RE: AW: Position Sizing Effectiveness

["Gray, Gabriel" <Gabriel.Gray@xxxxxxxxxxxxxxxxx>]

Ross,

I do not have a lot to contribute, but the small realization I made once
when thinking about this. It seems to me that you must normalize the
returns to account for the effect of leverage and then compare them to
unlevered returns. That way you can analyze how much "value" the
position sizing added. Just my 2 cents.

Gabriel



-----Original Message-----
From: Ross Bond [mailto:Ross.Bond@xxxxxxxxxx] 
Sent: Wednesday, February 11, 2004 10:30 PM
To: VK
Cc: 'Omega List'
Subject: Re: AW: Position Sizing Effectiveness


Hello Volker,

Fair comment.

What *would* you consider to be important as a measure of position
sizing effectiveness? 

I also use another metric, which simply multiplies the 'Effectiveness'
values by the 'Profit to MDD' ratio, thus addressing the MDD aspect.

Do you consider that this has more merit as a position sizing
effectiveness metric? I could also use MDD% in some manner I guess.

No, I didn't publish the script you refer to, (I don't use WL) but it
does not seem to be addressing position sizing effectiveness.

Thanks!

-- 
Best regards,
 Ross                       mail to: Ross.Bond@xxxxxxxxxx

Thursday, February 12, 2004, 11:22:00 AM, you wrote:

V> Ross, I dont think your measurement is really important. What is the 
V> difference between 2 and 5 if five had a DD of 90% and 2 of 6%?

V> Did you publish the system here:
   [snip]