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You really don’t know what you are saying. The leverage is to boost absolute returns. Sharpe isn’t changed by leveraging. They are automated black box strategie
by svd4anything 7y ago
You really don’t know what you are saying. The leverage is to boost absolute returns. Sharpe isn’t changed by leveraging. They are automated black box
strategies making 1000s of trades a day with massive undeniable statistically significant information content.
- smabie 7y agoSharpe is actually changed by leverage due to volatility drag. Your Sharpe ratio gets worse and worse the more leverage you apply
- deleted 7y ago[deleted]
- maest 7y ago> You really don’t know what you are saying. There's no need for the aggressive tone. > Sharpe isn’t changed by leveraging. Indeed, volatility is, however.
- smabie 7y agoA change in volatility implies a change in Sharpe due to volatility drag. This only applies if you are compounding the returns though.