: 推 sesee:估计在多长的交易时间内破某个特定的DD%的机率~ 个人认为是 07/03 16:46 : → sesee:没什麽意义的~ 因为会造成MDD创高的行情何时来根本无法预测 07/03 16:51 : → sesee:如果是权益数mdd%一直破当然是有很大的关系 赶快缩部位做呗 07/03 17:06 : → sesee:单一策略一直破mdd 如果是赔它该赔的钱 继续用它~why not? 07/03 17:07 Ed seykota的说法也差不多 参考一下 http://www.seykota.com/tribe/risk/ Measuring Portfolio Volatility Sharpe, VaR, Lake Ratio and Stress Testing From the standpoint of the diversified portfolio, the individual components merge and become part of the overall performance. Portfolio managers rely on measurement systems to determine the performance of the aggregate fund, such as the Sharpe Ratio, VaR, Lake Ratio and Stress Testing. William Sharpe, in 1966, creates his "reward-to-variability ratio." Over time it comes to be known as the "Sharpe Ratio." The Sharpe Ratio, S, provides a way to compare instruments with different performances and different volatilities, by adjusting the performances for volatilities. S = mean(d)/standard_deviation(d) ... the Sharpe Ratio, where d = Rf - Rb ... the differential return, and where Rf - return from the fund Rb - return from a benchmark Various variations of the Sharpe Ratio appear over time. One variation leaves out the benchmark term, or sets it to zero. Another, basically the square of the Sharpe Ratio, includes the variance of the returns, rather than the standard deviation. One of the considerations about using the Sharpe ratio is that it does not distinguish between up-side and down-side volatility, so high-leverage / high-performance systems that seek high upside-volatility do not appear favorably. VaR, or Value-at-Risk is another currently popular way to determine portfolio risk. Typically, it measures the highest percentage draw down, that is expected to occur over a given time period, with 95% chance. The drawbacks to relying on VaR are that (1) historical computations can produce only rough approximations of forward volatility and (2) there is still a 5% chance that the percentage draw down will still exceed the expectation. Since the most severe draw down problems (loss of confidence by investors and managers) occur during these "outlier" events, VaR does not really address or even predict the very scenarios it purports to remedy. A rule-of-thumb way to view high volatility accounts, by this author, is the Lake Ratio. If we display performance as a graph over time, with peaks and valleys, we can visualize rain falling on a mountain range, filling in all the valleys. This produces a series of lakes between peaks. In case the portfolio is not at an all-time high, we also erect a dam back up to the all time high, at the far right to collect all the water from the previous high point in a final, artificial lake. The total volume of water represents the integral product of drawdown magnitude and drawdown duration. If we divide the total volume of water by the volume of the earth below it, we have the Lake Ratio. The rate of return divided by the Lake Ratio, gives another measure of volatility-normal return. Savings accounts and other instruments that do not present draw downs do not collect lakes so their Lake-adjusted returns can be infinite. == 个人是建议直接考虑极端状况下能承受的最大杠杆就好 (以台指为例 就是两或三根停板出现时 你愿意赔几趴) -- FB: http://0rz.tw/l3Kcq █◣ ▊ ◥\◣◣\◣▼▼◣◣█◣ ▌ ╬╬ █银ˊ どんだけ── ◥█◣ )) ▲▲██▲╴▲██▲ ▲ ▌ "囧█ ╬╬ █ˊ魂 好文要推── ◥█◣ ◢ ▏ ▼██▼ ▼██▼▏███▌m@▼▄ ╬╬ EVERYBODY SAY ◥█◣█ ▼█▇▇█‥ ▇▇█▏◣ ▌ ▲◇" ╬╬ 市场求生手册─ (( ╲ ╲ ◣▼ ▇▇▇ ▼ ◣ ▌▆▆▆ ╬╬ http://stasistw.blogspot.com/╲█╲█ ◥██████ ◤████▆▅▄▃▂▁ --

※ 发信站: 批踢踢实业坊(ptt.cc) ◆ From: 111.185.68.232 ※ 编辑: stasis 来自: 111.185.68.232 (07/03 19:12)