{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/sharper-asset-ranking-from-total-drawdown","title":"Sharper asset ranking from total drawdown durations","arxiv_id":"1505.01333","date":"2015-05-06","proceeding":null,"authors":["Damien Challet"],"abstract":"The total duration of drawdowns is shown to provide a moment-free, unbiased,\nefficient and robust estimator of Sharpe ratios both for Gaussian and\nheavy-tailed price returns. We then use this quantity to infer an analytic\nexpression of the bias of moment-based Sharpe ratio estimators as a function of\nthe return distribution tail exponent. The heterogeneity of tail exponents at\nany given time among assets implies that our new method yields significantly\ndifferent asset rankings than those of moment-based methods, especially in\nperiods large volatility. This is fully confirmed by using 20 years of\nhistorical data on 3449 liquid US equities.","url_abs":"http://arxiv.org/abs/1505.01333v6","url_pdf":"http://arxiv.org/pdf/1505.01333v6.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"sharper-asset-ranking-from-total-drawdown","repo_url":"https://github.com/amirsani/pySharpeRratio","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"none","reach":null},{"paper_slug":"sharper-asset-ranking-from-total-drawdown","repo_url":"https://github.com/damienchallet/rstatistics","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":null,"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}