Fw: [New announcement] The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting, and Non-Normality: http://bit.ly/1ulBacS

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From: "Institutional Investor Journals, The Voices of Influence" <groups-noreply@linkedin.com>

Date: Tue, 18 Nov 2014 18:30:12 +0000 (UTC)

To: Bob Sefcik<mainandwall@gmail.com>

Subject: [New announcement] The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting, and Non-Normality: http://bit.ly/1ulBacS

With the advent of large financial data sets, machine learning, and high-performance computing, analysts can back test millions (if not billions) of alternative investment strategies, exacerbating the problem of performance inflation. More generally, researchers and investment managers tend to report only positive outcomes, a phenomenon known as selection bias. Non-normally distributed returns is another leading source of performance inflation.

The authors of this research introduce a new tool—the Deflated Sharpe Ratio—to help you separate legitimate empirical findings from statistical flukes.
Please enjoy this complimentary access to their article in The Journal of Portfolio Management's 40th Anniversary Issue. Access here: http://bit.ly/1ulBacS

To view 2 more complimentary articles in The Journal of Portfolio Management's 40th Anniversary Issue, register here: http://bit.ly/JPM40issue.

Groups Announcement in Institutional Investor Journals, The Voices of Influence The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting, and Non-Normality: http://bit.ly/1ulBacS Sharon Chien Marketing Manager at Institutional Investor Journals With the advent of large financial data sets, machine learning, and high-performance computing, analysts can back test millions (if not billions) of alternative investment strategies, exacerbating the problem of performance inflation. More generally, researchers and investment managers tend to report only positive outcomes, a phenomenon known as selection bias. Non-normally distributed returns is another leading source of performance inflation. The authors of this research introduce a new tool—the Deflated Sharpe Ratio—to help you separate legitimate empirical findings from statistical flukes. Please enjoy this complimentary access to their article in The Journal of Portfolio Management's 40th Anniversary Issue. Access here: http://bit.ly/1ulBacS To view 2 more complimentary articles in The Journal of Portfolio Management's 40th Anniversary Issue, register here: http://bit.ly/JPM40issue. Respond Now View   Don't want to hear from the manager? Unsubscribe here This email was intended for Bob Sefcik (President, MAIN & WALL Financial™). Learn why we included this. If you need assistance or have questions, please contact LinkedIn Customer Service. © 2014, LinkedIn Corporation. 2029 Stierlin Ct. Mountain View, CA 94043, USA