All returns generated with CRSP data courtesy of the London Business School and under the guidance of Nicholas Hirschey, PhD.

Ben's Overall Mean Value-Weighted Return & Sharpe Ratio from Feb 2003 - Dec 2012

mean sharpe
SmlUp 1.03 0.15
SmlMed 1.10 0.17
SmlDown 1.46 0.15
BigUp 0.80 0.13
BigMed 0.87 0.16
BigDown 0.78 0.08
SmlWML -0.43 -0.07
BigWML 0.02 -0.02

Overall Mean Value-Weighted Return & Sharpe Ratio from 1990-1998

mean sharpe
SmlUp 1.77 0.26
SmlMed 1.30 0.22
SmlDown 0.46 0.01
BigUp 1.84 0.31
BigMed 1.33 0.24
BigDown 1.10 0.12

French Overall Value-Weighted Return & Sharpe Ratio, 1990-1998

mean sharpe
SmlUp 1.85 0.27
SmlMed 1.31 0.22
SmlDown 0.41 0.00
BigUp 1.84 0.33
BigMed 1.35 0.25
BigDown 1.21 0.16

Sub-Results for Feb 1990

French Results

Feb 1990 ValWtRet
small big
up 3.89 1.30
med 1.94 1.30
down 2.95 3.29

My results

Feb 1990 ValWtRet
1 2
up 3.75 1.34
med 2.01 1.30
down 2.68 3.33

French Results

Feb 1990 firms
small big
up 1026.00 313.00
med 1317.00 363.00
down 2190.00 100.00

My Results

Feb 1990 firms
1 2
up 1052 321
med 1356 368
down 2226 97

French Results

Feb 1990 mv
1 2
up 90.90 3988.92
med 89.26 2626.52
down 39.84 2659.52

My Results

Feb 1990 mv
1 2
up 93.58 3976.04
med 89.77 2625.86
down 39.91 2719.716

Collection of Returns from 1993-2002 & 2003-2012 (click or arrow keys to cycle)