MediumPortfolio & Risk
Annualizing Sharpe
Two SigmaAQR Capital
A strategy has a daily Sharpe ratio of 0.1. Assuming 252 trading days and iid returns, what is its annualized Sharpe ratio? (2 decimals.)
Hints
Multiply by √(periods per year).
Sign in to reveal the full worked solution, check your answer instantly, and track your progress with spaced-repetition review.