i****e
发帖数: 78 | 1 I want to compare the return (not sharpe) a long only vs a long/short
strategy,
but it seems that it depends on how we calc the return. How do you guys calc
the return of long/short strategy? | D********n
发帖数: 978 | 2 ...这其实也就是大家为什么compare Sharpe Ratio.
calc
【在 i****e 的大作中提到】
: I want to compare the return (not sharpe) a long only vs a long/short
: strategy,
: but it seems that it depends on how we calc the return. How do you guys calc
: the return of long/short strategy?
| i****e
发帖数: 78 | 3 I often see bank's report printing both return and
sharpe for long only, long/short,etc strategies.
I once asked one bank strategist, he said it is based
on leverage ratio, I didn't ask more detail because I ran
out of time. Do you guys have any sense how banks calc those
numbers?
【在 D********n 的大作中提到】
: ...这其实也就是大家为什么compare Sharpe Ratio.
:
: calc
| s******r
发帖数: 324 | 4 bank's number are all fake anyway because bank's inherent leverage is very
high. But if you want to calculate approximately, for long only, you can
assume you have 1 leverage, for long short depends on the strategy, for
stock picking long short probably assume 150/50, 2 times leverage, for stat
arb, you can assume 8 times leverage. For option book, you can assume 20
times leverage. |
|
