Janus Worldwide / VIID / Harris & Harris Group / AlphaSimplex Group LLC / Center for Research in Security Prices / Washington Mutual / /
Continent
America / /
Facility
University of Chicago’s Center / Massachusetts Institute of Technology / /
IndustryTerm
active investment products / /
MarketIndex
S&P 500 / /
Organization
American Century Ultra Growth Fund / Russian government / Magellan Fund / School of Management / the University of Chicago / Fidelity Magellan Fund / Massachusetts Institute of Technology / Growth Fund of America / V IID / /
Person
Jonathan Taylor / Chris Jakob / Nicholas Chan / Jon Markman / Victor Niederhoffer / Cov / Jim Holub / Var / Bill Sharpe / Andrew W. Lo / Laurel Kenner / Frank Linet / /
Position
chief scientific officer / portfolio manager / Professor / Rt / Rt / return series Rt / Rt / General / /
The Statistics of Sharpe Ratios Andrew W. Lo The building blocks of the Sharpe ratio—expected returns and volatilities— are unknown quantities that must be estimated statistically and are, therefore, subject to estim