TheAiGuy Posted April 27, 2017 Share Posted April 27, 2017 Hi All, I'm trying to figure out a way to evaluate my portfolio's performance statistically, taking the idea that if you want to do something, you should probably measure it. I have the problem of having switched from a portfolio of mutual funds to stocks over time as I've learned more. This creates a challenge evaluating my performance as the portfolio wide metrics are not appropriate (i.e. I'm fully aware that my mutual funding picking skill is shit). So, I have records of each stock I've bought (when, how much, etc) and I've created a paper benchmark for each stock using a paper-traded portfolio of ETFs (i.e. if I bought 100 shares of AAPL on the Jan 1, 2016, I create a paper trade of VTI for the same dollar amount on the same day). This gives me a dollar-weighted benchmark for each stock, meaning that the IRR of each stock can be compared to the IRR of its benchmark. The difference between these two numbers can be thought of my "alpha" for the stock. B/c's these "alphas" are independent(-ish) samples, I want to test them statistically. I think it's appropriate to weigh the alphas by age, (specifically, a "money weighted age" or, log base(1+IRR)[Gross Return] = age) The t-test isn't appropriate, but I think I sign-rank test is fine. I'm not sure on the statistical test, but I'm not aware of a more appropriate model (quick Googling turned up nothing useful). If I do this, I get something reasonable, but any feedback/comments are appreciated Link to comment Share on other sites More sharing options...
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