Sharpe Ratio
topic on 1 show · 8 statements across 7 episodes
8 statements about Sharpe Ratio, every show
Arndt: Future Fund achieved a 10-year Sharpe ratio of 1.3
“And so, we sort of think about volatility, but also Sharpe ratio, and it's a hard thing to measure, and there's all sorts of debates you could have about it, but in terms of our 10 year Sharpe ratio, it's about 1.3, which we think for a fund like ours is, is p…”
BAM allocates capital by multiplying volatility dollars by expected Sharpe ratio
“So we allocate capital in the form of volatility dollars, and then somebody has an expected sharp, and they multiply that sharp times the vol dollars to arrive at their expected P&L for the year.”
Craib: A 0.5% edge increase produces massive Sharpe improvements
“To go from 52 to 52 and a half is massive in terms of your Sharpe ratio returns, volatility. And so the fact is, it's just one of these industries where a tiny bit helps.”
Craib: Millennium Management thrives by combining numerous uncorrelated strategies
“One of the reasons Millennium works is because they can get strategies that are uncorrelated, and that's what boosts the sharp. They have so many different strategies that are all uncorrelated, it's starts to become very hard to have a down year.”
Monk: Sharpe ratios fail mathematically in negative return environments
“That sharp ratios are largely wrong. There's a bunch of reasons why the sharp ratios kind of distort our understanding of the risk we're taking, and it's not wrong in the sense that it's not a useful tool to use just to look, but as long-term investors, sharps…”
Fisher: Macro funds cannot achieve a 1.0 Sharpe ratio
“So that sort of coquates to like a .75 sharp, which is probably as good as one can hope and macro. I mean, everyone wants to do a one, but nobody will get there.”
Biscardi: Comparing hedge funds to the S&P 500 demonstrates financial illiteracy
“I hate when I read articles and I see comments on the hedge fund industry not keeping pace with the S&P, and I know that the person behind the article probably doesn't know what a Sharpe ratio is. We're doing a different thing than the S&P is doing.”