iBankCoin
18 years in Wall Street, left after finding out it was all horseshit. Founder/ Master and Commander: iBankCoin, finance news and commentary from the future.
Joined Nov 10, 2007
23,423 Blog Posts

Sharpe Haters Get in Here and Explain This

Every stockbroker in America, aka ‘financial advisors’ or ‘planners’, use this metric to shill their schemes. They act as if a high net worth individual cannot access this data without their help.

Here’s a simple enough screen. Stocks with Sharpe ratios above 2 vs below 2. The above 2 produced a YTD return of +55%, while under 2 did absolutely nothing. This is the present day hedge fund hotel. If your argument is ‘well high Sharpe’s are high because their stocks are up — that’s not a valid excuse. Sharpe’s don’t move that fast. High Sharpe’s crush low Sharpe’s across various time frames — because that’s where money flow is going.

Chicken vs egg paradox.

Same screen in Exodus over a 1 week timeframe produced a gain of +2.2 for Sharpe’s over 2 vs a gain of only 0.2% for under 2.

You’ve been courrected and educated.

As you were.

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3 comments

  1. probucks

    Sharp ratios are for cain clutching grandpa’s without the knowledge of leveraged etfs and god-send volatility products like VXX and XIV

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  2. ironbird

    Chicken egg shit is Satan. Other than that carry on.

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