Comments on: Portfolio Performance Excel File

By: Farrukh Siraj

Farrukh Siraj — Tue, 08 Dec 2009 07:09:51 +0000

Really nice work…. its really helpfull for me and i appreciate you buddy.

By: Dan Hung

Dan Hung — Tue, 13 Jan 2009 14:16:57 +0000

I believe that if you assume a constant target return (and in my case this is the risk free rate) then the SD of excess returns is actually the same as the SD of portfolio returns.

By: Nic

Nic — Tue, 13 Jan 2009 11:11:22 +0000

should’t you be using the stdev of excess returns when calculatng the sharpe ratio instead of using the stdev of portfolio returns…

By: Bruce

Bruce — Thu, 10 Apr 2008 04:09:39 +0000

Hi Dan, thx for the ss. was interested in the sortino ratio calcs.

Do you do any simulation of future performance to guide position sizing?

It seems many books, bloggers, and gurus are oblivious to the pitfalls of using excel stdev and mean for this purpose, as they are normal distro formulae.

I currently run my own Monte’s in excel using a lognormal freq dist random number generator.
formula is
=LOGINV(RAND(),mu,sigma)

However, based on readings of Taleb and Mandelbrot, I presume we would all be better off applying power-law FDs, or better still, parabolic fractal FDs.

any chance of a spreadsheet for that

By: Dan Hung

Dan Hung — Tue, 12 Feb 2008 18:14:09 +0000

Hi there, I’m not sure exactly which ratios you’re referring to. But, I’m assuming its the portfolio performance ratios I’ve included in this sheet. If you check out the link I have for “Portfolio Performance Metrics” in the above post, you’ll find some posts on different performance ratios and I think that will help you get an idea of what you’re looking for as far as “good” or “bad”.