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That’s true I’ve assumed they have the same volatility. But since RenTec probably is market neutral for equities so I would imagine their Sharpe ratio is much h
by smabie 7y ago
That’s true I’ve assumed they have the same volatility. But since RenTec probably is market neutral for equities so I would imagine their Sharpe ratio is much higher than the S&P 500. And their Sortino ratio is most likely insanely high.