The spreadsheet below is missing a minus sign in the formula which is  highlighted below in red. The formula in cell F3 should read:

=IF(E7>0,1-TDIST(E7,COUNT(C2:C61),1),TDIST(E7,COUNT(C2:C61),1))
This error was not built into our code, it was copied incorrectly into excel. The corrected sheet can be found here:
probabilistic momentum worksheet
February 15, 2014 6:40 am

the equivalent formula for the information ratio in R seems to be*
InformationRatio(60 daily returns of A,60 daily returns of B,scale=60)

March 3, 2014 12:15 am

Thanks Patzoul!
best
david

2. February 17, 2014 7:51 pm

hi David,
thanks for sharing and interesting concept; just some clarification:

on the blog you specify that the degree of freedom is equal to the number of periods in the look-back minus 1; however it seems to me that the number is equal to the look-back period in the formula (COUNT(C2:C61) = 60) which equals the look-back period for information ratio (admittedly there is not much difference) – should the formula be COUNT(C2:C60) = 59?

with best regards,

jurgen

March 3, 2014 12:14 am

Hi Jurgen, you are correct- again another oversight porting over from the code. Thank you. You are correct that it does make almost no difference.
best
david