Judge Business School, University of Cambridge, Cambridge, United Kingdom.
PLoS One. 2009 Nov 25;4(11):e8036. doi: 10.1371/journal.pone.0008036.
Traders in the financial world are assessed by the amount of money they make and, increasingly, by the amount of money they make per unit of risk taken, a measure known as the Sharpe Ratio. Little is known about the average Sharpe Ratio among traders, but the Efficient Market Hypothesis suggests that traders, like asset managers, should not outperform the broad market. Here we report the findings of a study conducted in the City of London which shows that a population of experienced traders attain Sharpe Ratios significantly higher than the broad market. To explain this anomaly we examine a surrogate marker of prenatal androgen exposure, the second-to-fourth finger length ratio (2D:4D), which has previously been identified as predicting a trader's long term profitability. We find that it predicts the amount of risk taken by traders but not their Sharpe Ratios. We do, however, find that the traders' Sharpe Ratios increase markedly with the number of years they have traded, a result suggesting that learning plays a role in increasing the returns of traders. Our findings present anomalous data for the Efficient Markets Hypothesis.
金融界的交易员是根据他们赚的钱的数量来评估的，而且越来越多地根据他们每承担单位风险所赚的钱的数量来评估，这一衡量标准被称为夏普比率。人们对交易员的平均夏普比率知之甚少，但有效市场假说表明，交易员和资产管理者一样，不应该跑赢大盘。在这里，我们报告了在伦敦金融城进行的一项研究的结果，该研究表明，一群经验丰富的交易员的夏普比率明显高于大盘。为了解释这一异常现象，我们研究了产前雄激素暴露的替代标志物，即第二到第四指长度比（2D:4D），此前该标志物已被确定可预测交易员的长期盈利能力。我们发现，它可以预测交易员承担的风险量，但不能预测他们的夏普比率。然而，我们确实发现，交易员的夏普比率随着他们交易的年限显著增加，这一结果表明，学习在提高交易员的回报方面发挥了作用。我们的发现为有效市场假说提供了异常数据。
