Thanks for the article, Scott. Very interesting.

Do use portfolio metrics such as Sharpe ratios to measure a portfolio’s risk-adjusted returns? 

I first got into investing in the mid 1990s with low-cost mutual funds as ETFs were then rare. I came across a useful software called PakTrak developed by a finance prof in Ontario that would provide a risk-return profile of a portfolio of mutual funds. I then had a relatively low-risk portfolio with returns somewhat above the TSX at a fraction of its volatility.

I think PalTrak is still around, now owed by Morningstar and oriented towards investment advisors. 

But I have not seen anything comparable that could do such estimates for a portfolio of individual stocks. Have you?