The general theme was to prove the worthlessness of most past performance statistics for CTAs. Primary target was the Sharpe Ratio, and frankly this tends to cover them all anyway.. Sharpe Ratio Covers Them All

I used a VERY simple strategy of buying the top 5 CTAs in 2007 as measured by their Sharpe Ratio.

I then compared that to my results five years later at the end of 2011 to see how I did. (below)..

[I am not able to embed the interactive tables and graphs here (I tried), you can see them, and download the data on my blog at:]

http://managedfutures.ws/2012/01/29/is_ ... worthless/

In a nutshell, it failed miserably. Performance fell apart, the out of sample Sharpe Ratios fell an average of 70%. Returns fell by roughly 60% and maximum drawdowns increased by roughly 30%.

I had hoped that maybe at least their peer group rankings remained somewhat constant (I.E. everybody fell apart equally) but nope, their peer group rankings went out the window too!

**Conclusion**........ Sharpe Ratio (and related measures) are reporters of yesterdays news only. Their value as tools to help predict or forecast future results is near zero!