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Where have all the sharpe ratios over 1 gone?
Posted: Fri Dec 04, 2009 8:24 am
by adamant
Posted: Fri Dec 04, 2009 9:11 am
by sluggo
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)
The guy who made the graph knew this. That's why he carefully put the qualifier "Actively Reporting" in the title of the graph.
Posted: Fri Dec 04, 2009 11:05 am
by adamant
Posted: Sat Dec 05, 2009 8:41 am
by Asamat
Maybe there are no entries in the circle at all (in 2009, after this decade).
