You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Hey man great!!!!! Thanks for uploading this and congratulations for the 10 K!! Man, are you on LinkedIn or any other platform where I share your videos/channel?
I believe Andrew Lo also pointed out that Annualizing Sharpe Ratios only makes sense if returns are I.I.D. He demonstrated alternative approach to annualzing sharpe ratios but I could not understand due to it being a noob could you do a video on how to correctly annualize sharpe ratios Sava? alo.mit.edu/wp-content/uploads/2017/06/The-Statistics-of-Sharpe-Ratios.pdf
Hi, and thanks for the thoughtful comment! Exactly, this is why I reiterated returns need to be i.i.d. for these procedures to work. If returns are autocorrelated, then you need to use a procedure very similar to the one in variance ratio tests to annualise Sharpe ratios. This has to do with volatility scaling subject to serial correlation. I cover these concepts here (ruclips.net/video/_z-08wZUfBc/видео.html) and here (ruclips.net/video/6c6m2UPiSZ8/видео.html).
@@NEDLeducation So only the standard deviation is effected by returns not being IID? The arithmetic mean and risk free rate part of the Sharpe Ratio equation can be simply annualized?
@@NEDLeducation Annualizing the arrithmetic mean by 252/12 only makes sense if log returns are taken. Should I use log returns for calculating Sharpe due to this?
You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Thanks .... possible the best quant channel on yt!
Well explained. Thanks Savva.
Brilliant as always
Dude your awesome !!
Hey man great!!!!! Thanks for uploading this and congratulations for the 10 K!!
Man, are you on LinkedIn or any other platform where I share your videos/channel?
Hi, and thanks for the kind words! Yes, here is my LinkedIn (www.linkedin.com/in/savvashanaev/), and appreciate the publicity in advance :)
I believe Andrew Lo also pointed out that Annualizing Sharpe Ratios only makes sense if returns are I.I.D. He demonstrated alternative approach to annualzing sharpe ratios but I could not understand due to it being a noob could you do a video on how to correctly annualize sharpe ratios Sava? alo.mit.edu/wp-content/uploads/2017/06/The-Statistics-of-Sharpe-Ratios.pdf
Hi, and thanks for the thoughtful comment! Exactly, this is why I reiterated returns need to be i.i.d. for these procedures to work. If returns are autocorrelated, then you need to use a procedure very similar to the one in variance ratio tests to annualise Sharpe ratios. This has to do with volatility scaling subject to serial correlation. I cover these concepts here (ruclips.net/video/_z-08wZUfBc/видео.html) and here (ruclips.net/video/6c6m2UPiSZ8/видео.html).
@@NEDLeducation So only the standard deviation is effected by returns not being IID? The arithmetic mean and risk free rate part of the Sharpe Ratio equation can be simply annualized?
@@NEDLeducation Annualizing the arrithmetic mean by 252/12 only makes sense if log returns are taken. Should I use log returns for calculating Sharpe due to this?
@@NEDLeducation Could you consider making a video on how to properly annualize Sharpe ratios? I can understand you better in video format.