MRP measures strategy-decay risk as the minimum realized risk-adjusted return across historical regimes and shows that high long-term Sharpe ratios do not guarantee high MRP values.
Robust Convex Optimization
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Measuring Strategy-Decay Risk: Minimum Regime Performance and the Durability of Systematic Investing
MRP measures strategy-decay risk as the minimum realized risk-adjusted return across historical regimes and shows that high long-term Sharpe ratios do not guarantee high MRP values.