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Chuckrox8

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tT
发表于 2011-7-11 19:59 | 只看该作者

Limitations of Sharpe Ratio

higher, periods, holding, 2011
95% confident that Sharpe Ratio will show up in the exam.

* Time dependancy: higher for longer holding periods.
.
.
* Stand-alone measure: not consider diversification effects.



Edited 1 time(s). Last edit at Thursday, May 19, 2011 at 10:46AM by deriv108.

 

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susana

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发表于 2011-7-11 19:59 | 只看该作者
Assumes normal distribution - not a good assumption for emerging mkts, hedge funds, alternatives.

Penalizes for positive tail events (which we want) - Makes Sortino a better indicator

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nannan66

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发表于 2011-7-11 19:59 | 只看该作者
yellayella Wrote:
-------------------------------------------------------
> do you guys know, why, when invetments are
> serially correlated the estimate of standard
> deviation is lower?


positive serial correlation of returns suggests that the return in the next period will be very similar to the return in the current period and will be a linear function of current return and this will obviously reduce the variability of returns between periods and SD will be understated

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bkballa

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发表于 2011-7-11 19:59 | 只看该作者
Also, Sharpe ratio can be distorted by choosing different measurement horizons for the numerator and the denominator.

Hedge fund managers can write deeply out of the money options to increase returns without taking risk and overstate their Sharpe ratios

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mar350

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5#
发表于 2011-7-11 19:59 | 只看该作者
of course! thanks!

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