Question

a strategy has an expected annual return of 10% and sharpe of is the probability of losing 10% or more over a 2y period?

Answer 1

The probability of losing 10% or more over a 2y period is 100%

How to get the probability

The expected annual return is a measure used in finance to estimate the average return an investment or portfolio is anticipated to generate over a one-year period, on average.

It represents the mean or average return that an investor might expect from holding a particular investment over the course of a year.

Calculating the expected annual return involves analyzing historical data, market trends, economic indicators

Chance of losing 10% over two years = 1 – (10% - 10%)

= 1

This is 100%