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Sharpe Ratio versus average growth U1

Sharpe Ratio versus average growth U1

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How do you value companies which have IPOed recently? How do you compare them amongst their peers? Valuing companies using a linear extrapolation of their revenues and profits leads to an ingenious method to benchmark stocks against each other. Here we present such a method, dubbed the growth average U1. The Appendix includes MySQL code to calculat...

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Context 1
... have highlighted the area of stocks we are looking for in this chart and the red line represents the P2S level of 2σ. Figure 6 shows a plot of Sharpe Ratio versus U1. There is no clear relationship between the Sharpe Ratio and the U1 measure, this could be due to several reasons. ...
Context 2
... the Sharpe Ratio of our trend following algorithm would represent a measure of how well we can follow the trend, it fluctuates with secular market trends as well. But we don't want to pick stocks which are worse than a regular buy-n-hold strategy (0.75) so we at least put a constraint of >0 in place, this is the highlighted area in Figure 6. ...

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