A note on trader Sharpe Ratios.
A note on trader Sharpe Ratios.
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DOI：
10.1371/journal.pone.0008036
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发表时间：
2009-11-25
期刊：
影响因子：
3.7
通讯作者：
Page L
中科院分区：
文献类型：
--
作者：
Coates JM;Page L
金融界的交易员是通过他们赚的钱来评估的，而且越来越多的是通过他们每单位风险赚的钱来评估的，这一衡量标准被称为夏普比率。人们对交易员的平均夏普比率知之甚少，但有效市场假说表明，交易员和资产管理公司一样，不应该跑赢大盘。在这里，我们报告的结果进行了研究，在城市的伦敦这表明，人口的经验丰富的贸易商达到夏普比率显着高于广泛的市场。为了解释这一异常现象，我们研究了产前雄激素暴露的替代标志物，第二至第四手指长度比（2D∶4D），以前已被确定为预测交易员的长期盈利能力。我们发现，它预测了交易者所承担的风险，但不是他们的夏普比率。然而，我们确实发现交易员的夏普比率随着他们交易的年数而显著增加，这一结果表明学习在增加交易员的回报方面发挥了作用。我们的发现为有效市场假说提供了异常数据。
Traders in the financial world are assessed by the amount of money they make and, increasingly, by the amount of money they make per unit of risk taken, a measure known as the Sharpe Ratio. Little is known about the average Sharpe Ratio among traders, but the Efficient Market Hypothesis suggests that traders, like asset managers, should not outperform the broad market. Here we report the findings of a study conducted in the City of London which shows that a population of experienced traders attain Sharpe Ratios significantly higher than the broad market. To explain this anomaly we examine a surrogate marker of prenatal androgen exposure, the second-to-fourth finger length ratio (2D∶4D), which has previously been identified as predicting a trader's long term profitability. We find that it predicts the amount of risk taken by traders but not their Sharpe Ratios. We do, however, find that the traders' Sharpe Ratios increase markedly with the number of years they have traded, a result suggesting that learning plays a role in increasing the returns of traders. Our findings present anomalous data for the Efficient Markets Hypothesis.
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影响因子：
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