Sir Alfred Sharpe, K.C.M.G., CB

Sharpe Ratio Practice Note

The Sharpe Ratio Efficient Frontier

We evaluate the probability that an estimated Sharpe ratio exceeds a given threshold in presence of non-Normal returns. We show that this new uncertainty-adjusted investment skill metric (called Probabilistic Sharpe ratio, or PSR) has a number of important applications: First, it allows us to establish the track record length needed for rejecting the hypothesis that a measured Sharpe ratio is b...

The Statistics of Sharpe Ratios

The building blocks of the Sharpe ratio—expected returns and volatilities— are unknown quantities that must be estimated statistically and are, therefore, subject to estimation error. This raises the natural question: How accurately are Sharpe ratios measured? To address this question, I derive explicit expressions for the statistical distribution of the Sharpe ratio using standard asymptotic t...

Alfred Goldberg

system, where non-sexualised images, e.g. from clothes ads or even from nudist beaches get the green light, erotic posing counts as amber, and material focusing on genitals or actual acts of child abuse gets the red light. “We train the patient to move only in the green area,” Ahlers told the paper. “Amber means: Caution! Potential danger for children and for myself! Risky behaviour on the verg...

Alfred Sheen