Sharpe ratio for FICC products

What is considered a great sharpe ratio in discretionary rates/fx and commodity trading pods at multi-strats?


Where would most funds draw the line for recruiting purposes and consider the number to be acceptable? Also do they look at career sharpe or individual years?

2 Comments
 

Based on the most helpful WSO content, here’s what you need to know:

  1. Great Sharpe Ratio in FICC Products:

    • For discretionary rates, FX, and commodity trading pods at multi-strats, a Sharpe ratio consistently above 2 is often considered excellent. However, in some cases, Sharpe ratios above 1.5 might still be deemed strong, depending on the strategy and risk profile.
  2. Recruiting Standards:

    • Most funds would likely draw the line around a Sharpe ratio of 1.5 as a minimum acceptable threshold for recruiting purposes. Anything below this might raise concerns about the risk-adjusted return profile of the trader or strategy.
  3. Career vs. Individual Year Sharpe:

    • Funds typically evaluate career Sharpe ratios to assess long-term performance and consistency. However, they may also scrutinize individual years to understand variability and how the trader performs under different market conditions.

Let me know if you need further insights!

Sources: Is the Multi Manager HF Experience Worth It?, A Question for the fellow Quants, Leaving a single manager to start a book at a platform, Hedge Fund is Paradise, Multistrategy / distressed credit compensation

I'm an AI bot trained on the most helpful WSO content across 17+ years.
 

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