We are not exactly in disagreement here. In all fairness, the sharpe i stated is on stuff that can't scale beyond $10mm or so. I've run several systems over the years and things that scale barely achieve a sharpe of 1 and i am talking CL or yield curve liquidity. It doesn't have to be a conspiracy, in my experience people who discover a niche edge which is the only way to achieve very high risk adjusted returns aren't willing to trade it with OPM due to scalability or privacy issues, hence you can't find a record of it anywhere except a random post on an anonymous board or a friend of a friend hearsay . You have your own fund so can you honestly say that you'd share such an edge with OPM?
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Can I keep my Sharpe ratio higher then 4 for the rest of the year?
- Thread starter macintash
- Start date
We are not exactly in disagreement here. In all fairness, the sharpe i stated is on stuff that can't scale beyond $10mm or so. I've run several systems over the years and things that scale barely achieve a sharpe of 1 and i am talking CL or yield curve liquidity. It doesn't have to be a conspiracy, in my experience people who discover a niche edge which is the only way to achieve very high risk adjusted returns aren't willing to trade it with OPM due to scalability or privacy issues, hence you can't find a record of it anywhere except a random post on an anonymous board or a friend of a friend hearsay . You have your own fund so can you honestly say that you'd share such an edge with OPM?
Not true for people trading convex instruments of some sort (options, risk/liquidity spreads, credit etc).Quote from heech:
But from everything I've seen, Sharpe and Sortino are closely correlated with enough trading history.
PS. I have seen people with high risk-adjusted returns on low capacity and with low R/A returns on high capacity, never a combination of the two. The first one rather quickly displaces investors and manages own money, the second kind is the one that trawls for OPM.
I happened to find this LJM performance summary from the end of 2007.Quote from sle:
Actually, continually selling front month variance would give you even a better a Sharpe.
PS. you beat me to it already by referencing LJM
http://www.ljmpartners.com/downloads/BarclayRankingReport_December2007.pdf
3-yr Sharpe was "only" 2.3 or so.
Actually this other report shows a much lower sharpe over the same period:
http://www.ljmpartners.com/downloads/AutumnGoldCTARankingReportDec2007.pdf
In 2005, 5 yr sharpe was barely over 1:Quote from sle:
Actually, continually selling front month variance would give you even a better a Sharpe.
PS. you beat me to it already by referencing LJM
http://www.ljmpartners.com/downloads/marhedge_ranking.pdfs
I hope you dont feel bad if it goes below 4. really, sharpe is not even the end all of all measures. however - the indexes are all showing high sharpe numbers, and that wont last much longer as we test this new price for the next few days.
Oops messed up the URL.Quote from heech:
In 2005, 5 yr sharpe was barely over 1:
http://www.ljmpartners.com/downloads/marhedge_ranking.pdf
I would mostly agree with your assessment. But it might still make some sense to manage OPM for a short period to bring up your account size, let's say from 1 Mil to 10 Mil.Quote from rallymode:
We are not exactly in disagreement here. In all fairness, the sharpe i stated is on stuff that can't scale beyond $10mm or so. I've run several systems over the years and things that scale barely achieve a sharpe of 1 and i am talking CL or yield curve liquidity. It doesn't have to be a conspiracy, in my experience people who discover a niche edge which is the only way to achieve very high risk adjusted returns aren't willing to trade it with OPM due to scalability or privacy issues, hence you can't find a record of it anywhere except a random post on an anonymous board or a friend of a friend hearsay . You have your own fund so can you honestly say that you'd share such an edge with OPM?
Quote from macintash:
I would mostly agree with your assessment. But it might still make some sense to manage OPM for a short period to bring up your account size, let's say from 1 Mil to 10 Mil.
Unless you are well connected raising this kind of cash will take several years at best. A sharpe of 4+ on the lower time frames and you are likely putting out 100-200% returns or more. Dial up the leverage on that million and you get there pretty fast.
Quote from mickson:
Almost impossible. Sorry the probabilities are slimmer than Ben Bernanke raising interest rates in the next 3 months.
Show us your equity curve how you have achieved it so far.
I know daytraders managing $5million who have >6 Sharpe. But it isn't really a fair comparison. Sharpe was developed for money managers managing at least $20m.
The lower your assets, the easier to get hi sharpe.
So if the guy who originally posted this thread wants to maintain a high sharpe, lower your AUM.