Deflating the Sharpe Ratio
43 Pages Posted: 14 Jul 2014 Last revised: 5 Jul 2015
Date Written: July 13, 2014
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