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>Was there a filter used in the distribution of returns
Earl
These are absolute returns averaged. The filtered work is done at
month/index level, and the spreadsheets are humongous.
During the day I will upload screenshots for each index/month.
The format is
avg returns/mo
stdevp of those returns
ratio of avg ret / stdevp (aka modified sharpe)
# pos months
# neg months
We're working on finding ways to reward good volatility and punish bad volty
in the stdev calculation - hence the above is a work in progress - but yes,
your query is valid and the numbers you see on the heatmap don't address
that.
Gitanshu
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