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Great year, bad Sharpe? A note on the joint distribution of performance and risk-adjusted return

Returns distributions are heavy-tailed across asset classes. In this note, I examine the implications of this well-known stylized fact for the joint statistics of performance (absolute return) and Sharpe ratio (risk-adjusted return). Using both synthetic
Smerlak, Matteo
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The Theory of Intrinsic Time: A Primer

The concept of time mostly plays a subordinate role in finance and economics. The assumption is that time flows continuously and that time series data should be analyzed at regular, equidistant intervals.
Glattfelder, James B., Olsen, Richard B.
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