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Statistiche › Backtesting ed evidenze › Track record length

A Sharpe ratio of 1.0 needs 2.7 years of daily data before it beats zero

Observed annualised Sharpe 0.5
10.83
Observed annualised Sharpe 1.0
2.71
Observed annualised Sharpe 1.5
1.21
Observed annualised Sharpe 2.0
0.69
Observed annualised Sharpe 2.5
0.44
Observed annualised Sharpe 3.0
0.31

Years of daily observations required before an observed Sharpe ratio can be declared greater than zero at 95% confidence, assuming independent normally distributed returns. The relationship is roughly inverse square: halving the Sharpe ratio quadruples the time required.

An annualised Sharpe ratio of 1.0 needs about 2.7 years of daily data to be distinguished from zero at 95% confidence. With hedge fund like skewness and kurtosis it needs 3.6 years. To beat a benchmark Sharpe of 1.0 rather than zero, a Sharpe of 2.0 needs 2.7 years.

2.71Anni di dati giornalieri per dimostrare che uno Sharpe annualizzato di 1.0 batte zero
10.83The same for an annualised Sharpe of 0.5
3.62The same for Sharpe 1.0 with hedge fund higher moments
2.73Years for a Sharpe of 2.0 to beat a benchmark Sharpe of 1.0

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