making sense of 100's of funds
BBands wrote:
The use of benchmarks may not be the optimal path in this application, relatively simple ranking might be more viable. As a compromise, you might try looking at ranked Sharpe ratios...
On 8/19/07, Brian G. Peterson <brian at braverock.com> wrote:
A stack ranking of risk/reward ratios is a good idea. I would recommend using either a Cornish Fisher modified Sharpe ratio (to take possible non-normality of distributions into account) or Sortino's Upside Potential Ratio. Even Sharpe himself recommends the use of Information Ratio preferentially to the original Sharpe ratio, but old habits die hard...
Old habits do die hard... For those interested, Bob Fulks has done a
lot of interesting work with the Sharpe ratio. A quick search on his
name might be useful.
jab
--
John Bollinger, CFA, CMT
www.BollingerBands.com
If you advance far enough, you arrive at the beginning.