God damn some of you people, fools playing with charts in the digital age. Let me guess, you drive to work in a horse and carriage too — apply leeches to your face when you’re feeling ill, and you drink large tallboys filled with buttermilk in the morning — because it’s good for you.
The Sharpe ratio is a metric often met with widespread ridicule — because it’s not properly used. In portfolio management, it expresses how much risk and skill a manager exhibits. On an individual stock level, it’s merely a technical indicator — a damned good one too.
You know damned well financial advisors suck the dicks off anything with high Sharpes, so you might as well become familiar with how it works and what it produces.
In Exodus, we apply the Sharpe to everything. It’s the Swiss army knife of technical indicators. Check this out. Year to date returns of stocks with Sharpe’s above 2 versus under 1.
Sharpe over 2: +60%
Sharpe under 1: -4.5%
Congratulations, you played yourself.
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So just keep rotating into a basket of high sharpe stocks within outperforming sectors.
Duh
The average return of the portfolios I’ve created using the top 25 stocks by 12 week sharpe over 1 month is 8%. Enough said.
Are those their Sharp ratios as of the close on the last day of last year?
I judged the Sharpe Ratio a red herring over 20 yrs ago.
Fly, does exodus store the historical Sharpe Ratio for to see what Sharpe was at Dec 29 for each of these holdings?
10 thumbs up. Fly, are you letting Trump post for you?
Fly, here’s another good “indicator” along your thesis: take a basket of stocks with the highest historical YTD returns and compare it to a basket of stocks with the lowest YTD return. Guess what? The stock with the highest YTD performance outperformed the other stocks. Who-woulda-guessed?