April 5, 2025
A presentation as part of the CMT West Coast Regional Summit 2025
About the Presentation: The Sharpe Ratio revolutionized portfolio evaluation when it was introduced in 1964, providing a groundbreaking method for comparing and ranking investments. But is it truly the definitive metric for assessing portfolios or quantitative models in today’s complex financial landscape? In this presentation, Mathew will examine the most significant pitfalls of the Sharpe Ratio—highlighting real-world examples where it falls short—and introduce the theory behind a cutting-edge metric: Variability Weighted Return (VWR). Discover how VWR offers a more robust and accurate approach to performance evaluation, addressing the limitations of traditional metrics.
