Tag: illiquidity

Interview Questions

• A 0.3 autocorrelation guts a naive Sharpe of 1.5
• A mild 0.1 autocorrelation on a naive Sharpe of 1.2
• A heavy 0.4 autocorrelation halves a naive Sharpe of 2.5
• Correct a naive Sharpe of 1.8 for a 0.25 autocorrelation
• How much does smoothing inflate a Sharpe of 2.0?