Chris Cole has a paper about Wins Above Replacement – the basic gist of it is if you were to lever your portfolio so you keep 100% of your prior exposures but add an overlay, would your portfolio be better off overall with what you are adding? He then turned that into a metric.
You may have already read that paper, but in case you didn't (or in case other readers haven't), now you know it exists.
Chris Cole has a paper about Wins Above Replacement – the basic gist of it is if you were to lever your portfolio so you keep 100% of your prior exposures but add an overlay, would your portfolio be better off overall with what you are adding? He then turned that into a metric.
You may have already read that paper, but in case you didn't (or in case other readers haven't), now you know it exists.