Is your Sharpe Ratio is Lying to you? Use this instead

“Although skewness and kurtosis does not affect the point estimate of Sharpe ratio, it greatly impacts its confidence bands, and consequently its statistical significance” Bailey and López de Prado (2012). In the last video we explained the downfalls of relying on the Central Limit Theorem (CLT) and using the mean and standard deviation to calculate a point estimate of the Sharpe Ratio. In this video, we’ll delve into the limitations of the Sharpe Ratio, introduce you to the concept of Probabilistic Sharpe Ratio (PSR) developed by Bailey and López de Prado, and guide you through its Python implementation. So, if you’re eager to enhance your understanding of risk and performance metrics, you’re in the right place. Written Tutorial & Code Available on Medium:   / is-your-sharpe-ratio-lying-to-you-meet-the...   ★ ★ Code Available on GitHub ★ ★ GitHub: https://github.com/TheQuantPy Specific Tutorial Link: https://github.com/TheQuantPy/youtube... ★ A data driven path to getting a job in Quant Finance https://www.quantpykit.com/ ★ QuantPy GitHub Collection of resources used on QuantPy YouTube channel. https://github.com/thequantpy Disclaimer: All ideas, opinions, recommendations and/or forecasts, expressed or implied in this content, are for informational and educational purposes only and should not be construed as financial product advice or an inducement or instruction to invest, trade, and/or speculate in the markets. Any action or refraining from action; investments, trades, and/or speculations made in light of the ideas, opinions, and/or forecasts, expressed or implied in this content, are committed at your own risk an consequence, financial or otherwise.