|
PureBytes Links
Trading Reference Links
|
Mark Simms wrote:
Wow - HOW THE MIGHTY (Dunn and J Henry) HAVE FALLEN.
Love that Winton Capital Management Diversified....terrific
performance.
Lets try some calculations..... not easy on just charts but I
give it a try anyway.
If you look close enough you will see that at the end of 2001
beginning 2002 they had a drawdown of something like 25%
to 30%
I think they went from 145% to 80% aprox so that would mean
if it were an index it went from 245 to 180 wich is a drawdown
of 26.5% Performance is just under 600%
Reward / risk 22.6
Henry's drawdown appears to be from 1550 to 750 or 52%
With the performance of 600 (all performances taken from 1998
to present for good comparing with Winston) thats a
reward / risk of 11.5
EMC seems to have a biggest DD from 10000 to 6000
I would say roughly 40%. However, performance over the
same period (1998 to present) is something like 12000%
So with a DD that is 1.5 times higher you get a performance
that is 20 times bigger. Reward / risk 300
Transtrend seems to have a DD from 320 to 290 around 2004
(including start with original 100 that would be 420 to 390)
Thats less than 10%. Performance is 400% so that would
Reward / risk 40
So both Transtrend and EMC are better. Trenstrend actualy
also looks better... EMC does look like a rough ride but don't
let the chart fool you. It has an extremely high performance
so the rough ride isn't that rough....
Greetings,
Henri
|