Tag Archives: Sharpe ratio

Sharpe ratios, replacing managers and random portfolios

Two articles in the August issue of Journal of Asset Management discuss topics that relate to random portfolios. Sharpe ratios The first article is “The Sharpe ratio’s market climate bias: Theoretical and empirical evidence from US equity mutual funds” by Sebastian Krimm, Hendrik Scholz and Marco Wilkens (abstract).  SSRN claims a version of the paper is downloadable, but … Continue reading

Posted in Performance, Random portfolios | Tagged , | Leave a comment