I have 5 stocks and a commodity in my portfolio which I have allocated based on maximum Sharpe Ratio optimization. I need to benchmark them against an Index and compare the portfolio weights. How do I do this ? An index is invested in multiple sectors/stocks while I have fewer sectors/stocks in my portfolio, so how do I convert the stock weight in the index to a comparable weight in my portfolio?

  • $\begingroup$ What do you mean by 'benchmark them against an index', you want to see how your portfolio compares to the index? $\endgroup$ – user22485 Jul 18 '18 at 9:20
  • $\begingroup$ In terms of linking the weights, I think you could again use the Sharpe ratio, to compare a larger index and your smaller portfolio? I am not sure but I think you're asking how can I compare my small portfolio, of 5 stocks and 1 commodity, to a larger index, say the S&P 500? $\endgroup$ – user22485 Jul 18 '18 at 9:21

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