Very interesting and to the point results. I would suggest a couple of things. Do any of the competitors significantly improve the S&P500 Sharpe ratio if they were included in the optimal allocation (or a simpler fixed weight allocation)? See Jobson and Korkie (1984) Journal of Finance, and Jobson and Korkie (1982) Journal of FInancial Economics. Also, you might want to check for statistical significance of the Sharpe ratios, see Jobson and Korkie (1981), Journal of Finance.