Flirting with Models cover image

Adam Butler - The "Ultimate Gift" (S1E1)

Flirting with Models

CHAPTER

Is Rank Better Than Raw Better Than Binary?

There's actually five or six different ways to optimize it and get the same theoretical mean variance optimal portfolio. In simulation they all seem to work just as well. And even better, if I've got 100 sub strategies and the 50th percentile is 1.2 sharp, when you put them all together, I might get a 1.45 or 1.5 sharp which is above the 80th percentile of all of the individual sub strategies.

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