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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

Show the final answer

The answer is 1.59. Sign in free for the full worked solution and to check your own answer.