Stocks, Bonds, the Sharpe Ratio, and the Investment Horizon

Charles W. Hodges, Walton R.L. Taylor and James A. Yoder

Financial Analysts Journal, 1997, vol. 53, issue 6, 74-80

Abstract: An investigation of the empirical relationship between the Sharpe ratio and the investment horizon for portfolios of small stocks, larger stocks, and bonds shows that the Sharpe ratio first increases and then decreases for each portfolio type as the investment horizon lengthens. Furthermore, the relative Sharpe ratio rankings of the portfolios change. Contrary to general belief, bonds outperform stocks, given sufficiently long holding periods. The Sharpe ratios computed by investment advisory services, such as Morningstar Mutual Funds, must be interpreted with care because the Sharpe ratio is dependent on the investment horizon.

Date: 1997
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.2469/faj.v53.n6.2132 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:ufajxx:v:53:y:1997:i:6:p:74-80

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/ufaj20

DOI: 10.2469/faj.v53.n6.2132

Access Statistics for this article

Financial Analysts Journal is currently edited by Maryann Dupes

More articles in Financial Analysts Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().