You should calculate portfolio Sharpe/Sortino ratios. Hedge funds for instance often also do not beat just buying an S&P500 ETF, but have less volatile returns (smaller drawdowns) because they go long on some stocks and short on others, which does better in a downturn.
You should calculate portfolio Sharpe/Sortino ratios. Hedge funds for instance often also do not beat just buying an S&P500 ETF, but have less volatile returns (smaller drawdowns) because they go long on some stocks and short on others, which does better in a downturn.