Limitations: What a Pass Still Does Not Prove

You want the probability that a strategy's true Sharpe is above zero, at 95%. Which normal value goes in the MinTRL formula?

• 1.96, as in a 95% confidence interval
• 1.645, because "above zero" is a one-sided question
• 2.58, to be safe

Two studies have the same Sharpe and length. One has negative skew and fat tails. Which needs the longer track record?

• The one with normal returns
• The one with negative skew and fat tails
• Neither, since only Sharpe and length matter