- ago
I am requesting some metrics that would be tailored for the portfolio level of Optimization, and available as an optimizable value. These might include items that address the stability of Returns (e.g. Period Returns (i.e. Weekly, Monthly, Quarterly, Annually) / StdDev of Period Returns), Fat Tail Issues (e.g. Tail Ratio), Adverse Actions (e.g. Risk of Ruin), as well as others as appropriate.

Also, to improve performance, make the calculation of these Metrics "user-selectable" (via a "check box"?) so that if not required for an Optimization they can be ignored.

Vince
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- ago
#1
Risk of Ruin metrics are part of the Extended Scorecard from the PowerPack extension:
https://www.wealth-lab.com/extension/detail/PowerPack
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- ago
#2
Thanks Eugene! One down, and two (or more) to go!! ;)

Vince
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- ago
#3
Forgot to tell, Tail Ratio is also on the Extended Scorecard.
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- ago
#4
Getting better all of the time! :)
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