The Hidden Sharpe Ratio
The study estimates maximum Sharpe ratios in large cross-sections without constructing the efficient portfolio, finding annualized maximal Sharpe of 7.4 in U.S. equities versus benchmark estimates of 1.0 to 4.0.
Featured in No. 138 on 6 Nov 2026 · 3 days after release
- Released
- 3 Nov 2026
- First featured
- No. 138 · 6 Nov 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 4 of 5
- Identifier
- SSRN 7679420
- Authors
- Mikhail Chernov et al.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).