ll11

I think #1 & #2 will give same value if you use GM everywhere since you are taking equal weigh of everything. For standard deviation if you consider calculating standard deviation in #2 by using portfolio standard deviation formula, which accounts of correlation between assets, then you will get same value of standard deviation in both #1 and #2.

But if you want some fun, then you can play around with standard deviation profile in each asset class. It's quite useful in algorithmic trading and for short term sometimes, you can see if it offers some insight for very long term, that might be good timepass.



Edited 2 time(s). Last edit at Wednesday, August 4, 2010 at 02:28PM by d0pa.