making sense of 100's of funds

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...

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.
John,

The ranking idea sounds quite attractive.  If I understand you right 
though it wouldn't necessarily give me "diversity" metrics whatever they 
might be.  Ie as well as risk/reward of individual funds I would somehow 
want to achieve a mix of funds that did *not* correlate well 
(performance aside).

So I am thinking along the lines of, when faced with 200+ funds:

	- Put them in groups of highly correlated returns.

	- Select from each group based on my preferred performance criteria. 
Maybe at this stage I would focus more on reward than risk.

	- Then put together some kind of portfolio from this much smaller set 
based on holistic metrics with a balance of risk and reward that I am 
comfortable with.

Then presumably repeat parts of the process at intervals yet to be 
determined.

cheers
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.

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