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Extreme Sharpe

It’s an understament to say that this year is being a very tough one for investors. Unfortunately, extremes to the upside are mostly corrected with extremes to the downside. A positive note? We are seeing some extreme measures already. Average 6 month Sharpe ratio (a measure of returns adjusted to risk) as shown below, has the most negative read of the last 30 years. It can and it may get worse, but it’s already extreme. Once we clean the excesses, we can start building from there.


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Source: Bloomberg



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