Only deviations not exceeding an expected minimum interest rates are taken into account. Bill O’Gradys opinions are not widely known. Moreover, trade flow generated positive deviations, however, not in calculating this risk code with a. Surprisingly, you’ll find very little mention of Ann Maynard Gray on most websites. How big are the differences of risk assessment based on the volatility, or based on the downside deviation shows a practical example of the chili-assets database for managed accounts. The historical development of stock index option writing strategy was chosen for comparison. This investment strategy very successfully led by Andreas Diessbacher is based on his experience in dealing with options.
The chart shows the development since November 2008. To date, the investment strategist could end each year with a positive return. Based on history of us tested the Month-end figures we have determined the volatility with 12.2% and a downside deviation of 21.3%. Only two months in which the extremely high volatility of stock trading income base has visibly strained index option writing strategy are striking in the very positive course of the chart. The month of may of the year 2010 includes a (Flash crash on May 6, 2010) and of the difficult last August. For our readers something more plausible to make the differences between downside deviation and volatility, we have allowed us to make a little manipulation to the existing chart history.
To do this, we have just bridged the two phases of the drawdown by a simulated sideways: this step not the risk in the trade was removed, the new chart shows but now in its course virtually no risk. This is deviation in calculating risk on the downside however clearer, as it conveys the calculated volatility. While shrinking the volatility to 4.4% the new calculation shows the downside deviation is a significantly greater change. The simulated value achieved a profit of 3.4% and thus drops below the value of volatility. The artificial hide”the Drawdownphasen underlines that the better view of the risk of deviation is achieved by the downside. In the selection of trading systems, this applies not only for the area of managed accounts, but also to investment funds and certificates, this ratio as well as the volatility of therefore a very important supplier. Because volatility is achieved as a result of strong positive trade never bothers investors. For the full article, including the graphics, see: news-reader/items/volatilitaet-stoert-nur-zum-teil.html chili assets.de chili assets.de is a comparison platform for managed accounts. Institutional – private investors and media participants have the opportunity to compare the performance of different managed accounts on this website. By Capitalteam consulting researched and tested performance and risk indicators facilitate the selection of appropriate providers interested parties. For more information, see. Mostly opportunity-oriented investment styles that are not suitable in any arbitrary percentage scale for the securities accounts of investors favor note to managed accounts managed accounts. The right trading strategies in the right dosage, however can give zest to traditional securities accounts and contribute significantly to a better chance / risk ratio. Press contact Malte Papen FON: + 49 2661 953030 fax: + 49 2661 953029 mail: