equity curve analysis

["Mark Johnson" <janitor@xxxxxxxxxxxx>]

Sethw2@xxxxxxx writes:
  > I am looking for some simple ways to compare various
  > equity curves from different managers and different
  > styles. I would like to keep it completely quantitative,
  > and get measures of return, volatility, and correllation.
  > I want measures independent of interest rates
  > (i.e. Sharpe.) Any quick and dirty (simple/simplistic)
  > measures people have found useful? Any software packages
  > that people use expressly for this purpose?

You might want to consider including the "Lake Ratio"
(from Ed Seykota's website) in your suite of tests.
I like it because it gives equal weight to all reporting
periods (unlike, say, the MAR ratio).

<http://www.seykota.com/tribe/risk/index.htm>

The software package that I use expressly for this
purpose is called PERL5 :-).