The Motley Fool Discussion Boards

Previous Page

Investing/Strategies / Mechanical Investing


Subject:  Re: Safety_Floor: Negative momentum long screen Date:  7/19/2008  11:33 AM
Author:  mungofitch Number:  211291 of 275664

What is MAR?

MAR is short for "Minimum Acceptable Return", which is the key input
to calculating a risk metric called "Downside Deviation". This is not
the return you desire to hit (which would always be a really high number),
but the number below which your investment goal has failed.
If you're a pension fund trustee and have to hit 8%/year on average
in order to keep your sponsor from going bankrupt, your MAR is 8%.
The downside deviation is a single measure capturing the frequency and
magnitude of returns in a one year period which fell short of your goal,
with a squared penalty on bigger shortfalls. i.e., if your MAR is 8%,
then a 0% return is four times as bad as a 4% return, since the
shortfall is twice as big.

An excellent single measure of real world investment histories is
the Upside Potential Ratio (UPR), which is the Upside Potential (UP)
divided by the Downside Deviation.
I add the phrase "real world" because this metric tends to give
pretty nonsensical results on our backtests, since the results of
MI backtests are substantially better than what one gets in real life.

What is H52?
Sorry for not being clear, this is just the Simple "52-week high" screen
that FrenchorFoe mentioned in the second post in this thread.

Copyright 1996-2019 trademark and the "Fool" logo is a trademark of The Motley Fool, Inc. Contact Us