I don’t understand Titan’s strategy well enough to know if it would work, but a Sharpe of .77 is totally achievable though various means. It’s really not that hard to beat the index in terms of Sharpe ratio. Diversification really is a free lunch. The S&P 500 is American large caps. You can diversify a lot more than that. That doesn’t seem to be what Titan is doing though.
I don’t buy the EMH, because alpha exists, but yes, that is what the EMH would imply: you can only outperform due to luck.
If you model an asset price as a random walk with drift, and then try to compute the Sharpe ratios, you will get different answers at different times due to luck. Same process. Could it vary between .77 and .51? Yes. Easily.
I don’t understand Titan’s strategy well enough to know if it would work, but a Sharpe of .77 is totally achievable though various means. It’s really not that hard to beat the index in terms of Sharpe ratio. Diversification really is a free lunch. The S&P 500 is American large caps. You can diversify a lot more than that. That doesn’t seem to be what Titan is doing though.
I don’t buy the EMH, because alpha exists, but yes, that is what the EMH would imply: you can only outperform due to luck.
If you model an asset price as a random walk with drift, and then try to compute the Sharpe ratios, you will get different answers at different times due to luck. Same process. Could it vary between .77 and .51? Yes. Easily.