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>The nasdaq 100 leveraged x3 on a daily basis returned like 50%+ YoY during the last decade. And from 2000 to 2010, it was down 23%. >there’s no reason why wi
by fnord123 7y ago
>The nasdaq 100 leveraged x3 on a daily basis returned like 50%+ YoY during the last decade.
And from 2000 to 2010, it was down 23%.
>there’s no reason why with $10B trading all asset classes one can’t return 70% YoY
There are plenty of reasons. First, if you have a small amount of money, it remains liquid. This is why HFT firms can have Sharpes around 8 - they can move the money fast because they are smaller firms.
If you have 10B USD you cannot respond to the market. You have to trade slowly and choose your positions to last a while. This leaves you with a Sharpe of around 1 if you're optimistic. Otherwise in your fantasy, you could turn 10B into 1T in 8 years.
Another reason is that as your portfolio scales, it becomes harder and harder to find uncorrelated returns.