Portfolio Optimization Paper

I've had some time to generate some results for my paper and I'm not really liking what I'm seeing so far. I'm hoping it's all due to some horrible programming mistake. I'm using a variety of methods and manipulations on the data and just about everything winds up with the same ex post sharpe ratio of 0.49. That is a fine number, I was just hoping to see some differences in the various results and they are all much closer together than I would have thought, even across dimensions like diversification and turnover.

I came across some new papers the other day and one has a simple algorithm for Simulated Annealing as applied to cardinality constrained portfolios. Of course I'm working on this right now. I already have an entropy based cardinality constrained method, I treat it just like a recommend level of diversification, but in the end it turns out to force the diversification to the constraint. The one thing tough to do with interior points is minimum size, something like an asset either has to have weight 0 or else it has to > 5%. This can be done pretty handily with the Simulated Annealing method.