http://www.mebanefaber.com/2009/12/03/w ... dium=email
Where have all the sharpe ratios over 1 gone?
Here are some of the places they've gone
- Made tons of money, retired, closed their fund (cf. Monroe Trout)
- Closed fund to new investors, stopped reporting performance to database providers (cf. E. Thorp)
- Never reported performance to database providers in the first place (cf. Renaissance Medallion)