The Meb Faber Show - Better Investing cover image

Chris Cole, Artemis Capital Management - You Want To Diversify Based On How Assets Perform In Different Market Regimes | #317

The Meb Faber Show - Better Investing

00:00

The Sharp Ratio

The main criticism of the sharp ratio is that our industry knowingly misuses it. It treats upside volatility the same as downside volatility and doesn't look at correlations. What we found is that if you run this metric on most hedge funds using a 60-40 portfolio, only one third of hedge fund strategies actually generate a positive wins above the placement portfolio.

Play episode from 49:49
Transcript

The AI-powered Podcast Player

Save insights by tapping your headphones, chat with episodes, discover the best highlights - and more!
App store bannerPlay store banner
Get the app