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Some Pretty DVI Charts: Long below 50, Short above 50

December 16, 2009

2 Comments leave one →
  1. December 17, 2009 8:12 am

    David, just curious, the 0.09 Sharpe Ratio doesn’t seem to make sense when seeing the rest of the chart, unless the risk free rate used is very high or maybe the leverage relative to capital employed is low. Just a guess, but the leverage is low reflecting the annual rate of return. It looks like a very impressive performance.

    Can you elaborate on transaction assumptions etc. in terms of Bps or $ costs. As the average trade of $95 could be sensitive to those assumptions.

  2. Jeff permalink
    December 17, 2009 12:14 pm

    As I understand it, the DVI (like many DV Indis) takes a great deal of data to initialize. Although the tables say that trades start in 2002, 2005 is really the correct date of the first trade. I’d bet the TS report is therefore incorrectly calculating the time based calculations. That said, it is a frictionless 100 share, long-short strategy, and you can get a very good feel for it based on the equity curve. Just a quick gut response. JP

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