Post #1756 by FlyingCircus on the Science, Technology, Engineering and Mathematics board

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Using that RMS formula for downside deviation, I (think I've) come up with a downside deviation metric of 1.86 and a 12 year CAGR of 7.2% on my equity class-only allocated investments (GTAA, excluding cash and fixed-income categories.)

I calculated rolling 12 month deficits to 10% MAR (or 0 if >10% as stated), by month, squared those negative numbers, summed the squares, and sqrt'd the sum. 1.86. Seems... great result? Or did I miss something.

I did not (yet) do the DDD3 version which I understand from memory does a quarterly version, and a monthly version, triple-weights the monthly version. Correct?

FC

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