Monday, 30 April 2012
Risk measures for the previous XIU post
Here are some risk measures for the XIU trading strategies presented in my last post. I considered three investing strategies: buy and hold, a MA(10) trend following strategy, a seasonal switch.The MA(10) trend following strategy produces the highest average annual return (6.85%) and the second largest standard deviation. Based on Sharpe ratios, the MA(10) trend following strategy is preferred. The seasonal strategy has the lowest downside risk while buy and hold has the highest downside risk. Downside risk is measured by semistandard deviations with a benchmark of 0.