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Is the Sharpe ratio real? · Part 3 of 3
A strategy’s daily returns over four years, 1,008 trading days at 252 a year, give an annualised Sharpe ratio of 1.0. Treat the daily returns as independent and identically distributed.
How many years of daily data would a strategy with a true annual Sharpe of 0.5 need for its expected t-statistic to reach 2?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
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