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Easy · statistical_analysis · Quant Researcher interview question · statistics, sharpe, rolling, risk, performance-metrics
The rolling Sharpe ratio is a key metric for analyzing the time-varying performance of trading strategies and financial assets. It is calculated over a moving window to detect performance degradation, such as alpha decay or factor crowding, which is crucial for dynamic risk management. Quant desks use this diagnostic to adjust position sizes and manage portfolio risk. Task Implement solution(returns: list, window: int) -> list to calculate the annualized rolling Sharpe ratio for a series of ass