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在第三版 Managing Investment Portfolios上的第八章介绍Hedge fund 的performance measurement的时候，提到Sharp Ratio的一个缺点是：
“The Sharpe ratio is time dependent; that is, the overall Sharpe ratio increases proportionally with the square root of time. An annual Sharpe ratio will therefore be square root of 12 bigger than a monthly Sharpe ratio if returns are serially uncorrelated.”
请问如何理解这句话，后面的 square root of 12 是怎么得来的？ |
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发表于 2014-6-28 16:53
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