Report Detail Summary

Holding Periods: Part I Risk and Return

January 25, 2010

If adding the asset to the portfolio improves the Sharpe ratio, then it follows that the asset adds to the return of a portfolio over and above the increased volatility of the new overall portfolio. For example, taking U.S. large caps or the S&P 500 as a benchmark portfolio, we can ask a simple question as to whether we should add each of the asset classes considered in this study.

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