hellokimchi
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I currently use a simple trend following strategy to move my pension funds between stocks and bonds. I pay no transaction charges and I make about 2 trades per year per fund.
The performance over a market cycle is similar to a buy & hold approach, but since my funds spend about 33% of the time in either cash or bonds, my portfolio risk is reduced.
My question is: My simple system returns very similar results to a buy & hold approach but with lower volatility, so I believe it outperforms on a risk-adjusted basis. How can I quantify this difference using MS Excel?
The performance over a market cycle is similar to a buy & hold approach, but since my funds spend about 33% of the time in either cash or bonds, my portfolio risk is reduced.
My question is: My simple system returns very similar results to a buy & hold approach but with lower volatility, so I believe it outperforms on a risk-adjusted basis. How can I quantify this difference using MS Excel?
