Close
To: amibroker@yahoogroups.com
Sent: Thursday, May 08, 2008 11:15 PM
Subject: [amibroker] Capture Ratio
Has anyone ever put together some code to calculate a fund's capture ratio.
How would one go about doing that?
From one definition I have found:
To calculate the up
@yahoogroups.com [mailto:[EMAIL PROTECTED] On Behalf
Of Steve Dugas
Sent: Friday, May 09, 2008 1:35 PM
To: amibroker@yahoogroups.com
Subject: Re: [amibroker] Capture Ratio
Hi Ken - I don't have the formula you describe below, but generally speaking
I think it is not uncommon for traders to check
luck, I might try to get more specific instructions if I really wanted to
recreate it...
Steve
- Original Message -
From: Ken Close
To: amibroker@yahoogroups.com
Sent: Friday, May 09, 2008 1:45 PM
Subject: RE: [amibroker] Capture Ratio
Thanks Steve, I will play with your
Has anyone ever put together some code to calculate a fund's capture ratio.
How would one go about doing that?
From one definition I have found:
To calculate the up capture ration, we first isolate all monthly returns
for a fund and its benchmark during the periods then the benchmark had a
