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The word "sharpe" doesn't appear in rtrsoftware.com's sales documentation
and/or website!
I seem to have a somewhat different understanding of what a portfolio
manager might do. Given that I have a system that has consistently returned
above average profits for 17 (audited) years, I don't need a technical
system to back test a hypothetical portfolio. That's clearing TS' job.
However, I do need a portfolio manager that can measure real-world
historical performance for a number of portfolios, preferably to the moment.
Measuring on a risk-adjusted basis and it's inverse is a good measure of not
only a portfolio, but the capability of a portfolio management application.
Typically, I use the Sharpe ratio to measure a portfolio and then measure a
leveraged benchmark, such as an index, so that it has the same Sharpe ratio
as the portfolio, thus comparing ROI given normalized volatility and
performance. Applying these kinds of measure really shows how poorly most
fund managers, traders, analysts, and so on actually do. Very few analysts
can even show me an audited track record, yet they ask thousands for their
services :). BTW, I won't mention the stellar performance of mutual funds
when so scrutinized.
I've been searching for a portfolio manager for some time, but still to no
avail. Except for a few, can the world be in denial of real performance
measurement.
Colin West
-----Original Message-----
From: brian [mailto:polar@xxxxxxxxxx]
Sent: Thursday, March 29, 2001 3:59 AM
To: omega-list@xxxxxxxxxx
Subject: portfolio testing
There are many other packages that can do what you want.
Technifilter plus www.rtrsoftware.com
behold www.bhld.com
excaliber from futures truth
Technifilter uses their own scripting language, while behold is
basically a mac version of tradestation which a spreadsheet interface
and excaliber is a windows based fortran program. The first two are
probably the easiest to start with and can accomplish most any type of
portfolio/system testing you would want.
Brian
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