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Sunday, May 20, 2007

Alpha, Beta, Sharpe and Sortino

Some stats on the (backtested) portfolio:

2-index model, with DIA and SPY ETF as indices:
Alpha = 41% (annualized)
Beta (DIA) = 0.67
Beta (SPY) = 0.85
R-squared = 0.25
N = 236 days

Sharpe ratio [95% CI] = 2.40 [0.47 , 4.28]
Sortino ratio [95% CI] = 3.62 [0.57 , 7.81]

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