Measuring Risk-adjusted return

Discussion in 'Options' started by leeryguy, Jan 8, 2007.

  1. leeryguy


    I am looking for some help in measuring the risk adjusted return of an options arbitrage portfolio and, separately, an equity mean reversion portfolio.

    What is the benchmark? S&P 500?

    Now, assuming these are performed in a market-making environment with greater leverage/ haircut benefits, would that change anything?
  2. No. Almost all hedge funds use leverage and they use the same measure (of your choice of course).