Much better return with similar volatility (resulting in a higher Sharpe), and lower drawdown.
No allowances made for commissions, slippage, taxes, etc.
From World Beta I take a look at the top 5 countries in the MSCI EAFE Index – UK, Japan, France, Switzerland, Germany, and Cash. Much better return with similar volatility (resulting in a higher Sharpe), and lower drawdown. No…
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From World Beta
Much better return with similar volatility (resulting in a higher Sharpe), and lower drawdown.
No allowances made for commissions, slippage, taxes, etc.
Contact [email protected] for any questions or corrections.
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