Hi folks, thanks for all the feedback. I've looked into a couple of things based on your suggestions.
First, I calculated the annualized sharpe for the algo. It comes in at 0.66. This isn't great, but for our fund selection process we are looking for sharpes greater than 0.6, and if I were eligible, I'd just sneak in with this! I realized I should compare it to the sharpe of my benchmark, which comes in at 0.30. That makes me feel a bit better about my 0.6! Here is what I did to calculate the sharpe: http://imgur.com/HlcjNYz
Second, I took a look at the PAX and WIL funds and plotted them against the SPY. I could't figure out how to plot them against my algo, but it doesn't much matter. Since 2002, they have both underperformed the SPY. You can see the plot here: http://imgur.com/c3Lm4Lm
This has been a great process for me to learn more about our users and hopefully find ways to improve the research platform before launch. Even in just crafting this response, I've realized we need a way to update a shared notebook!
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