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Quick question. By what means do you change the leverage on the index
until the volatility of the leveraged index equals the volatility of the
trading results (or adjust the volatility of the portfolio to match that
of the index)? (Sorry to task you with a "portfolio analysis 101"
question). Thanks.
Regards,
Monte
Bob Fulks wrote:
>
<snip>
>
> What I suspect you mean is that you change the leverage on the index
> until the volatility of the leveraged index equals the volatility of
> your trading results and then compare the ROI of the two. This is a
> correct approach. This is what some people call the "risk-adjusted
> return". (Usually they adjust the volatility of the portfolio to
> match that of the index but it is the same idea.)
>
> But you can get the same valid comparison by just comparing the Sharp
> Ratio of the two directly.
>
<snip>
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