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by dormouse99
Sat Jun 16, 2007 10:03 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1370
Views: 824313

Simba, First, thanks so much for the excellent spreadsheet. It's a brilliant piece of work. Pardon me if this has already been covered, but I'd like to ask a question about a possible error in the Sortino ratio calculation in rev6e. I noticed that if I input a Coffeehouse Portfolio on the Portfolio worksheet, I end up with a Sortino ratio of 1.90 (Portfolio Growth-Nominal) vs. 2.90 calculated in the SP-85-06 sheet. I checked the Sortino ratio formula (SP-85-06 worksheet cell F29) and found that it references the worksheet Data_72_06 rather than referencing worksheet Data_85_06. I tried correcting the sheet reference (and the cell range referenced in the formula) but ended up with a #VALUE error. Any thoughts on a simple fix? Thanks once aga...