{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,20]],"date-time":"2026-10-20T09:43:05Z","timestamp":1792489385355,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":25,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>&lt;span&gt;A backtested Sharpe ratio summarises how large a strategy's risk-adjusted return was over a sample, not how it was distributed across the sample. We apply the Sharpe Stability Ratio (SSR) of Bajo Traver and Rodriguez Dominguez (2026), the mean of a rolling 36-month Sharpe ratio divided by a heteroskedasticity and autocorrelation consistent estimate of its long-run standard deviation, to 173 tactical and static asset allocation strategy variants published on one backtesting platform, with completed monthly histories of 18 to 106 years ending in August 2026. We report a fixed-bandwidth descriptive version of the statistic and treat it as a ranking aid. Three descriptive findings follow. First, SSR is imperfectly rank-correlated with the Sharpe ratio (0.67) and with the platform's Deflated Sharpe Ratio (0.61): of 146 variants whose Deflated Sharpe Ratio is at least 0.90, 54 have an SSR of at least 0.5 and 92 fall below it. Second, estimated SSR rankings depend strongly on the evaluation period. Aggregate rankings are stable across rolling windows and bandwidths (rank correlations of 0.94 to 0.99 with the baseline specification), but across four calendar subperiods the cross-sectional rank correlation between adjacent periods is -0.04, -0.43 and 0.08, and the S&amp;amp;P 500's own SSR moves from 0.15 in the 2000s to 1.63 in the 2010s. Third, the association between reported turnover and SSR is positive (rank correlation 0.31; 0.23 within tactical variants), and static allocations have the lowest median SSR. A moving block bootstrap places every percentile interval above zero and no 5th percentile above 0.5. We document the estimator, the choices behind it, and their consequences.&lt;\/span&gt;<\/jats:p>","DOI":"10.2139\/ssrn.7441662","type":"posted-content","created":{"date-parts":[[2026,9,16]],"date-time":"2026-09-16T13:57:45Z","timestamp":1789567065000},"source":"Crossref","is-referenced-by-count":0,"title":["The Sharpe Stability Ratio in Tactical and Static Asset Allocation Backtests: Evidence from 173 Published Strategy Variants"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0007-9586-8601","authenticated-orcid":true,"given":"Laurent","family":"Bonherbe","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"issue":"3","key":"ref1","doi-asserted-by":"crossref","first-page":"817","DOI":"10.2307\/2938229","article-title":"Heteroskedasticity and autocorrelation consistent covariance matrix estimation","volume":"59","author":"D W K Andrews","year":"1991","journal-title":"Econometrica"},{"key":"ref2","author":"G Antonacci","year":"2014","journal-title":"Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk"},{"issue":"2","key":"ref3","doi-asserted-by":"crossref","first-page":"3","DOI":"10.21314\/JOR.2012.255","article-title":"Thee Sharpe ratio efficcient frontier","volume":"15","author":"D H Bailey","year":"2012","journal-title":"Journal of Risk"},{"issue":"5","key":"ref4","first-page":"94","article-title":"Thee deflaated Sharpe ratio: Correcting for selection bias, backtest overfilttiing, and non-normality","volume":"40","author":"D H Bailey","year":"2014","journal-title":"Journal of Portfolio Management"},{"issue":"5","key":"ref5","doi-asserted-by":"crossref","first-page":"458","DOI":"10.1090\/noti1105","article-title":"Pseudo-mathematics and filnancial charlatanism: Thee effeects of backtest overfilttiing on out-of-sample performance","volume":"61","author":"D H Bailey","year":"2014","journal-title":"Notices of the American Mathematical Society"},{"issue":"1","key":"ref6","first-page":"289","article-title":"Thee Sharpe Stability Ratio: Temporal consistency of risk-adjusted performance. 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