Is Sharpe ratio only for equities? Could I use it on a portfolio of futures?

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You can calculate a Sharpe ratio on anything. It’s technically just the return of the portfolio divided by its volatility, or in other terms, risk adjusted return. In fact, it’s a metric that allows you to get a more apples to apples comparison on any asset/portfolio.

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If you are more concerned about downside risk, then Shapiro ratio is what you want. The objective of both is to nature against your benchmark. The absolute number is meaningless.

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Additional Posts in Option Traders & Investing

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Uh this could get bad fast if this holds through open. Protect your downside if not already.

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3/29 Thread (General):

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only buy VIX if you think the market plumbing systems are clogged.

Otherwise your sinuses will become increasingly VIX allocated over time.

Maybe that's ok.

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