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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

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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.

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