How to Game Your Sharpe Ratio

By R. Spurgin. 2001

84 citations recorded by the source corpus.

Subfields: Finance

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The Stochastic Programming Approach to Asset, Liability, and Wealth Management (2003, background): “Yale University has approached this problem with a heavy emphasis on private equity rather than publicly traded equity; see Swensen (2000) .”
VIX Futures and options: A Case Study of Portfolio Diversification During the 2008 Financial Crisis (2009, background): “For example, see Spurgin [2001]. (15)See Appendix A for further details regarding these measures.”
Can Mutual Funds Outguess the Market: Evidence from Bangladesh? (2016, background): “Spurgin [23] showed that the annualized standard deviation of returns tends to be higher for shorter periods: Daily returns have higher standard deviations than weekly returns, which have higher deviations than monthly returns.”
Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2009, unknown): “Moreover, recently a number of papers have shown that the Sharpe ratio is prone to manipulation (see, for example, Leland, 1999; Spurgin, 2001; Goetzmann et al., 2002; Ingersoll et al., 2007).”