Can I keep my Sharpe ratio higher then 3 for a second year??

[macintash]

Whats the annual return and max daily DD for the sharpe 4.2?

Quote from sle:

My CC book posted a dollar Sharpe of 4.2 last year, with no down months but it had some seriously bad days. On the other hand, my tail hedging book was up about 10% of risk capital and the Sharpe was only 1.4. Guess which one attracted investors?

 

[sle]

Quote from macintash:
Whats the annual return and max daily DD for the sharpe 4.2?

My returns on capital for a single book are pretty much meaningless since we allocate risk per strategy, not capital. In dollar terms, worst dd has been about 1/5 of the annualized standard deviation, you can figure out the rest on your own and plug in whatever capital you want. Problem is, that this book is a tiny sliver even for my small fund (CC stands for capacity constrained).

 

[macintash]

Got it. What seems to be usually the case is, that any high Sharpe strategy (at least the good ones..) come with some capital constrained issue. Scalability is important if you look for outside investors.

Quote from sle:

My returns on capital for a single book are pretty much meaningless since we allocate risk per strategy, not capital. In dollar terms, worst dd has been about 1/5 of the annualized standard deviation, you can figure out the rest on your own and plug in whatever capital you want. Problem is, that this book is a tiny sliver even for my small fund (CC stands for capacity constrained).

 

[d08]

Quote from macintash:

I will post my 2012 equity curve this week, however I am sure those people claiming Sharpe higher then 3 is not possible (because blah blah blah..) will never be convinced. No matter how many blotters and pictures we will post they will always claim it's a fake.

So that was all empty promises, I actually thought you'd follow through. No need to post your strategy DETAILS but to reveal your instrument class won't give away your edge.
As this thread is now - I'm trading horse dung on the Mongolian market and my Sharpe is 10.

 

[CT10Gov]

Quote from d08:

I'm trading horse dung on the Mongolian market and my Sharpe is 10.

I would believe this.

 

[Soon2Bgreat]

Quote from d08:

I'm trading horse dung on the Mongolian market and my Sharpe is 10.

That's pretty shitty.

 

[newwurldmn]

Quote from d08:

So that was all empty promises, I actually thought you'd follow through. No need to post your strategy DETAILS but to reveal your instrument class won't give away your edge.
As this thread is now - I'm trading horse dung on the Mongolian market and my Sharpe is 10.

Mongolians have almost an arbitrage opportunity.

1. Find a goat or a horse.
2. Fatten it off the grass on the ground (public land so no cost to you)
3. Sell the goat or horse for money.

 

[heech]

Quote from newwurldmn:

Mongolians have almost an arbitrage opportunity.

1. Find a goat or a horse.
2. Fatten it off the grass on the ground (public land so no cost to you)
3. Sell the goat or horse for money.

Sure, those arbitrage opportunities do great in most situations...

... but what about the occasional fat-tail?

 

[newwurldmn]

Quote from heech:

Sure, those arbitrage opportunities do great in most situations...

... but what about the occasional fat-tail?

Mmm.... fat-tail soup...... aaaarrrggggghhh.....

 

[CT10Gov]

Quote from heech:

Sure, those arbitrage opportunities do great in most situations...

... but what about the occasional fat-tail?

You mean like Roman von Ungern-Sternberg?

(If you don't know who that is, you owe it to yourself to read http://en.wikipedia.org/wiki/Baron_Ungern_von_Sternberg). This guy is freaking insane.