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Steve Mayo

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Subject : RE: What's your favorite risk-return measure?
Posted : 4/24/2014 3:43 PM
Post #30036 - In reply to #30031

I think you guys are talking about "rolling return". I use that a lot. See my box plot under thread 6092.

Rather than slicing up the return into, say, one-month chunks over 3 years, you roll-forward day-by-day over however many years to calculate all possible one-month returns for every possible starting date. Then, you can calculate min/max/mean/stdev/probability of positive return/probability of negative return. With a decent stat package, you can even do a chi-square analysis to compare the ports ... and probably find that most really aren't statistically distinguishable given the high standard deviation that is inherent in the stock market.

[Edited by Steve Mayo on 4/24/2014 3:47 PM]

Deleting message 30036 : RE: What's your favorite risk-return measure?


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