Losing money with a high Sharpe ratio

Vladimir Vovk

Papers from arXiv.org

Abstract: A simple example shows that losing all money is compatible with a very high Sharpe ratio (as computed after losing all money). However, the only way that the Sharpe ratio can be high while losing money is that there is a period in which all or almost all money is lost. This note explores the best achievable Sharpe and Sortino ratios for investors who lose money but whose one-period returns are bounded below (or both below and above) by a known constant.

Date: 2011-09
New Economics Papers: this item is included in nep-rmg
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