4 ms·
It should also be noted Melvin would not have achieved these results without leverage, which is precisely why a single holding almost destroyed the fund. Compar
by jabberwcky 6y ago
It should also be noted Melvin would not have achieved these results without leverage, which is precisely why a single holding almost destroyed the fund. Comparing unlevered benchmark index return to ultra-levered fund return simply doesn't work. The S&P most certainly outperformed Melvin on a risk-adjusted basis due to this single drawdown alone.
- dcolkitt 6y ago> The S&P most certainly outperformed Melvin on a risk-adjusted basis due to this single drawdown alone. The S&P had a 54% drawdown in 2008.
- jabberwcky 6y agoWhich could have been anywhere between an 81% to 810% drawdown in a typical leveraged strategy. Very few levered positions would have survived it without stopping out or completely blowing up, but an unlevered position absolutely could have -- and most (long term buy and hold) did
- dcolkitt 6y agoI'm not sure what you're talking about. Most hedge funds did significantly better than the S&P in 2008. They were down, but nowhere to the same degree.