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Bob,
Great post and research. I did a similar scan of the Weisenberger database
and observed like results. What time frame did you use ... three years or
ten years? The results do depend on the time span.
Marlowe
----- Original Message -----
From: Bob Fulks <bfulks@xxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Tuesday, September 19, 2000 5:52 PM
Subject: Sharpe Ratio of Mutual Funds & Trading Systems
> I went to the MorningStar website and did a search for mutual funds
> with a Sharpe Ratio of greater than a given value. I found the
> results interesting:
>
> Sharpe Ratio No. of Funds
>
> >= + 3.0 1 (A short-term Bond Fund with 6.9% return)
> >= + 2.5 3
> >= + 2.0 5
> >= + 1.9 5
> >= + 1.8 5
> >= + 1.7 6
> >= + 1.6 8
> >= + 1.5 10 (Most of these are Bond Funds)
> >= + 1.4 16
> >= + 1.3 36
> >= + 1.2 81
> >= + 1.1 169
> >= + 1.0 375
> >= + 0.9 744
>
> >= + 0.87 873 (The Vanguard 500 Index fund value)
>
> >= + 0.8 1212
>
> >= + 0.0 4786 (Funds below this level made less than
> T_Bills)
>
> >= - 1.0 8298
> >= - 2.0 8501
> >= -10.0 8538 (I assume Sharpe Ratio is not available
> for all others)
>
> All Funds 11963
>
>
> So out of probably 8538 funds for which Sharpe Ratio data is calculated:
>
>>>> snip
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