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Bob,
Excellent treatment of the subject!!
As a financial advisor I deal mostly in mutual funds. I have the
Wiesenberger data base of 10,351 mutual funds and I did a sort of them on
the 10 year sharp ratio. Only the top 11 had SR over 2.0. The list of the
top 20 were loan participation funds, followed by money market funds,
followed by bond funds. The first equity fund is Vanguard Specialized
Health at a rank of 52 and a SR of 1.28. I picked ten years to weed out a
hot couple of years effect. The results look different on a three year
period.
Marlowe
----- Original Message -----
From: Bob Fulks <bfulks@xxxxxxxxxxxx>
To: Omega List <omega-list@xxxxxxxxxx>
Sent: Friday, June 02, 2000 6:09 AM
Subject: Re: Sharpe & K-Ratio - requisite time-frame - II
> Continued from part I
>
> --------
>
> The formula for Sharpe Ratio is:
>
> Sharpe Ratio = Excess Annualized Return /
> Annualized Standard Deviation of Returns
>
> The Excess Annualized Return is the return you get for assuming risk.
SNIPPED
>
> But in practice the Sharpe Ratio gives satisfactory results in almost
> all cases.
>
> Bob Fulks
>
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