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- 2011-7-11
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- 2013-9-26
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HF Strategy sharpe ratios
Anyone here work for a FOF have a guide or list of strategies with a range of sharpe ratios? (I.e. L/S Equity = .75, Trendfollowing Macro = 1.1)
I've seen some CTA databases that show sharpes much above ~2 aren't really sustainable over the longer term, then again, doesn't mean they're aren't - just they don't get reported. |
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