Almost like you can’t summarise the performance of a trading strategy into one number. Sharpe has problems and is overused but is fine in its domain of applicability, and everyone knows what it means. Sortino, calmar etc fix some problems but introduce new ones.https://twitter.com/WayneHimelsein/status/1367146025819901953 …
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Seems most institutional investors and consultants are more focused on relative performance and correlation with piers or similar funds. Some look at performance sorted into different periods (i.e. up markets and down markets).
Thanks. Twitter will use this to make your timeline better. UndoUndo
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