Compute the probabilistic Sharpe ratio (PSR): the probability that the estimated Sharpe exceeds a benchmark, accounting for skewness and kurtosis of returns. PSR = N(Z*), where Z* adjusts for higher moments.
Enter the values for the scenario you are assessing. Compute the probabilistic Sharpe ratio (PSR): the probability that the estimated Sharpe exceeds a benchmark, accounting for skewness and kurtosis of returns. PSR = N(Z*), where Z* adjusts for higher moments. Use the probabilistic sharpe result to inform your calculation.