Closed on 09/24/05. See final comments below.
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

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