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Market-Adaptive Ratio for Portfolio Management

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  • Ju-Hong Lee
  • Bayartsetseg Kalina
  • KwangTek Na

Abstract

This paper explores the limitations of existing risk-adjusted returns in portfolio management and introduces a novel metric, the Market-adaptive ratio, to address these shortcomings. Existing risk-adjusted returns neglect the differences between bear and bull markets. Acknowledging that these market conditions demand distinct strategies, the Market-adaptive ratio incorporates the unique attributes of each, enhancing the portfolio performance. By emphasizing the significance of market type in impacting investment outcomes, this novel metric empowers investors to refine their strategies accordingly.

Suggested Citation

  • Ju-Hong Lee & Bayartsetseg Kalina & KwangTek Na, 2023. "Market-Adaptive Ratio for Portfolio Management," Papers 2312.13719, arXiv.org.
    • Handle: RePEc:arx:papers:2312.13719
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    File URL: http://arxiv.org/pdf/2312.13719
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