there was a formula where you use to decide whether to add an asset even if the sharpe ratio is lower than existing sharpe of the portfolio because of the correlation I think its Sharpe new asset* correlation > existing sharpe ratio, you add, Anybody remember which ss that was and the los?
now, it is existing * correlation < new sharp ratio AFAIK
i might be wrong
Yes it was if New Assets SR > Portfolio SR * Correlation between Asset and Portfolio, then Add If they don’t give you correlation, the if New Asset SR>Portfolio SR then add.
do you guys remember which SS that was from?
SS7
thx