Feb 6, 2018

qqplot of my strategy

I hadn't done a qqplot on my strategy before but since I'm working my way through a quant-fin self-study effort and I hit the qq page in the book I have I thought I'd kick one out to see what it looks like for something I work on daily.

The red line is the monthly returns of my systematic alt and the blue is a random normal with similar mean and vol.  (let's call it 7% mean 4.1% sd if annualized).

So a little misshapen distribution.  I was hoping it would have been even odder but there it is.  The best I can guess on interpretation is that the tails first thin and then fatten with slightly fewer extreme moves at the ends.  The qualitative version might be that it looks like I give up some probability of some of the upside for a little bit but not quite enough diminution of the down compared to my goals.  But I really have no idea. Any quant geeks can help me out here... 

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