Where have all the sharpe ratios over 1 gone?

Discussions about Money Management and Risk Control.
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adamant
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Where have all the sharpe ratios over 1 gone?

Post by adamant » Fri Dec 04, 2009 8:24 am


sluggo
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Post by sluggo » Fri Dec 04, 2009 9:11 am

Here are some of the places they've gone
  1. Made tons of money, retired, closed their fund (cf. Monroe Trout)
  2. Closed fund to new investors, stopped reporting performance to database providers (cf. E. Thorp)
  3. 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.

adamant
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Post by adamant » Fri Dec 04, 2009 11:05 am

:D

Asamat
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Post by Asamat » Sat Dec 05, 2009 8:41 am

Maybe there are no entries in the circle at all (in 2009, after this decade).

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