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Re:Building AI Trading Systems by smabie on Saturday June 27, 2020 @03:35AM (#23660152)
I guess all I'm saying is that a strategy that has a worse Sharpe ratio than the market but zero correlation could still be valuable to a lot of investors for the same reason that sometimes it makes sense to add a asset to your portfolio that lowers your expected return. It's possible that that one strategy with the worse Sharpe ratio when combined with your pure beta investments would yield a portfolio with a better Sharpe ratio than either allocation alone.
Re:Building AI Trading Systems by nv-vn on Saturday June 27, 2020 @10:25AM (#23662010)
That's an interesting point that I didn't really consider. Thanks!