Design
A Sharpe-ratio adjustment for selection bias, repeated testing, skewness, and kurtosis.
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Research validity · methodological
Bailey and Lopez de Prado propose the Deflated Sharpe Ratio to adjust performance evidence for multiple testing and non-normal return distributions.
Bailey and Lopez de Prado propose the Deflated Sharpe Ratio to adjust performance evidence for multiple testing and non-normal return distributions.
Bathymark treats the statistic as one control in a wider validation packet, not as a universal quality score.
The paper introduces a corrected performance statistic intended to distinguish evidence from selection-driven inflation.
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A Sharpe-ratio adjustment for selection bias, repeated testing, skewness, and kurtosis.
Observed Sharpe ratio, number and dependence of trials, and non-normal return moments.
A valid calculation needs the trial count or defensible trial-family estimate plus the complete return series.
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David H. Bailey, Marcos Lopez de Prado · The Journal of Portfolio Management and SSRN record · 2014
Journal version of record reviewed. The SSRN identifier remains a public version trail.
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Reviewed 2026-07-13; next review 2027-01-13. The paper record is not a recommendation, forecast, or proof of current profitability. Information, not financial advice.