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Closed on 09/24/05. See final comments below.
Feature Request:
Add a Volatility Ratio to the performance results
For simulations and portfolios, the maximum drawdown is given in the performance results. While this is a good indicator, it might also be helpful to know how often the drawdowns approached this maximum level. For example, if you run a 4-year sim and the maximum drawdown is listed as 20%, it would be much different if the drawdowns got close to 20% several times, vs if it only approached this level once but stayed less than 10% for the remainder of the time. Models with a low Volatility Ratio might be easier on the stomach.
To do this, compute the average drawdown level, and list is as a "Volatility Ratio". If the drawdowns approach 20% many times, this ratio will give a higher number than if the drawdown approached this level only once.
Results:
Total score:
79
, # of Votes:
19
, Average:
4.2
a
35 (7)
b
36 (9)
c
6 (2)
d
2 (1)
e
Scores are calculated as (importance) × (# of votes), where importance ranges from 1 to 5.
Final Comments
Volatility ratio is now available.
Requested by:
BJS
On date:
07/01/05
Category:
Portfolio
6 comments