Vic Norton, a mathematician (and my stepfather), has published a paper on how you can use a weighted Sharpe ratio to optimize your investment mix and beat the market.
I don’t have the mathematical chops to evaluate Norton’s approach, but it looks pretty good: If you had used this investment strategy over the past eight years, you would have nearly matched the S&P 500 during the boom years, and your investment would have continued to grow during the 2000 – 2002 bust.
