What is your Sharpe?

[algofy]

Care to explain?

Thanks.

It's sarcasm.

 

[ironchef]

It's sarcasm.

According to my brokerage house, my trading style produced a much higher standard deviation than SP500 so my Sharpe is not that impressive.

 

[algofy]

According to my brokerage house, my trading style produced a much higher standard deviation than SP500 so my Sharpe is not that impressive.

yeah I'm not even sure why my sharpe is, or even how it's calculated so I'm in the same boat I'm sure.

 

[ironchef]

Not a client of Lightspeed. I introduced investors to him. They have done very well over the years. Two bad months since 2009. I have had accounts with him since 2012. Naked options are not right for everyone. These clients are QEP and understand the risk.

View attachment 168096

S&P500 Annual Returns since 2009:
Dec. 31, 2016 5.87%
Dec. 31, 2015 1.40%
Dec. 31, 2014 13.69%
Dec. 31, 2013 32.39%
Dec. 31, 2012 16.00%
Dec. 31, 2011 2.11%
Dec. 31, 2010 15.06%
Dec. 31, 2009 26.46%

I don't think they beat the S&P benchmark. And considering S&P has a Sharpe of 0.82, I don't understand how they can have a Sharpe of over 2.6? Can you explain?

Thanks.

 

[d08]

My long-term and recent Sharpe is so low that after seeing these numbers I will have to commit seppuku now.

 

[TraDaToR]

My long-term and recent Sharpe is so low that after seeing these numbers I will have to commit seppuku now.

LOL... Remember mine is the aggregate of several strategies. I guess it is the same for others here. Some of my strategies have a sharpe between 1 and 2 but with uncorrelated diversification, we end up with much higher numbers...

 

[d08]

LOL... Remember mine is the aggregate of several strategies. I guess it is the same for others here. Some of my strategies have a sharpe between 1 and 2 but with uncorrelated diversification, we end up with much higher numbers...

That's what I was doing as well but when you have one strategy fail and another not perform well, Sharpe dives.
Even when diversifying signals on one strategy, there's still is quite a lot of market risk and I've learned that the hard way recently. Equities seem to move much less independently than they used to, perhaps it's because of the rise of pair trading.

 

[ironchef]

My long-term and recent Sharpe is so low that after seeing these numbers I will have to commit seppuku now.

I am not an economist or a finance guy, so my question for you esteem traders: Can someone with a lower Sharpe be doing better than one with higher Sharpe in absolute returns?

I am thinking since Sharpe is ~(net return)/(standard deviation), I could have the same Sharpe as S&P but with a higher Std Dev, my return is actually better? In that case instead of committing hara-kiri, we should go out and celebrate.

 

[d08]

I am not an economist or a finance guy, so my question for you esteem traders: Can someone with a lower Sharpe be doing better than one with higher Sharpe in absolute returns?

I am thinking since Sharpe is ~(net return)/(standard deviation), I could have the same Sharpe as S&P but with a higher Std Dev, my return is actually better? In that case instead of committing hara-kiri, we should go out and celebrate.

Of course. Sharpe is just returns adjusted for volatility. There are some who trade without regard to risk, so their Sharpe might be very low while their return is better than everyone here.

 

[algofy]

In that case instead of committing hara-kiri, we should go out and celebrate.

All of us non sharpe caring people should celebrate.