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  • Data Science

Highlights of the 2018 Joint Statistical Meetings

Two Sigma researchers provide an overview of some of the most interesting lectures and sessions at JSM 2018, and highlight some of the most important challenges statisticians face going forward.

  • Data Science
  • Markets & Economy

Making Sense of the Sharpe Ratio

Two Sigma’s Labs team recently performed an in-depth survey of the extensive literature on the Sharpe ratio and published its findings in a new Technical Report.

  • Markets & Economy

Sharpe Ratio: Estimation, Confidence Intervals, and Hypothesis Testing

The authors survey and discuss methods proposed in the literature for estimating the Sharpe ratio; computing confidence intervals around a point estimation of the Sharpe ratio; and performing hypothesis testing on a single Sharpe ratio and on the difference between two Sharpe ratios.

  • Data Science

JSM 2017 Experiences

A group of Two Sigma statisticians highlight a selection of interesting talks and presentations from the 2017 Joint Statistical Meeting.