|
PureBytes Links
Trading Reference Links
|
Yes, I am convinced I need to work in calculations on the cash in the
account to be able to get any valuable information out of it. I liked your
"non-microscopic" description, and using the last known good price gives
much more reasonable values than allowing them go back to zero so that is
what is my new current way of calculations.
Thanks.
> -----Original Message-----
> From: DH [mailto:catapult@xxxxxxxxxxxxxxxxxx]
> Sent: den 11 augusti 2002 01:44
> To: Omega List
> Subject: Re: A complicated (for me) question on protfolio calculations
>
>
> What Bob said. :-)
>
> I understand your "problem" of different markets being closed
> on different days but I don't see it as a problem. Just use
> the price the last time that stock was open for trading to
> calc your EOD equity.
>
> As Bob also said in the past, Sharpe isn't something you look
> at with a microscope. You care about the difference between
> Sharpe = 1 and 2 but not about the difference between Sharpe
> = 1.01 and 1.02. It's not that precise a measurement. Most
> funds do the calc once a month so doing it daily using the
> last known price is more than accurate enough.
>
> Include some cash in your equity. It doesn't really matter
> how much you start with as long as it gives you the ability
> to add and subtract stocks from your portfolio without
> drawing the cash below zero.
>
> In other words do it just like a real account. Start with X
> cash in the account, spend some of it on securities, and
> watch how the total value of cash plus securities changes
> every day using the last known price for the securities. Calc
> the Sharpe of the portfolio using that total.
>
> --
> Dennis
>
This message contains information that may be privileged or confidential and is the property of the Cap Gemini Ernst & Young Group. It is intended only for the person to whom it is addressed. If you are not the intended recipient, you are not authorized to read, print, retain, copy, disseminate, distribute, or use this message or any part thereof. If you receive this message in error, please notify the sender immediately and delete all copies of this message.
|