YTD my trading returns are approx the same as if I had put all my money into a S&P 500 ETF. I however like to think that with the hedging strategies I used I subjected myself to less risk. I can get a sharpe ratio for my portfolio but where can I find this for SPY YTD?? Andy
If you can do it for your portfolio, surely you should be able to do it for a hypothetical SPY-only portfolio as well?
As an institutional investor, I am not only looking at your "benchmark Sharpe Ratio". Who cares about this in the first line. I am looking for real alpha. Can you deliver? There are 7000 other hedge funds competing with you. Do I look at Sharpe for a distinction? No. Show me the juice in your strategy - or with other words: SHOW ME THE MONEY (Show Me the Money! - Jerry Maguire): <iframe width="560" height="315" src="//www.youtube.com/embed/yzBB0xYImmM" frameborder="0" allowfullscreen></iframe>
Disagree. Risk matters, draw downs matter, sharpe matters and yes of course alpha matters. A lot of money is going to be leaving an awful lot of those 7000 hedge funds when they see the massive underperformance. If its not about risk management then how you gonna explain the 10% hedge fund returns (on average)!! http://www.barclayhedge.com/research/indices/ghs/Hedge_Fund_Index.html
Sharpe on the SPY YTD is 2.77. Max DD of 5.59 % and up 27% ish. Its had a good year. If you've beat it and had less drawdown you've done very well assuming you weren't just long SPY with leverage the whole year.