnerAny horizonMethod

Standard errors for Sharpe ratios, and why annualising by √12 is wrong when returns are autocorrelated.

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At a glance

Level: Beginner: No prior microstructure or stochastic calculus needed
Horizon: Any horizon
Data needed: None to read it; no dataset required Set what data you have
Themes: Backtesting Risk & portfolio
Assets: Equities
Market: Global

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