Fred Swartz

Sharpe Ratios on 2007 ETF Returns

The line is supposed to slope that way (greater risk - greater return), so I'm not surprised larger amounts of data would support it. These small data sets allow one to get whatever result is desired, which is very nice if you want to "prove" something. :-) Thanks for the clarification on larger data sets, and Happy New Year.

Sharpe Ratios on 2007 ETF Returns

The slope is meaningless for this small data set because the single XLM outlier exerts so much leverage. Drop that one point and the line has the opposite slope.

For this data the regression line is misleading noise that should either be omitted, or calculated with a more robust means that isn't subject to outlier distortions.

Sharpe Ratios on 2007 ETF Returns

The slope is meaningless for this small data set because the single XLM outlier exerts so much leverage. Drop that one point and the line has the opposite slope.

For this data the regression line is misleading noise that should either be omitted, or calculated with a more robust means that isn't subject to outlier distortions.