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SI169: Buying the Dip ft. Richard Brennan

Top Traders Unplugged

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Clearly There's Something Wrong With the Sharp Ratio

The sharp ratio is just an assessment of the expected return lest the risk free rate. The sortino ratio assumes that this variance exists, or this adverse volatility exists, but it's not explicit about when it occurs over the long term. And we know that our equity curvs are path dee in nature. If we have significant drawdowns at the beginning of our equaty curve, that compromises the compounding effect over the long-term. We get this massive sequence of non linear returns because they are leveraged and also leveraged to a large extent.

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