I hope the title isn't too confusing. There is a stock market investment competition I am planning to enter where the winner is chosen by ranking investors' Sharpe ratio (where returns are calculated as a coefficient of the risk free rate) over the course of a calendar month and picking the investor with the highest ratio. The winner is given a fixed prize.
However, this competition is run every calendar month. I'd love to win every month, but doing so would require that I achieve outsized returns every month. Hence, I would like to settle for winning some of the time. If I can find an investment plan with a monthly Sharpe ratio that spikes occasionally, then that would give me a good chance of winning. An illustration of what I mean can be found here; I would like to find an investment who's 30 day Sharpe ratio vs time graph looks something like the one on the right (i.e. occasionally has dramatic increases) in comparison to the one on the left which has a lower maximum Sharpe ratio.
Because the prize for winning is fixed, I don't really care about the long term sharpe ratio of the investment; I can invest with an amount of money so small that winning even once, assuming all my other investment attempts go to 0, will leave me with a net gain.
Is there a sector/investment vehicle of some kind that is known to have sharp spikes in monthly Sharpe ratio? How would I find such an investment? Thank you!
Submitted June 29, 2021 at 11:27AM by _PM_ME_YOUR_ELBOWS https://ift.tt/3AbbKpK
