Crossbars and Conspiracy

Another fine performance for the League Two Away System this weekend, with eight winners from the twelve matches and an 88th minute Barnet goal away from nine winners, a profit of 12.59 points at Pinnacle's Closing Price taking the season total to 45.29 points. 

Only one team priced at 4.0 or less failed to win, with Blackpool perhaps unlucky in that they missed an 86th minute penalty, hit the crossbar, and had a "goal" ruled out after the referee decided the ball hadn't crossed the line, in their match at Wycombe Wanderers. It's a conspiracy! Apparently Christopher Sarginson is not following my advice, but perhaps at least Chris K is. And maybe Joey Barton. The game finished 0:0.     

Although for transparency, I use Pinnacle's Closing Prices, the season summary above does show how much more profitable it can be to shop around, and to shop early. 

The "Best" column above reflects the best price available according to Joseph Buchdahl's Football-Data.co.uk site, and for anyone serious about their sports betting, the difference between an ROI of 15.7% and 10.6% is huge. 

Saturday's Luton Town v Stevenage game is a good example of shopping early, with Pinnacle's price on the Away steaming in from 4.69 to 3.89 in the 24 hours before kick-off, one of the top ten steamers of the season, of which five have been winners, and worth 14.52 points (or 20.64 at Best).

Phil commented on my Codswallop post saying:

You're ignoring the fact that if Fund C has a higher Sharpe Ratio, you can leverage it to get greater performance per unit of risk than the index. So you can take the level of volatility up to the expected volatility of the index, and outperform.

The real reason the article is stupid is because no one could predict that it was Fund C (rather than the others) that would have the higher Sharpe Ratio.

The article was certainly correct about the Sharpe Ratio, (I checked the numbers myself and came up with 0.29 for Fund of Funds C versus 0.21 for the S&P 500 Index). 

With a small sample size, and nine is small by most definitions, one outlier can have a big impact, and 2008 was certainly an outlier. Not many years see a major stock index decline by nearly 40%. If that decline had been 31%, the ratios would have been the same, but the key point as Phil says, is that Fund of Funds C beat not only the Index but also Funds of Funds A, B, D and E. Its "success" by this measure looks unlikely to hold longer term.