Download This PaperDeflating the Sharpe Ratio
43 Pages Posted: 14 Jul 2014 Last revised: 28 Jul 2014
Date Written: July 13, 2014
Abstract
The Deflated Sharpe Ratio (DSR) corrects for two leading sources of performance inflation:
* Non-Normally distributed returns.
* Selection bias under multiple testing.
Keywords: Sharpe ratio, Non-Normal returns, IID, Multiple Testing, Selection Bias
JEL Classification: G0, G1, G2, G15, G24, E44
Suggested Citation: Suggested Citation
López de Prado, Marcos and López de Prado, Marcos, Deflating the Sharpe Ratio (July 13, 2014). Available at SSRN: https://ssrn.com/abstract=2465675 or http://dx.doi.org/10.2139/ssrn.2465675
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