dyga

I found something I will skip. Those hedge fund things are stupid and AFAIK not mentioned in the LOS besides the Sharpe ratio.

Critique should not be calculate or describe, however this will probably be my downbringing.



Edited 1 time(s). Last edit at Wednesday, June 1, 2011 at 12:59PM by Paraguay.

justin88

bannisja Wrote:
-------------------------------------------------------
> pimpin has the formula. i just quick math did to
> 1.66666666, no?
> again, highly doubt it'll ever show up, but you
> just never know what stupid random stuff may find
> its way in 3 days.

Yes the correct formula according to CFAI is:

gain-to-loss = (# up months / # down months) * (avg up month return / avg down month return)

Here's my addition to the CFAI formula:
Rearranging, this becomes:
gain-to-loss = (# of up months * avg up month return) / (# of down months * avg down month return)

Since avg monthly return = sum of monthly returns / # of months,

gain-to-loss = (sum of up month returns) / (sum of down month returns)

So the answer here should be (10 / 6 ) = 1.667



Edited 1 time(s). Last edit at Wednesday, June 1, 2011 at 12:57PM by LobsterBoy.

nannan66

bigger # = better for this ratio.

Roflnadal

pimpin has the formula. i just quick math did to 1.66666666, no?
again, highly doubt it'll ever show up, but you just never know what stupid random stuff may find its way in 3 days.

Colum

formula is {( # of up months) /(#of down months) } * [ av of up month returns /sv of down month returns]

liangfeng

-0.833

wake2000

I get (8/4)*(1.25/2.25) = 1.11...

Could be wrong since I don't remember how the formula specified to use the averages.