Steve Mayo Legend  Posts: 414 Joined: 10/11/2012 Location: Austin, TX  User Profile | As discussed in the OV-Pro seminar today, Mark Holstius and I (Steve Mayo) are working with Ed to map-out the design for a portfolio switcher. Part of that specification is what "evaluation functions" should we target. Here's the list we are currently considering: CAR MDD mCalmar = CAR/MDD, over the test period (not a fixed 3-years as normally done) mSortino = CAR/downside volatility, sans the adjustment for risk-free treasury rate mSharpe = avg period return / stdev of period returns, sans the adjustment for risk-free treasury rate Beta = COVAR(Port CAR, Market CAR)/VAR(Market CAR) mAlpha = Port CAR - (Market CAR * Port Beta), sans the adjustment for risk-free treasury rate Information Ratio = (Port CAR - Market CAR)/STDev of that Excess Return Expectation of Loss= %Losses (1- hit rate) * average of the period (monthly/weekly) losses Expectation of Gain = %Wins (hit rate) * average of the period gains Volatility-adjusted return{ = avg. period return / stdev of avg period return Risk-adjusted return = avg. period return /% losses * avg period loss [Edited by Steve Mayo on 4/10/2014 6:15 PM] | |
