An investigation of the empirical relationship between the Sharpe ratio and the investment horizon for portfolios of small stocks, larger stocks, and bonds shows that the Sharpe ratio first increases and then decreases for each portfolio type as the investment horizon lengthens. Furthermore, the relative Sharpe ratio rankings of the portfolios change. Contrary to general belief, bonds outperform stocks, given sufficiently long holding periods. The Sharpe ratios computed by investment advisory services, such as Morningstar Mutual Funds, must be interpreted with care because the Sharpe ratio is dependent on the investment horizon.