What is your Sharpe?

Discussion in 'Professional Trading' started by TraDaToR, Nov 14, 2016.

  1. TraDaToR

    TraDaToR

    Hello,

    4.13 from April 2011 to November 2016. It's the first time I calculate it.

    It was done on low , sometimes high 6 figures account. I don't pretend I can do it with more significant capital.

    What is yours?
     
    smart theta and Gambit like this.
  2. Robert Morse

    Robert Morse Sponsor

    Big number. Congrats.
     
    TraDaToR likes this.
  3. TraDaToR

    TraDaToR

    Thanks. I am curious to know what the bigger traders achieve. It is super rare to see Sharpe over 2 on 10M$ accounts.
     
  4. Robert Morse

    Robert Morse Sponsor

    I have a CTA I've raised money for that has a Sharpe ratio of 2.6 with SMA of almost $200mm with total assets of over $300mm.
    A Long/Short manager with around $1.5mm building his track record, last I asked, he was at 2.1 after 3 years.
    Another CTA with a Sharpe of 2.22 with SMA AUM of around $5mm, I think.

    Over 4 is very high if it's for multiple years. Most of the managers I follow are between 1 and 3.
     
    TraDaToR likes this.
  5. TraDaToR

    TraDaToR

    2.6 with 200M$...THAT's impressive. If it is done with automation in a wide range of markets, I can understand. If it is done on a few deeply liquid markets, it's clearly out of my world.
     
  6. Robert Morse

    Robert Morse Sponsor

    Naked Option seller in ES options. His Sharpe was 6 before having 2 bad months in 2015. August and October.
     
  7. Telepuzik

    Telepuzik

    hmm... 200 mm under management, selling naked ES options, two bad months in 2015... Probably a client of Lightspeed. Looks like Karen The Supertrader to me. lol. Who else does it on such a scale after Victor Niederhoffer? The end result is always the same.
     
  8. Robert Morse

    Robert Morse Sponsor

    Not a client of Lightspeed. I introduced investors to him. They have done very well over the years. Two bad months since 2009. I have had accounts with him since 2012. Naked options are not right for everyone. These clients are QEP and understand the risk.

    upload_2016-11-14_15-32-2.png
     
    CDoubleUU and Telepuzik like this.
  9. I have no idea what a Sharpe ratio is, or any of the other options terminology.
    I kind of treat trading as part art, part science...but more on the art side.
    I'm not an options investor or seller...so for me, my style of trading, those are kind of irrelevant.

    What is your % return though o_O:rolleyes:
     
  10. algofy

    algofy

    Was looking at your chart and thinking back to those risk events. I see he was positive for the month of brexit....did he just have enough capital to sustain the sharp move? What about the election night. You'll have to pardon my ignorance of option selling as I don't know if they transact overnight when the ES was limit down.
     
    #10     Nov 14, 2016