Skip to main content

Mean Return, Return Standard Deviation and Shape Ratio for A 50% SPY Plus 50% Cash Rebalanced Portfolio With 20% Rebalanced Threshold

This article is about finding SPY/Cash rebalanced portfoilo's mean return, return standard deviation and Sharpe ratio. The rebalanced threshold is 1%.

Return Lookup

Truncate Dates

Start Date:
End Date:
Investment Duaration: days
Tax Rate on Dividends:%
Start Date:
End Date:

Continue Runing With Random Dates

  • The investment duration is 252 days.

Looking up the Sharpe Ratio

Click this button to find the Shepe ratio based on the mean return and return standard devision. Since Sharpe ratio is also based on the risk free rate, you have to manually enter it here.
Risk Free Rate:%
Labels:

Comments

Post a Comment

Popular posts from this blog

Which Asset Class Had the Best Performance During the 2008 Financial Crisis?

In this article, I want to explore which asset, ETFs, MFs, Stocks, did best during the 2008 financial crisis. I will compare the investment results against the result of SPY, since it represents the overall market. The scenario is investing right at the highest point of S&P 500 index right before it crashed during the crisis. The date is Oct 9, 2007  when the index reached 1,565.15. I will compare the returns of each asset against SPY in the following order: Investing until the bottom of the crisis at 676.53 on Mar 09, 2009 in order to simulate downside risk. Investing until the S&P 500 index closed above the previous high at 1,568.61 on Apr 09, 2013 in order to simulate recover ability. Investing until the bottom of the Covid crisis at 2,304.92 on Mar 20, 2020 in order to simulate a series of market crashes. Performance By Ranks Oct 9, 2007 to Mar 09, 2009 SHY  return is 8.848% AGG  return is 7.390% LQD  return is -6.793% HYG  return i...
Post a Comment
Read more