What is the psr and what is the dsr

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Reference no: EM131926788

Problem

1. What would be the PSR from 2.b, if the backtest had been for a length of 3 years?

2. A 5-year backtest has an annualized SR of 2.5, computed on daily returns. The skewness is -3 and the kurtosis is 10.

(a) What is the PSR?

(b) In order to find that best result, 100 trials were conducted. The variance of the Sharpe ratios on those trials is 0.5. What is the DSR?

Reference no: EM131926788

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