ALPHA Sharpe Ratio for PMs
Curious what are the lower and upper bounds of Alpha Sharpe (not Sharpe) ratio you guys are aware of for PMs?
Curious what are the lower and upper bounds of Alpha Sharpe (not Sharpe) ratio you guys are aware of for PMs?
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Almost all ratios quoted for PMs, especially at a MM, will be alpha as these tend to be neutral to a whole bunch of stuff (if equities market and factor neutral, etc). So I’m not sure what you are asking.
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