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> The Sharpe ratio is inferior because different tracking firms use
> different methods to calculate the risk free rate of return,
It's definitely true that there are different ways to calculate
the Sharpe, and you can't assume that the Sharpe as claimed by
one place is comparable to the Sharpe as claimed by another. You
have to calculate it yourself so you have an apples-to-apples
comparison. But I think that's probably true for most measures.
> All I am saying is that if you ignore risk free rate of return (or
> use zero) you can get a uniform comparison regardless of who does
> the calculation...
Not necessarily true. There are still other variables in how you
calculate the Sharpe. (E.g. linear vs. exponential, log returns
vs. absolute returns, etc.) Do it yourself on everything you
want to compare so you know you're looking at the same thing on
all of them. The Sharpe ratio is a good *RELATIVE* measure of
different returns, but it's not an ABSOLUTE measure that's
trustable from one source to another. Prof. Sharpe didn't define
it tightly enough.
Gary
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