RT @MilkRoad: Most funds grade themselves on the Sharpe ratio: return divided by total volatility. The flaw is that Sharpe treats a 40% ri…

RT @MilkRoad: Most funds grade themselves on the Sharpe ratio: return divided by total volatility. The flaw is that Sharpe treats a 40% ri…

RT @MilkRoad: Sharpe ratio treats a 40% rip and a 40% crash as equally bad. For a portfolio built on asymmetric upside, that's backwards.…

RT @MilkRoad: Our lead analyst's book currently sits at a Sortino of 5.45... But he'll be the first to tell you not to trust that number j…

RT @MilkRoad: 41.7% total volatility against 23.2% downside volatility. Almost half of our lead analyst's portfolio movement is to the ups…