BILLIONS S3E12 Explained - Axe Capital's Pitch: Sortino Ratio & VIX Trade
Channel: InvestOrama
Date: 2021-06-01

Axelrod is pitching investors at a trade conference, and he's jumping straight into advanced financial concepts such as the Sortino Ratio or the VIX (volatility trade). We are breaking down these concepts and assessing how realistic and relevant they are in the real alternative investments world.

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Financial concepts in this episode:
👉Sharpe Ratio
👉Sortino Ratio
👉 CBOE VIX Index
👉 XIV fund
👉Volatility trade

SOURCES
We use a scene of  BILLIONS Season 3 Episode 12 (Redemption)
On the Sortino Ratio
Frank Sortino's website https://pmpt.me/
Calculating the Sortino ratio https://www.rcmalternatives.com/2013/09/sortino-ratio-are-you-calculating-it-wrong/
On the VIX and XIV
VIX Futures https://www.cboe.com/tradable_products/vix/vix_futures/
XIV Collapse https://www.forbes.com/sites/jimcollins/2018/02/06/it-works-until-it-doesnt-work-the-death-of-xiv-shows-the-folly-of-gaming-market-volatility/

*Downside deviation (can't copy the formula)
DD = the target downside deviation. The downside deviation is defined as the root mean-square, or RMS, of the deviations of the realized return’s underperformance from the target return where all returns above the target return are treated as underperformance of 0.
You can find a very detailed guide here, including common mistakes
http://www.redrockcapital.com/Sortino__A__Sharper__Ratio_Red_Rock_Capital.pdf

TRIVIA:  What The New York Times said about the episode:
"What a way to cap a season in which this ruthlessly entertaining and intelligent show, so gimlet-eyed about the corrupting influence of power and so deft at depicting its argot and appeal, finally brought in the buzz it has long deserved. To paraphrase the Hulkster, Billions-mania is running wild, brother. Long may it flex."

ABOUT THE BILLIONS SERIES
Emmy® and Golden Globe® winners Paul Giamatti and Damian Lewis star in a complex drama about power politics in the world of New York high finance. Shrewd, savvy U.S. Attorney Chuck Rhoades (Giamatti) and the brilliant, ambitious hedge fund king Bobby "Axe" Axelrod (Lewis) are on an explosive collision course, with each using all of his considerable smarts, power and influence to outmanoeuvre the other. The stakes are in the billions in this timely, provocative series.

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