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Spreadsheet Correction- Probabilistic Momentum

February 12, 2014

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
8 Comments leave one →
  1. Patzoul permalink
    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)

    • david varadi permalink*
      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

    • david varadi permalink*
      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

  3. varan permalink
    March 10, 2014 12:28 am

    The comparison of the mean of daily returns during the sixty days is not in any way conceptually related to the comparison the total returns for the sixty days, unless your comparing log of 1+daily returns. Perhaps I am missing something.

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