Investing
A high backtest Sharpe ratio proves little: what real validation requires
Reported Sharpe ratios inflate with every unreported trial, and the corrections that account for this are arithmetic, not opinion.
Author
Karim Al-Rashid
Karim Al-Rashid tracks company results and property markets with a habit of looking past the loudest number in the room. He explains mortgages and refinancing arithmetic, covers architecture and how buildings age, and reports the quant funds and data vendors behind market signals.
Articles by Karim Al-Rashid
Investing
How many signals were tested before this one worked?
Multiple testing turns luck into apparent skill. What the correction procedures control, the hurdles the replication literature settled on, and what a corrected…
Investing
What a fund's turnover ratio tells you, and what it doesn't
Turnover measures the pace of trading in the portfolio — a fact with predictable cost and tax consequences, not a verdict on skill.
Investing
What should robo-advisor rebalancing claims come with?
Automated rebalancing is real and rule-based — the measurable question is what the rule is and what it costs against doing it yourself.
Investing
What is sequence-of-returns risk, measured properly?
Two retirees with identical average returns can end up with wildly different outcomes — the order of returns, not the average, sets the result.