MediumPortfolio & RiskAcceptance 52%
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.)
Approach
Multiply by √(periods per year).
Answer
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The answer is 1.59. Sign in free for the full worked solution and to check your own answer.
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