What is your Sharpe?

[Overnight]

So what is a Sharpe ratio of 1.00? Good or bad?

 

[d08]

Can't believe there's more than one person who doesn't know what Sharpe is. How do you measure your strategy performance if you don't know the basics?

 

[smart theta]

So what is a Sharpe ratio of 1.00? Good or bad?

Sharpe ratio looks at risk adjusted returns. You can take on more risk to increase returns. Can you increase returns without increasing risk? That's what the Sharpe Ratio looks at.

Pick up a copy of GATs Systematic Trading for a good discussion of Sharpe.

 

[dealmaker]

Naked Option seller in ES options. His Sharpe was 6 before having 2 bad months in 2015. August and October.

Reminds me of Victor Niederhoffer...

 

[nonlinear5]

Hello,

4.13 from April 2011 to November 2016. It's the first time I calculate it.

It was done on low , sometimes high 6 figures account. I don't pretend I can do it with more significant capital.

What is yours?

3.71, as calculated by fundseeder:
https://fundseeder.com/trading_account/2941

 

[Robert Morse]

3.71, as calculated by fundseeder:
https://fundseeder.com/trading_account/2941

Fundseeder is a third party marketer?

 

[nonlinear5]

Fundseeder is a third party marketer?

I don't know what a "third party marketer" is. For me, it's just a way to have an independently audited and verified record of my performance, and to hopefully get an allocation.

 

[Robert Morse]

A "third party marketer" helps raise AUM for a % of your fees. How do they make money? What do they charge you for?

 

[nonlinear5]

A "third party marketer" helps raise AUM for a % of your fees.

Okay, yes, this is what fundseeder does.

What do they charge you for?

There is no charge for just tracking the account and performance analytics. I have not been offered an allocation yet (as my record is rather short).

 

[Robert Morse]

Do they charge you for the analytics or only if they raise AUM for you? Or, to set up your CTA or RIA? Where do the fees come in? I can't find that on their website.