Concatenate OOS Returns (Never Average Fold Sharpes)

Under this course's convention, what do you multiply a daily Sharpe by to annualise it?

• 365
• √252
• √365, about 19.105

When is multiplying by √365 exactly right?

• Only when daily returns are independent and identically distributed
• Always, for any daily return series
• Only when the Sharpe is positive