SPX 11/1/2016 到现在 3/2/2017 Sharpe Ratio 居然有5.4
这个基本是史无前例的。
March 1st 2016 - March 2nd 2017 Annual Sharpe Ratio (Rf=0.8%) = 2.4
没有哪几个Hedge fund 可以比的过。
Jan 1st 2016 - March 2nd 2017 Annual Sharpe Ratio (Rf=0.8%) = 1.27
熊熊们相当于在做空一个近4个月突然发力的头牌Hedge Fund.
被平推也是可以理解的。
有什么理由不买大盘呢。指望Sharpe Ratio mean reversion to 1?
