I was also surprised to read that because I was always under the impression that the SR of bonds is higher than that of stocks over a long time, and the SR of the stock market over a long time (much longer than 5 years) is about 0.5.
However, when I looked into the data more closely, the recent (1976-present) high sharpe ratio of bonds seems to be an extremely temporary phenomenon related to the large decline in interest rates during this time. The SR of bonds prior to 1976 is actually worse than stock index SR. So when looking at a very long timespan (on the order of about 100+ years), I actually agree with SimonM on this upper bound for assets now.
At the very least, I do not know of any asset classes with 100+ years of history that have SR over that period significantly greater than 0.5
One of my favourite papers The Rate of Return on Everything suggests that property might have Sharpe ratios > 0.5 with 100+ years of history, although I generally think that the volatility is somewhat underestimated there. (It also has a lot of data on the Sharpe ratios for long bonds + equities across a wide range of DM for long histories)
I was also surprised to read that because I was always under the impression that the SR of bonds is higher than that of stocks over a long time, and the SR of the stock market over a long time (much longer than 5 years) is about 0.5.
However, when I looked into the data more closely, the recent (1976-present) high sharpe ratio of bonds seems to be an extremely temporary phenomenon related to the large decline in interest rates during this time. The SR of bonds prior to 1976 is actually worse than stock index SR. So when looking at a very long timespan (on the order of about 100+ years), I actually agree with SimonM on this upper bound for assets now.
At the very least, I do not know of any asset classes with 100+ years of history that have SR over that period significantly greater than 0.5
One of my favourite papers The Rate of Return on Everything suggests that property might have Sharpe ratios > 0.5 with 100+ years of history, although I generally think that the volatility is somewhat underestimated there. (It also has a lot of data on the Sharpe ratios for long bonds + equities across a wide range of DM for long histories)