UnThreaded | Threaded | Whole Thread (9) | Ignore Thread Prev | Next
Author: numerous One star, 50 posts Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 256116  
Subject: Re: Benchmark MI port link updated Date: 5/15/2014 4:32 PM
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Recommendations: 5
This is a nice benchmark. A minor point is 3pt_Relative_Value uses [SI Price/CFPS]. The definition of this field changed a few years ago.
See http://boards.fool.com/sipros-cash-flow-per-share-changeprob...
Maybe just drop the cash flow field for this screen.

Statistics are calculated from 19870302 to 20140514 over daily closing portfolio values for all 21 cycles of Variant 0.

3pt_Relative_Value (with cash flow): CAGR 28, GSD 29, DD 16, Sharpe 0.95
http://gtr1.backtest.org/2013/?h21f0.40000::styp.a:ne14!15!4...

2pt_Relative_Value (without cash flow): CAGR 29, GSD 28, DD 15, Sharpe 0.98
http://gtr1.backtest.org/2013/?h21f0.40000::styp.a:ne14!15!4...
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Print the post  
UnThreaded | Threaded | Whole Thread (9) | Ignore Thread Prev | Next

Announcements

Kiddie Card Board
Should kids have their own credit card?
When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
Post of the Day:
Macro Economics

The Wealth of Power
What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
Community Home
Speak Your Mind, Start Your Blog, Rate Your Stocks

Community Team Fools - who are those TMF's?
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and Glassdoor #1 Company to Work For 2015! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.
Advertisement