I'm investing in a WallStreetBets sentiment ETF and beating the market lol

Right now I'm up 60% YTD, compared to the SP500's 13%. Can't post links, otherwise would have shared my source code for yall to check out.


Some stats :

  • The strategy is backtested only to the beginning of 2020, but I'm working on it. It's got an annualized return of 33% (compared to 16% for the SP500)

- Max drawdown of -8.7% (how fucking cool is that?? WSB has been the perfect hedge for financial markets. they rode COVID like a fucking WAVE)

Sharpe Ratio: 2.22.

  • Profit-Loss ratio of 3.48. This is a good number

  • Avg win of 0.85%

  • Avg loss of -0.24%. The fact that this number's absolute value is lower than average win is a good thing


Anyways, invested around $60k in January myself, I'm at around $100k rn. Not one of my main investment vehicles, and maybe not the smartest investment, but I make myself feel better by telling myself it's smarter than YOLOing on puts. Honestly, just a dumbass who got lucky but hey - it's been fun


 

momentum does not signify intelligence, it signifies momentum. it's possible to continue making money this way indefinitely, just realize that you're effectively doing a meme-momentum strategy with all of the requisite risks

sharpe ratio is a poor measure (because it assumes std dev=risk)

good on you for making money and telling us what's in the portfolio, now what's next? are you going to keep riding the wave, switch up the algo, cash out, what? if you're going to keep riding the wave, I'm curious about your rationale

good on you for self reflection (calling yourself a dumbass).

I am curious though, what's the point of this post?

 

Sharpe ratio isn’t trying to capture risk, just volatility. It’s one of the most common metrics that pension funds, endowments, and fund of funds use in assessing HF quality 

 

Im well aware of what sharpe is, and the other faulty assumption of sharpe is that past returns are a good signal of investment skill and therefore predictive of future results rather than being random/luck/lies 

LTCM had a good sharpe before blowup, madoff had a GREAT sharpe, ditto for bill Miller, Bruce berkowitz had a good one earlier in my career

just because a bunch of stuffy board members use sharpe doesn't mean it's a good metric

a bunch of stuffy people used VaR and bond ratings as a good measure of risk and we all saw how well that worked a little less than 15y ago

 

If investors are giving me money because I have a good sharpe, then it certainly matters. 

Your examples are either frauds, funds with short track records, or funds that didn’t actually have a great sharpe. 

 
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again, you're assuming that sharpe is predictive. I'm not questioning your investment prowess, I'm questioning the financial industry's use of these metrics. I think volatility is a poor measure of true risk, and past returns are not indicative of investment skill all the time, therefore sharpe is a poor measure of whether or not someone is a good investment manager. that doesn't mean you shouldn't publish it, because let's face it, we live in the real world where people have to use this kinda shit. at the same time, it doesn't mean that these metrics are worthwhile in absolute terms.

also, the fact that someone purchases something based on a metric doesn't make that metric good in terms of predictive power. look at the athletic world. if past performance was indicative of future results, robinson cano and chris davis would be in the all star game, but alas.

 

It's technically not an ETF, it's an automated strategy that rebalances a portfolio based on a set of rules (namely, based on sentiment changes in the WSB subreddit). As the other person said, ETF is being used to describe the idea succinctly. The difference between this and a tradable ETF is mainly tax stuff. With the strategy, you're actually buying/selling the underlying assets when rebalancing, with an ETF you aren't.

 

You're glad that you're beating the market because you're up 60% YTD? In a year in which ordinary people have become millionaires literally overnight with shit like DOGE or GME? Really?

Maybe I'm too inexperienced so I could definitely be wrong, but 60% is a good return if you're managing like 10+ million, not 100k. I mean, it's good that you're making money instead of losing, but it's not that a big deal considering the small amount you're managing.

 

No 60% is really not amazing for an entire year if portfolio is worth 100k. Under 1 million a good trader is easily making triple digit returns especially since at that amount of capital its easy to day trade and all good day traders make on average at least 1% a day.Thats why the day traders who don't transition into swing trading usually only trade with maybe 50k even if their net worth is 20M. However this guy is up 60% YTD which is pretty good.

 

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