BeyondSharpe: Unveiling Variability Weighted Return for Next-Gen Portfolio Evaluation

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).