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Statistik › Backtesting och bevis › 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.

2.71År av dagsdata för att visa att en annualiserad Sharpe på 1.0 slår noll
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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Below this point there are 5 sections, 1 table and 2 named sources, roughly 650 words of it. Every figure carries the source it came from and the date the data is from.

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