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by dcolkitt
1835 days ago
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Yes, that's correct. An intuitive way to think about this is that Sharpe depends on the specific horizon you're using. E.g. annualized Sharpe will be sqrt(252) larger than daily Sharpe. It would not make sense to change the Kelly criterion based on a substitution of variables. In contrast variance, like returns, scales linearly with time horizon. Therefore the variance ratio is invariant to the time horizon. |
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