Jan 10 2020, 04:46 PM
QUOTE(simplesmile @ Oct 8 2019, 10:09 PM)
*Rate my portfolio
Anybody care to comment the two portfolios? These two portfolios built with US fund / US Treasury / Gold and backtested 14 years. The backtest period is short because the fund does not have a long history.
Which portfolio is better and why?
Portfolio 1
CAGR: 52.27%
IRR: 11.16%
Standard deviation: 8.09%
Max drawdown: -15.61%
Sharpe ratio: 1.11
Sortino ratio: 1.84
US market correlation: 0.7
Portfolio 2
CAGR: 51.51%
IRR: 10.25%
Standard deviation: 7.57%
Max drawdown: -10.55%
Sharpe ratio: 1.12
Sortino ratio: 1.85
US market correlation: 0.5
I'd say 2nd one is better due to better R&R ratio. Anybody care to comment the two portfolios? These two portfolios built with US fund / US Treasury / Gold and backtested 14 years. The backtest period is short because the fund does not have a long history.
Which portfolio is better and why?
Portfolio 1
CAGR: 52.27%
IRR: 11.16%
Standard deviation: 8.09%
Max drawdown: -15.61%
Sharpe ratio: 1.11
Sortino ratio: 1.84
US market correlation: 0.7
Portfolio 2
CAGR: 51.51%
IRR: 10.25%
Standard deviation: 7.57%
Max drawdown: -10.55%
Sharpe ratio: 1.12
Sortino ratio: 1.85
US market correlation: 0.5
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