[Associated Excel file for] Facilitating Portfolio Construction using Ex-ante Information Ratios and Maximum Sharpe Ratios

Authors

Tom Arnold, University of RichmondFollow
Joseph Farizo, University of RichmondFollow
David S. North, University of RichmondFollow

Abstract

Investors should consider Sharpe ratios and correlations together when adding a new fund to their existing portfolio. The ex-ante information ratio (also known as the appraisal ratio) is effective in informing this decision. However, a maximum Sharpe ratio calculation is equally effective in this decision while providing the additional benefit of producing optimal portfolio weights for the combined portfolio. In this paper, we demonstrate how to compute these measures to help facilitate portfolio construction.

Document Type

Article

Publication Date

1-14-2025

Comments

Please note that this paper has been accepted for publication and is no longer available inn the repository. The associated Excel file is available.

Publisher Statement

Downloads of this file are for private/personal use only. Do not cite without permission.

Recommended Citation

Arnold, Tom, Joseph Farizo, David North. “[Associated Excel file for] Facilitating Portfolio Construction using Ex-ante Information Ratios and Maximum Sharpe Ratios.” University of Richmond, (January 14, 2025).