There is a high correlation between: - people who write philosophical articles on the dangers and flaws of the sharpe ratio - people whose sharpe ratio sucks
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Really just trying to emulate the
@macrocephalopod playbook of saying something provocative, turning the phone off, and drinking wine.
Sharpe ratio is a perfectly good metric for most strategies, even ones with moderate skewness. It only really fails for very fat tails or very pronounced skewness. See also standard deviation, which is a totally fine and useful risk measure for almost all strategies.
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Totally agree that there is a correlation between people who hate the Sharpe ratio and people who frequently need to write investor letters promising that the big payday is just around the corner, as soon as the market crashes, honest guys.
Thanks. Twitter will use this to make your timeline better. UndoUndo
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I can only really "feel" Sharpe Ratio. I know what it's feels like. I can't intuitively interpret a sortino ratio or whatever - unless I scaled it to look like a Sharpe anyway...
Thanks. Twitter will use this to make your timeline better. UndoUndo
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I dont know what that is and I refuse to look it up.
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