Morning thoughts about Sharpe Ratio. As it has already been said so many times, Sharpe Ratio is such a lazy (and misleading) metric. I tried to draw an illustrationpic.twitter.com/wsr3HzoTZo
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I ignore these strategies constantly in favor of unlevered strategies which have higher returns precisely because the 2nd order effects championed by anti-Sharpe-istas. If I had not done so I would have incurred a 64% peak to trough drawdown in March of 2020 due to MBB
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