Post #557 by lizgdal on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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Thanks for posting these details of P123 results. I have been thinking of signing up to P123, and this helps me work through some of the issues. I reformatted your table using pre tags:

         AVAR?                              GSD?
         Port   Bench  Excess  Min   Max   StdDev
  Avg     31%     6%     24%   -55%  174%    77%
UpMkts     37     14     23    -49   179     76
DwnMkts    14    -14     28    -69   163     78

It's unclear what some of these numbers are. Is the Avg in the table an average of annual returns (AVAR) or is it CAGR (Annualized Return)? For example, P123 results for a r2g model since Launch 02/21/2014:

                    Strategy  Benchmark  Excess
Annualized Return     17.5%     9.5%      8.0%
Standard Deviation    35.4%     15.1%    -20.4%
Downside Deviation    20.9%     9.9%     -10.9%
 Maximum Drawdown    -69.1%     -33.9%   -35.2%
   Sharpe Ratio       0.58      0.59     -0.01
  Sortino Ratio       0.84      0.78      0.06
       Beta           1.07

https://www.portfolio123.com/app/r2g/summary?id=11...

Another example: {TechGrowers} from 19970902 to 20230310 had 10.5 CAGR and 58 GSD. The statistics for the raw annual returns are:

AnnualReturns  avg  min  max  stdev
 TechGrowers   26   -67  236    69

Do you want high Average Annual Return (AVAR) or high Compounded Annualized Return? {TechGrowers} had 26 AVAR and 10.5 CAGR.

https://gtr1.net/2013/?~TechGrowers_20200326_rdutt...

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