The limitation of Sharpe ratio

Ernest Chan | Fri, 02/13/2009 - 5:01pm | economics, sharpe ratio strategies, stock analysis, stock trading, VaR | 1 comment

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Just as one should not trust VaR completely, one should also beware of high Sharpe ratio strategies. As this Economist article pointed out, a strategy may have a high Sharpe ratio because it has so far been accumulating small gains quite consistently, but it could still be subject to a large
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› Ernest Chan

Ernie is a quantitative trader and consultant who helps his clients implement automated, statistical trading strategies. He can be reached through www.epchan.com. Ernie has worked as a quantitative researcher and trader in various investment banks (Morgan Stanley, Credit Suisse First Boston, Maple Securities) and hedge funds (Mapleridge Capital, Millennium Partners, MANE Fund Management) since 1996. He has a Ph.D. in physics from Cornell University.

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The limitation of Sharpe ratio

Ernest Chan | Fri, 02/13/2009 - 5:01pm | economics, sharpe ratio strategies, stock analysis, stock trading, VaR | 1 comment

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