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Neutralize project-specific phrasing

Brummel
2026-06-15 13:55:09 +02:00
parent cd18a750eb
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Metric-Verification-Log.md
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@@ -22,7 +22,7 @@ do not hard-code them as pass/fail gates without revisiting the primary source.
| # | Claim (as first drafted) | Correction applied | Sources |
|---|---|---|---|
| 1 | Sharpe denominator = total std `std(r)` | Denominator is std of the **excess** return `std(r−r_f)`; equals `std(r)` only when `r_f` is constant over the window. In aura's pip space `r_f=0`, so `std(r)` is exact here. Numerator (excess return) and `sqrt(P)` annualization confirmed; annualization is a convention (square-root-of-time, iid-only), not part of the core definition. | [Wikipedia: Sharpe ratio](https://en.wikipedia.org/wiki/Sharpe_ratio), [CFI](https://corporatefinanceinstitute.com/resources/career-map/sell-side/risk-management/sharpe-ratio-definition-formula/), [QuantInsti](https://blog.quantinsti.com/sharpe-ratio-applications-algorithmic-trading/) |
| 1 | Sharpe denominator = total std `std(r)` | Denominator is std of the **excess** return `std(r−r_f)`; equals `std(r)` only when `r_f` is constant over the window (e.g. `r_f=0` in frictionless P&L accounting). Numerator (excess return) and `sqrt(P)` annualization confirmed; annualization is a convention (square-root-of-time, iid-only), not part of the core definition. | [Wikipedia: Sharpe ratio](https://en.wikipedia.org/wiki/Sharpe_ratio), [CFI](https://corporatefinanceinstitute.com/resources/career-map/sell-side/risk-management/sharpe-ratio-definition-formula/), [QuantInsti](https://blog.quantinsti.com/sharpe-ratio-applications-algorithmic-trading/) |
| 2 | Sortino grading: 0–0.5 weak, 0.5–1 acceptable; "good" bar `>2` | No 0.5 split — `0–1` is **one** sub-optimal band. The "good" bar is `>1` (not `>2`); `>2` very good, `>3` excellent. Divisor of downside deviation is total N. All bands are conventions tied to the chosen MAR. | [optiml](https://optiml.co.uk/guides/invest/ratios/sortino.html), [fe.training](https://www.fe.training/free-resources/portfolio-management/sortino-ratio-formula-how-to-calculate-it-in-excel/), [portfolioslab](https://portfolioslab.com/tools/sortino-ratio) |
| 3 | Calmar grading: `>2` excellent | `>2` alone is **not** excellent — reserve "excellent" for `>3`; `0.5–1.0` is "weak" not "acceptable". Common scheme `<1` poor / `1–3` acc-good / `>3` excellent. No authoritative source defines any numeric band — all convention. | [FinanceStrategists](https://www.financestrategists.com/wealth-management/financial-ratios/calmar-ratio/), [Quantt](https://www.quantt.co.uk/resources/calmar-ratio-explained), [NumberAnalytics](https://www.numberanalytics.com/blog/ultimate-guide-calmar-ratio-capital-markets) |
| 4 | Calmar vs MAR differ "only in window" | They differ in **two** ways: window (trailing 36mo vs inception) **and** numerator (Calmar = average annual rate of return; MAR = compound/CAGR). | [Wikipedia: Calmar ratio](https://en.wikipedia.org/wiki/Calmar_ratio), [SuperMoney: MAR](https://www.supermoney.com/encyclopedia/mar-ratio), [QuantifiedStrategies](https://www.quantifiedstrategies.com/mar-ratio/) |