Comments on: Portfolio Performance Excel File

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”.

By: Russell

Russell — Tue, 12 Feb 2008 09:59:58 +0000

Nice spreadsheet
Is there any info about the kind of benchmarks one is looking for in terms of “good” and “bad” ratios. Terminology is awful but I hope you get the gist.

By: Morad

Morad — Sun, 09 Dec 2007 09:43:15 +0000

thank you