The extreme Sharpe ratios in the M6 investment challenge are statistically compatible with luck, and rank-maximizing portfolio strategies can improve win probability at the cost of expected performance.
, author Harlow, W.V
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.PM 1years
2024 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
M6 Investment Challenge: The Role of Luck and Strategic Considerations
The extreme Sharpe ratios in the M6 investment challenge are statistically compatible with luck, and rank-maximizing portfolio strategies can improve win probability at the cost of expected performance.