Can I keep my Sharpe ratio higher then 4 for the rest of the year?
- Thread starter macintash
- Start date
if you export daily returns to an excel file, you can use SKEW and KURT function to calculate skewness and kurtosis. you can use average and stdev function to calculate mean and standard deviation as well.
skewness measure the symmetry of return distribution while kurtosis measures the size of tail. both measures are relative to that of normal distribution.
sharpe ratio is effectively mean divided by standard deviation. it does not capture full distribution very well if the return distribution deviation significantly from normality. while high kurtosis is not necessarily bad, a high dose of kurtosis combined with a very negative skewness can be lethal.
as you look into higher moment of return distribution you start to get a better picture of strategy's characteristics.
however in a small sample, skewness and kurtosis can be hard to pin down. the confidence interval is too wide.
skewness measure the symmetry of return distribution while kurtosis measures the size of tail. both measures are relative to that of normal distribution.
sharpe ratio is effectively mean divided by standard deviation. it does not capture full distribution very well if the return distribution deviation significantly from normality. while high kurtosis is not necessarily bad, a high dose of kurtosis combined with a very negative skewness can be lethal.
as you look into higher moment of return distribution you start to get a better picture of strategy's characteristics.
however in a small sample, skewness and kurtosis can be hard to pin down. the confidence interval is too wide.
Another month is over and Sharpe is still above 4. This month I put special emphasis on DD and August was quite an improvement over July, return was 11.27%, while DD for the month has been 0.72%. Sharpe is stable at 4.64, while max DD for the year is 7.33%, Return YTD is 75.4%. If I finish 3d quarter with the same kind of success, I would test the waters to see if managing money for a few accredited investors is an option both legally and practically, in any case I wouldnât take more then 2 million. For now I am managing my own money plus another 300k for a couple of partners which seems to work for them.
How many standard deviations is your worst annual DD?
ps. Good luck with investors. I don't mean to sound negative but anyone who would give money to a single-strategy risk-premium seller after just 3 quarters on a year like this one has to be an idiot. The only dumber people where guys investing in "vol-arb" funds in 2006.
What would be the formula to calculate STD on the DD? I have run some numbers on skew and kurtosis, would that help?
P.S Your assumption that I am selling premium is without basis. Anyone that was selling premium (especially unhedged) would probably have a sizable DD this year in April, May, June months. Also my question was not if it makes sense for accredited investors to invest, it was rather if it makes sense for me to look for them and start managing based on the performance.
Mac
Why don't you tell us a little about yourself. What do you do for a living, how do you feed yourself or your family if you have one. I don't want to say this is all a scam but it sure feels this way.
You speak with a sophisticated voice on the one hand, and then you make such naive comments like should I manage other peoples money, why else are you posting you returns? Earlier in this thread you kind of invited people to inbox you if they were interested in you managing some funds. I just don't get it.
This just feels like you are trying to win over readers by teasing them with basic unsubstantiated information and then you somehow get a line of offline communication going where you fleece them.
Mickson
Why don't you tell us a little about yourself. What do you do for a living, how do you feed yourself or your family if you have one. I don't want to say this is all a scam but it sure feels this way.
You speak with a sophisticated voice on the one hand, and then you make such naive comments like should I manage other peoples money, why else are you posting you returns? Earlier in this thread you kind of invited people to inbox you if they were interested in you managing some funds. I just don't get it.
This just feels like you are trying to win over readers by teasing them with basic unsubstantiated information and then you somehow get a line of offline communication going where you fleece them.
Mickson