I'm still waiting on a LJM document stating they have a Sharpe > 4 for 10 consecutive years on one of their funds. Anyone with half a brain is going to find such a claim dubious when we're talking about an asset manager unless it can be substantiated. I'm also mildly curious why you are trying to sit here and act like a Sharpe of 4 over a extended period of time is some sort of "common" thing, "Oh yea that shit happens all the time". Are you trolling, clueless, or what? I usually don't engage with knuckleheads but it's Friday, humor me.
I am stating it's completely lacking in relevance. LJM did it and so did Soros. Quite a qualitative distinction. I am fairly certain I could manage a Sharpe above 4 (marginally) from inception doing nothing but selling cheap wing gamma in strangles. Proves nothing. You made it conditional on highfreq or limited history. Then you began to backpedal. So now it's simply uncommon. Since nobody has a disc doc handy it didn't happen.
Heh I like that, it should be your signature. Certainly sounds better than saying you have a leptokurtic situation going on
imo, atticus has allot of insight and knows allot more than some of the 'expert' dolts around here, but he also throws allot of brash testosterone statements...just ignore it he probably doesnt really disagree with you or with the thought that the op wont sustain his sharpe, regardless of how possible it is (again, percentiles)...
You can manipulate sharpe. But a good fund is going to have reasonable Sharpe. It is not meaningless, but it is insufficient.
I've seen Sharpe over 4 for the duration of declared performance. I personally assign no weight to it as there are much better metrics. PTT/Calmar, etc., under period of stress/high vola.
I'm fairly familiar with quantum and I don't recall them having a decade-long Sharpe > 4 but anyway. I agree it is a flawed measure (and just about all of them are, this is probably the most heated of topics I have discussed with other traders/systems guys: What is the best measure of performance?). It is like many performance stats in baseball (I'm not a fan but bear with me). Lots of people love quoting batting averages, but I'm not so sure making contact with the ball is exactly a great measure of performance in that game.