lerie’s Reviews > Smart Portfolios: A practical guide to building and maintaining intelligent investment portfolios > Status Update
lerie
is on page 116 of 546
Portfolio design for investors of differing risk appetites:
1. Maximum geometric return:
- for max risk tolerance
- 80/20 allocation
- GR 3.0%, SD 16.0%, SR 0.190
2. Maximum sharpe ratio:
- lower risk tolerance
- 68/32 allocation
- GR 2.3%, SD 8.7%, SR 0.266
3. Compromise:
- portfolio that lies between the two
- 60/40 allocation
- GR 2.9%, SD 12.5%, SR 0.229
— Dec 07, 2020 02:29AM
1. Maximum geometric return:
- for max risk tolerance
- 80/20 allocation
- GR 3.0%, SD 16.0%, SR 0.190
2. Maximum sharpe ratio:
- lower risk tolerance
- 68/32 allocation
- GR 2.3%, SD 8.7%, SR 0.266
3. Compromise:
- portfolio that lies between the two
- 60/40 allocation
- GR 2.9%, SD 12.5%, SR 0.229
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lerie’s Previous Updates
lerie
is on page 52 of 546
So far so good; such a technical book but I love how this helps break-down the traditional 60/40 portfolio allocation by introducing underlying factors I.e SD/geometric sharpe ratio/mean return. In most books I’ve read, majority would simply advise or briefly skim over the 60/40 rule without explaining why—I am glad I now have a clearer understanding! Also a huge fan of sample graphs/data sets fr btr illustration
— Dec 05, 2020 11:18AM
