Kevin_in_GA
4,599 posts
msg #116952
- Ignore Kevin_in_GA |
11/21/2013 10:18:23 PM
Thank you. This is actually quite useful for comparing performance and risk over different time frames. Is there a maximum number of days one can look back?
|
alf44
2,025 posts
msg #116953
- Ignore alf44
modified |
11/21/2013 10:25:16 PM
.
Kevin ... eager to hear more about how this is working for you !
.
|
Kevin_in_GA
4,599 posts
msg #116989
- Ignore Kevin_in_GA |
11/22/2013 9:22:40 PM
I'm using it to calculate Calmar ratios for the various asset classes, to see how they compare in a TAA-like allocation strategy. What this has highlighted for me is the need to make all look back periods at least go back a year - right now things like ROC and sum only go back 100 days.
|