[R-SIG-Finance] making sense of 100's of funds

[BBands]

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.