Two Funds Optimization


How to beat the market and sleep well at night

or

How optimizing a weighted Sharpe ratio
can lead to an effective investment strategy


The paper, BeatTheMarket.pdf. (172 KB)
Everything is described here. While this is a mathematical paper, it is short (eleven pages including title page, tables, references, and several pictures). Anyone should be able to get something out of it. For best viewing, print it out.


The macro, TwoFundsOptimization.zip. (208 KB)
A zipped folder containing an Excel macro for doing the computations described in the paper. The folder also contains quarterly return data for several funds, instructions on how to get such data off of the Internet, and the paper. Mac users may prefer to download TwoFundsOptimization.sit. (201 KB)



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Last updated: 21-Oct-02
vic@norton.name