James H.
Member
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 Posted: Fri Feb 04, 2005 4:10 am Post subject: Sharpe ratio: Buy and Hold |
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Hi TABtrader,
Just wondering what your comments are on the following portfolio of mine which I believe has one of the best Sharpe ratios in the universe for the last 11 years (percentages of each holding follows):
SLA (American Select Portfolio, Inc.): 15%
GGP: 8%
MDU: 4%
WRI: 11%
SBR: 7%
RNR: 5%
PLMD: 2%
BNN: 2%
TGT: 4%
EPD: 8%
HTR: 5%
XLV: 1%
BAT: 15%
RAVN: 6%
WHI: 2%
OSBC: 5%
I was originally going to invest my money strictly between SLA and IJJ (the iShares for the S&P 400 MidCap Value Index), but I found the above investments combined had a much better Sharpe Ratio (1.05476 Sharpe, since 1.024594 or about 2.46% is the average monthly return, .020336 or about 2.034% is the average montly standard deviation, and .003145 is the average monthly risk-free 3-month t-bill rate over the timeframe).
Your thoughts are welcome and encouraged. |
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