Dear -
The book "Managing trading ****tfolios" by Maginn just arrived and now
starts reading it.
With my six-month trading history, I would like to use some formulae
to estimate a risk of my trading style.
In the previous posting, the Kelly's optimal f is one choice. And the
book suggest "Jensen's alpha" and "Sharpe ratio" and "M^2" regarding
risk vs return
in chapter 12.
Anybody read the book before? Any experiences are welcomed. Is there
some software to calculate the above alpha, Sharpe ratio and M^2 based
on my past history of trading?
