RESOURCES
In-depth studies on trading performance metrics, audit methodologies, and industry best practices.
Discover why PnL in dollars is a vanity metric. TWR (Time-Weighted Return) is the only indicator that measures your true trading skill. GIPS standard for Prop Firms and managers.
In-depth analysis of the SPIVA statistic. Why comparing net returns to benchmarks is methodologically biased. Gross alpha, fees, and bad benchmarks.
PnL in dollars is biased by capital size, deposits, and closing timing. DALBAR data, GIPS history (1966-2020), and why TWR is the institutional standard.
Strict definitions, formulas, and numerical examples. 26.8pp divergence on the same portfolio. Modified Dietz, Yale SI-IRR trap, and GIPS 2020 requirements.
The IID Sharpe formula is the optimistic case. Autocorrelation, fat tails, and regime shifts multiply the data requirement by 2–4x. Plus: why rejecting Sharpe = 0 is the wrong test.