Why the Boring Portfolio Wins: Markowitz vs. Black-Litterman vs. Rule-Based
In a 20-year ETF benchmark, a simple rule-based allocation outperformed Markowitz and Black-Litterman in CAGR while trading less and staying aligned with client mandates. Optimization improved Sharpe ratio — but failed the production test. The constraints of retail wealth management aren't obstacles to performance — they define what optimal actually means.