Subject: Re: What constitutes success?
Using that RMS formula for downside deviation, I (think I've) come up with a downside deviation metric of 1.86 and a 12 year CAGR of 7.2% on my equity class-only allocated investments (GTAA, excluding cash and fixed-income categories.)

I calculated rolling 12 month deficits to 10% MAR (or 0 if >10% as stated), by month, squared those negative numbers, summed the squares, and sqrt'd the sum. 1.86. Seems... great result? Or did I miss something.

I did not (yet) do the DDD3 version which I understand from memory does a quarterly version, and a monthly version, triple-weights the monthly version. Correct?

1.86% does seem implausibly low. If it were a hedge fund, people would flock to your door.

Again, the steps, phrased a bit differently in case that helps--
Calculate all rolling year returns. (daily or monthly, makes surprisingly little difference)
Subtract 10% from all of the figures.
Replace all positive numbers with zeros, but keep them in the list.
Square all the numbers.
Sum the squares.
Take the square root of the sum.

My own new revised version, inflation adjusted:
Calculate the inflation-adjusted value of the portfolio at each date.
Calculate all rolling year after-inflation returns. (daily or monthly, makes surprisingly little difference)
Subtract 8% from all of the figures.
Replace all positive numbers with zeros, but keep them in the list.
Square all the numbers.
Sum the squares.
Take the square root of the sum.

The result should be very similar, except in times of high inflation lately.

Jim