Goldman Gives Hedge Funds Advice On Sharpe Ratio Portfolio

Goldman Sachs thinks considering the top stocks based on its Sharpe ratio portfolio could help their hedge fund clients in making appropriate decisions, a recent Kickstart strategy report dated December 12 said.

If it were ranked, the Goldman Sharpe Ratio portfolio would be the 82 percentile of absolute returns of the 200 largest large-cap core mutual funds, up 12 percent year to date.

Sharpe Ratio methodology

Using its Sharpe Ratio methodology going forward, energy stocks have the highest expected returns, as the plunge in oil prices has taken its toll in the sector, apparently expecting this stock sector to experience mean reversion. But the recommended portfolio could be a little...