I am looking to write a honors paper for my portfolio management class (equity valuation based) and was hoping to show how this is a bad way to go about investing as the portfolio will fluctuate with the market and that isnt good for returns.
Ive seen the model a couple of time on a slide called "The Holy Grail" where you show how the number of uncorrelated revenue streams increases the sharpe ratio of a portfolio.
What I found interesting is that Ray Dalio came out and said that 15 uncorrelated returns is the key number you want to hit, any more than that you were adding risk, but the graph Quantopian constructed has said otherwise.
Eitherway I was curious if you would release the calculations.
