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Ernie, based on your "5 or better " logic, about 99% of the hedgefund
managers and CTAs would be driving cabs today.
> -----Original Message-----
> From: Ernie Bonugli [mailto:ebonugli@xxxxxxxx]
> Sent: Sunday, January 06, 2002 10:32 AM
> To: omega-list@xxxxxxxxxx
> Subject: Re[2]: Yes on Sharpe Ratio, BUT is it enough?
>
>
> The main point I was trying to answer was whether there is more to a
> successful system than just the Sharpe Ratio. I posed the question by
> presenting the result of a system which I developed which shows a
> relatively "good" Sharpe number and yet we can see that the system
> goes flat at certain times in its history. I do not use this system.
>
> My personal conclusion is that while Sharpe gives us a very good
> indicator for the "goodness" of the system, it is not all telling. Or
> if it is all telling then a system with a ratio of 4 or less is not
> all that good. If the Sharpe ratio is the best measure of "goodness" then
> the system only becomes worthy of being put into production is it exhibits
> well over a value of 4. My current best effort is ~4.5. So a Sharpe of 5
> or better would allow me to sleep at nite knowing my funds are
> well invested.
>
> So should the scale be read as follows:
>
> < 2 - start on another idea, discard this one
> 2-3 - maybe or "shows potential", if the idea is its primitive
> form, ie no tweaking.
> 4-5 - ok, may be production worthy, but keep an eye I on it,
> 5-10 - good, you can rest now!
>
> This scale probably shows my bias and state of affairs.
>
>
> --
> Best regards,
> Ernie mailto:ebonugli@xxxxxxxx
>
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