The Goldman Sachs re-balanced Sharpe Ratio portfolio continues to outperform through a formula that considers future valuations and avoids the emotion and market chatter. Stock selection modification is done by modifying Sharpe Ratio The Goldman Sachs method to modify to select stocks is done by modifying the traditional Sharpe Ratio, a measure of risk and reward that measures upside and downside volatility to determine a risk reward profile of an investment. Goldman’s modification to traditional use of the Sharpe Ratio is not as radical as many have proposed. Instead of providing a different risk weighting to upside deviation than downside…
Goldman Tweaks Sharpe Ratio To Project Future
Mark Melin
Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.