|
PureBytes Links
Trading Reference Links
|
The Sharpe ratio is inferior because different tracking firms use different methods to calculate the risk free rate of return, thus causing their respective Sharpe ratio values to be skewed and not comparable to other tracking firms. Morningstar and CSFB/Tremont use trailing 3 yr T-bill return, HedgeCo uses the avg of the T-Bill return from Jan 1, 2000, and Barclays uses rolling periods of 1 and 3 years to calculate their risk free return number.
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...
Seth
|