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Hi all,

it would be great if the new R2G pages, portfolio and simulation stats would include statistics on how steady a model's performance is. I explain this in detail here:

https://www.portfolio123.com/mvnforum/viewthread_thread,8476

In other words, it would be a value that measures annual return deviation from mean return over the entire simulation period. The current stats only include R-squared which is only a measure of performance against the index.

I think this new measure would be important, because models with steady capital curves (rather straight line when plotted on logarithmic scale) usually deliver good out-of-sample performance. Here are two examples:
https://www.portfolio123.com/app/r2g/summary/1129179
https://www.portfolio123.com/app/r2g/summary/1049452

Please support!
Results: Total score: 24, # of Votes: 7, Average: 3.4
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20 (5)
b
 
3 (1)
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0
d
 
1 (1)
Scores are calculated as (importance) × (# of votes), where importance ranges from 1 to 4.
Requested by: sevensisters
On date: 03/08/15
Category: Portfolio

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