canadiananalyst

FinNinja Wrote:
-------------------------------------------------------
> Anyone else notice that these are basically the
> same thing?
>
> RP(asset class) = Std Dev(asset class) * Corr *
> sharpe ratio(mkt)
>
> or
>
> RP(asset class) / std dev(asset class) = Corr *
> sharpe ratio(mkt)
> which is:
> sharpe ratio(asset class) = Corr * sharpe
> ratio(mkt)
>
> So basically:
> Singer-Terhaar says that the SR of the asset class
> should equal the mkt SR times the correlation b/w
> the two.
> In the context of asset class selection if the
> asset class SR is greater than portfolio SR *
> correlation b/w the two you should add it to the
> portfolio

Looks pretty sound and accurate...Does the book say it's an approximation?