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3
votes
There is no universally accepted answer for the main problem here which is the denominator for the return calculation is zero or near zero. There are a few common solutions to this issue. The most …
answered Oct 29 '14 by rhaskett
1
vote
Thanks for the answers and comments above. In particular to Eric Brady, who had me reading a lot of Bayesian papers. In the end, I think the answer to the question is that on the monthly time-frame …
answered Oct 20 '14 by rhaskett
2
votes
For analyzing a series of trades on a single stock over a period of time. You can understand your market timing contribution by comparing your actual return to the return from consistently holding yo …
answered Oct 29 '14 by rhaskett
3
votes
4answers
Sharpe's Return-Based Style Analysis is an interesting theory but flawed in practice when working with long-short funds or funds that are changing strategies over shorter periods of time due to the li …
asked Sep 18 '13 by rhaskett