One thing to note is that volatility / standard deviation can be measured over many different time horizons and assumptions.
Is it annualized standard deviation that matters? Semi-annualized? Do you take daily measurements and scale up? Weekly? Annual only? How many time periods do you need to really know an accurate number?
One thing to note is that volatility / standard deviation can be measured over many different time horizons and assumptions.
Is it annualized standard deviation that matters? Semi-annualized? Do you take daily measurements and scale up? Weekly? Annual only? How many time periods do you need to really know an accurate number?
Here is a paper from Andrew Lo on the statistics relating to this. https://www.researchgate.net/publication/228139699_The_Statistics_of_Sharpe_Ratios. "I find that the annual Sharpe ratio for a hedge fund can be overstated by as m... (read more)