Sharpe Ratio Optimizer

System Advanced All Asset Classes Portfolio Optimization Strategy Allocation

All Market Conditions

Backtest Sharpe Ratio Optimizer on real market data — free

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Quick Reference

Strategy Type	Risk-Adjusted Return Optimization
Market Outlook	All Market Conditions
Risk Level	Analytical Tool - Optimizes Risk-Return
Time Horizon	Medium to Long-Term Allocation
Best Conditions	Stable correlation structure, sufficient historical data
Avoid When	Extreme regime changes, limited data history

Primary Reference	91-day T-Bill rate (currently ~7%)
Alternative	RBI Repo Rate as proxy
Overnight	TREPS/CBLO rates for short-term
Adjustment	Use after-tax rate for fair comparison

Nifty 50 Sharpe	Historical Sharpe ~0.4-0.6 long-term
Nifty Bank Sharpe	Higher return but higher volatility
Liquid Funds	Sharpe ~2-3 (low vol, modest return)
Comparison Basis	Beat Nifty Sharpe to add value

Sebi Limits	MF concentration limits, derivative limits
Liquidity	Mid/small cap liquidity constraints
Transaction Costs	STT, brokerage impact on net Sharpe
Tax Efficiency	LTCG vs STCG impact on after-tax Sharpe

Trading Days	252 days for annualization
Rebalancing Frequency	Monthly or quarterly typical
Estimation Window	1-3 years of data recommended
Implementation Cost	Include in optimization

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