MediumPortfolio & Risk
Diversification & Sharpe
AQR CapitalCitadel
Two uncorrelated strategies each have a Sharpe ratio of 1 and the same volatility. If you allocate equally to both, what is the combined Sharpe ratio? (Round to 2 decimals.)
Hints
Returns add, variances add (uncorrelated).
Sharpe improves by √(number of independent bets).
Sign in to reveal the full worked solution, check your answer instantly, and track your progress with spaced-repetition review.