The Sharpe Ratio Ratio

1 July 2019/No Comments
By Nick Dunbar

Portfolio optimisers often give results that are extreme and unstable. With so many variables involved, it can be hard to decipher why. This article presents a simplifi ed formula for a two-asset optimisation which will bolster your intuitive understanding of how a portfolio optimiser behaves and why it may behave badly.

Download the paper here

About Thomas Smith

Thomas Smith specialises in quantitative investing. He currently works in the Quantitative Analytics division of Barclays plc. Previously, he was Lead Quant Researcher and partner at Brooksbridge Capital LLP, and a member of the fixed income research team at AHL, a division of Man Group plc. Thomas holds degrees in economics from the University of Toronto and the University of Oxford.

Related Articles