Figure 8.1 backtesting

May 24, 2011

Philippe Mueller spotted a bug in the legend of Figure 8.1. It is an unwieldy figure, with almost too much going on, and hard to see in black and white. The color plot below is much clearer, and hopefully correct. Also, I called returns, volatility. Guess the pic was cursed. Finally, one could specify the probability, 1%. In any case, here is the correct.   Figure 8.1 Backtesting a $1,000 portfolio of S&P 500 returns