How does one calculate the efficiency (is that the same thing as a Sharpe ratio) for his own portfolio? Swedroe illustrates this in one of his books. Ie, add some small stocks, add some value, add some REITs, etc., improve efficiency.
For example my portfolio is 60/40, but tilts small/value and half of fixed income is stable value. How do I take that info and calculate its efficiency compared to TSM/TBM in a 60/40 ratio?
The goal is to ensure the highest possible returns for a given level of volatility, or alternatively to maintain a given level of expected returns while ratcheting down volatility.
How efficient is a given portfolio?
Re: How efficient is a given portfolio?
This may be far enough in left field as to be OT. I'm assuming you have an intellectual curiosity beyond the mere optimal MV calculation task. You may find this paper enlightening [regarding portfolio efficiency]. It may be beyond what you're looking for but contains methodology that is helpful to the task.
Optimal Fourmoment Portfolios:
Effects of Higher Moments and Estimation Errors
http://www.econ.cam.ac.uk/postgrad/ww25 ... tfolio.pdf
This isn't light reading....
Optimal Fourmoment Portfolios:
Effects of Higher Moments and Estimation Errors
http://www.econ.cam.ac.uk/postgrad/ww25 ... tfolio.pdf
This isn't light reading....
To win without risk is to triumph without glory. Pierre Corneille
 Taylor Larimore
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Re: How efficient is a given portfolio?
"Simplicity is the master key to financial success."  Jack Bogle
Re: How efficient is a given portfolio?
You might find this, from William Bernstein,
helpful: http://www.efficientfrontier.com/ef/497/mvo.htm
helpful: http://www.efficientfrontier.com/ef/497/mvo.htm

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Re: How efficient is a given portfolio?
four replies with four links to lots of reading. Thanks! I think...
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