SDR, Probabilistic &
Source: Notion | Last edited: 2023-01-19 | ID: bacc353a-797...
最早提出传统 Sharpe Ratio 惩罚 upside potential 不合理的是UBC大学 alumni professor Ziemba。他在2005年提出了 Symmetric downside-risk (SDR) Sharpe ratio 作为 alternative
但近年来，Bailey 和 Lopez de Prado 在 2012 年提出的 Probabilistic Sharpe Ratio (PSR) 更为被广泛推广了；2014年起，更新了，他们改名开始主推 Deflated Sharpe Ratio。
台湾博主的简介 SDR Sharpe Ratio
Section titled “台湾博主的简介 SDR Sharpe Ratio”https://www.kylehuang.design/blog/2018/10/28/sdr-sharpe-ration
Jack D. Schwager Popularized SDR Sharpe Ratio
Section titled “Jack D. Schwager Popularized SDR Sharpe Ratio”著名金融交易畅销书作家 Jack D. Schwager 在 A Complete Guide to the Futures Market 科普 SDR Sharpe Ratio 的 formula
楼上两页的介绍是 excerpt from 2017, 2nd, Schwager
Coursera intro to SDR Sharpe Ratio: start from 26 sec
Section titled “Coursera intro to SDR Sharpe Ratio: start from 26 sec”https://mx.coursera.org/lecture/investment-portfolio/performance-measurement-3-0JC1g
Probabilistic Sharpe Ratio Python Code & Explained
Section titled “Probabilistic Sharpe Ratio Python Code & Explained”https://quantdare.com/probabilistic-sharpe-ratio/
Probabilistic Sharpe ratio: Probability of skill (Excel)
Section titled “Probabilistic Sharpe ratio: Probability of skill (Excel)”How to test the significance of Sharpe ratio outperformance when returns are not normally distributed? The Probabilistic Sharpe Ratio (PSR) developed by Bailey and Lopez de Prado (2012) is a very concise and powerful tool which is robust to non-normality and includes return skewness and kurtosis into its calculations.
https://www.youtube.com/watch?v=yKPNjru2Ry4
Marcos López de Prado on Deflated Sharpe ratio
Section titled “Marcos López de Prado on Deflated Sharpe ratio”https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2460551