Re: for long term investments, why not go 100% emerging markets?
[ QUOTE ]
2) that the best portfolio in the long run "usually" won't be one that maximizes your sharpe ratio
[/ QUOTE ]
the point i was trying to make was that if you start building your portfolio with the primary goal of diversifying fully and maximizing your sharpe ratio, expecting that you can then leverage it to meet your return goals, you might end up disappointed because leverage can be hard to obtain/implement.
in a lot of cases it might be a lot more feasible to build your portfolio concentrating more on the riskier assets, as suggested in the OP.
there might be cases where you can only assemble an "optimal" portfolio expecting to return 7-8% using your method because the leverage isn't accessible, while you could expect to earn 10-12% concentrating on riskier assets with a slightly lower sharpe ratio. if you're on a 20-30+ year time horizon, you'd probably be better off with the latter.
how's the portfolio you discussed a few months ago coming along? how are you obtaining your leverage?
|