I’ve been working on this for quite some time and have finally made it happen. Thanks to the tireless efforts of Cypress North, Sharpe ratios have been added to the system. In the event you do not know what a Sharpe score is, fuck off or read this.
All baskets and screens have been festooned with these scores. We’ve got the 252 daily, 12 monthly and 12 weekly listed. We can add more on demand. The purpose of the Sharpe is to assess your work and to ensure you’re not being retarded and to set a course for a higher quality risk free return. We can do this on a stock level or on a portfolio level, which is of the utmost importance when creating investment strategies.
BEHOLD.
FAANG
Top sharpe scores (min market cap $1b)
Speaking of Sharpe, he (together with all Nobel laureates, including Bob Lucas who never endorsed a Democrat) endorsed Clinton:
http://home.uchicago.edu/rmyerson/nobelecon2016.pdf
Still trust him?
Smartest people in finance are liberals and I respect most of them. Politics has no place when judging someone by their smarts.
A good number of them are charlatans, or just not that smart. Most people in my field (quantitative/computational finance) consider Econ/Finance profs third-rate mathematicians.
For example, one of my mentors who taught at Wharton had a few chats with Jeremy Siegel when she was a faculty member there. She found him very ignorant and pretentious, which was obvious to me just looking at him on TV. (But then Siegel, unlike his own doctoral advisor Bob Solow, was never taken seriously in academia.)
Yoo must be way smart.
Compared to the Trumpkins, sure.
Remember Long Term Capital- regarded as some of the smartest finance brains and nearly blew up the modern financial system
Exactly! They had perfect formulas, but were still reliant on the assumption that the future would behave like the past.
Well meaning leftists are often highly intelligent. But, living in a bubble often creates an atmosphere of degeneracy and erosion of ethics. The good meaning liberal becomes a caricature of what he set out to become and lacks the integrity of lead people below their station — classic elitism.
and the smartest of the smartest people (at least they look human) at the very top are 100% communists, vis-a-vis hofjuden who control all central banks except three CB – Cuba, North Korea (hello) and Iran (hello!)
The problem I have with the liberal elitists, of whom I am a proud member, is their closed-mindedness due largely to their obsession with (mainly academic) pedigree.
Willfully or not, most of them fail to acknowledge such a blatant irony.
Most liberal elites or for that matter any liberal are lousy debaters. They also tend to be sympathetic without adding the element of blame for individual failures of character.
“Most liberal elites or for that matter any liberal are lousy debaters. They also tend to be sympathetic without adding the element of blame for individual failures of character.”
Dick Nixon repeated the same points over and over long before, during, and long after his White House years. He even beat a few of such liberal elites with his unnecessary slime and crimes.
The smartest people in Finance are “truth seekers” and don’t buy into the political bullshit spewed by either side of the aisle. They follow economic cycles, and pay little mind to headline news that drives near-term volatility. They focus purely on cycles and fundamentals and derive an investment thesis based on such. Anybody powerful man who is a “liberal” is simply that because he can afford to be.
The problems with liberal economist 9or economists in general) is that theyhave trouble separating macro- and micro- effects. Two example:
1) Micro: to get ahead, an individual will do much better with a college degree.
Macro: If everyone in an economy obtained a college degree, the degree itself would hold less economic value, so the benefit to the individuals is greatly reduced.
2) Macro: Free trade benefits an economy.
Micro: Free trade reduce prices, increasing purchasing power for everyone. Free trade reduces wages for those in industries that have to compete with lower wage workers in other countries, as well as reducing job availability (which amplifies the wage reductions).
3) Macro: Minimum wage laws increase prices and reduce efficiency.
Micro: The net income gain in concentrated i nthe lower econmic classes, whiel the price increase is spread out. Therefore, minimum wage laws increase the purchasing power of the lower economic classes.
I should point that both 1 and 2 are not absolutes, but are dependant on where you are starting from and also waht the cahnges are (for example how large the minimum wage is)
“Gundlach: 2017 Was Easy. 2018 Is Payback Time”
so similar to where we were in 1999
“Russell Napier: The Fed’s Ammunition Just Ran Out”
M-1? likely the fuel for the biggest asset bubble ever created by a central bank
“The Blow Out In Libor-OIS”
Ok I’m done whoring for the day
https://ibankcoin.com/flyblog/2017/12/03/time-end-year-analysis-plebs/
https://ibankcoin.com/flyblog/2017/12/03/trump-eggs-investors-sue-abc-news-market-moving-fake-news/#comment-540154
To add to the previous discussion, I’ll just point out that looking at the Sharpe ratio for individual stocks is not just pointless, but actually misleading in a trending market. You might as well just look at straight performance because the two will be strongly correlated.
BANNED!
Numbers
Absurd comment about sharpe for individual stocks. You just don’t know what you’re talking about. Might I add, there is no holy grail, but the sharpe is a great metric for quickly viewing quality of returns.
I know you just passed your 65, but believe me, you’re an idiot.
..and this is why Fly is no longer invited to deliver commencement addresses.
“you’re an idiot.”
If you call a man who is 5″7′ short, he’ll get defensive.
If you call a man who is 6″6′ short, he’ll laugh in your face.
Ha, ha.
TL:DR version:
To calculate the Sharpe ratio:
Step 1) Calculate the *historic* volatility
Step 2) Calculate the *historic* performance
Step 3) Calculate the *historic* Sharpe ratio be dividing performance by volatility
Step 4) Assume that the *future* Sharpe ratio is equal to the *historic* Sharpe ratio (because every investor knows that past performance is always indicative of future returns)
As per usual, the problem with a perfectly fine theory/calculation is the implicit (unstated) assumption (Step 4). Tell me what the Sharpe ratio of sub-prime-based AAA-rated CDS were in 2007? Proabably a lot better than Treasuries. How did that turn out?
I built my business taking accounts away from people like you. Making a point based upon a 10 standard deviation event, which by the way was due to fraud, isn’t a very good example. When broken elevators happen, none of the metrics or asset planning tools work, unless you build in hedges.
Might I add, those Sharpe ratios you hate so much could’ve been used to short stocks too, or buy inverse ETFs.
Just because you do not find something useful doesn’t make it empirically right.
Some were based on fraud, but more importantly they were based on the *assumption* that house prices would never go down across the country in a significant manner.
Try this example: XIV is gone, but Yahoo finance has historical data for SVXY. Now go calculate the Sharpe ratio in early January 2018 (any idiot can do it) and you’ll find that it CRUSHES all the top stocks on your list.
(mic drop)
Understandably, very few would expect such a big move in SVXY, but the point remains that the Sharpe ratio was VASTLY misjudging the risk/reward ratio.
“Some were based on fraud?”
They were all based on fraud, which is why they are called Black swans.
XIV another poor example, since it’s another black swan.
You’re just dense. Why don’t we conclude you’re dim witted and unable to understand that no one here is saying a sharpe ratio is predictive. It’s a metric, like beta or sortino.
Now kill yourself
Not using it for prediction? Don’t be naive. Don’t you believe stocks with a high Sharpe ratio represent good values?
Whatever. It’s not **my** money at risk.
ERY FXP QID = LMFAO
Quant portfolio +4%
QED
Fair enough
Let’s run an experiment. Take your basket of “top sharpe scores” and create an index in Exodus. Those are best stocks, right? I’m betting that if the S&P is below 2600 in December, then SPY will have outperformed your basket.
The top Sharpe on 12 month weekly basis is TTGT. It is up just 1.2% the past week.
QED
Chicken hawk mutherfucker using “complexity” to sell product to idiots. Tell me, do people in the industry buy into this shit? Yes? Or are you pitching to Edward Jones folk?
Chicken hawk is defined as someone who wants war, but is too coward to conduct it himself. Being that I am anti-war and have been for many years, you can kiss both sides of my ass.
As for the Sharpe — sorry, but I am excited to have it. You don’t have to like it.
Fry out
Exciting stuff.. It would be interesting to find the top (n) stocks that have had an increase in sharpe ratio over the last week or month and re-balance on a scheduled frequency.