For the brief period in the '80s and '90s when Sarah Ferguson was HRH The Duchess of York, her jewelry collection was a bit more extensive than it is today. Let's have a look at the set of rubies she wore during her royal tenure, shall we?
The set is said to have been a gift from the Saudi royals. It's a demi-parure of diamonds and rubies, designed in a modern style and set in yellow gold. (Unfortunately, that yellow gold setting dates the jewels a bit.) Sarah often wore the necklace and earrings with her tiara.
Sarah has long had an affection for rubies. Her engagement ring from Prince Andrew featured a Burmese ruby surrounded by diamonds.
While the engagement ring, as a personal gift, was Sarah's to keep, it's presumed that the Saudi rubies were not. Here's the deal: jewels given to a royal lady are given to her as a member of the royal family, not as a private citizen. The rubies were intended for HRH The Duchess of York, not Sarah Ferguson, so when Sarah and Andrew divorced, they presumably stayed in the royal vaults.
While Sarah wore the rubies during her marriage, therefore, she hasn't worn them since -- because she no longer has them. By contrast, the tiara and diamond demi-parure that Sarah received from her parents-in-law were her own personal property, so she was able to keep them after the marriage ended.