Monte Carlo portfolio statistics interpretation
Can someone explain (or provide a reference where the doco explains) how to interpret the portfolio characteristics in the Monte Carlo reports? The mean and median returns are obvious but the ratio and beta are not, in light of the footnotes.
This is an example from a real portfolio in my database:
name, mean, median, ratio, beta
Portfolio 7, 8.816530, 7.696545, 0.213744, 0.050498
Does the ratio simply describe the portfolio in terms of comparison to the variance of large caps real return? In the example above, the portfolio varies only 20% as much as a 100% large cap portfolio would?
Sorry, but I don't get the log business for the beta. I know what logs are but I don't know what you're doing with them here.