Steve Mayo![]() Legend ![]() ![]() ![]() ![]() Posts: 414 Joined: 10/11/2012 Location: Austin, TX ![]() | 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] |