Search results for
Jensen's measure, or "Jensen's alpha," indicates the portion of an investment manager's performance that did not have to do with the market.
What Is the Difference Between a Sharpe Ratio and a Traynor Ratio?
The Sharpe ratio and the Treynor ratio both measure the risk-adjusted rate of return on a portfolio or a stock, but they use different benchmarks.
Understanding Quantitative Analysis To Understand Hedge Fund Performance & Risk
Learn how hedge fund performance quantitatively requires metrics such as absolute and relative returns, risk measurement, and benchmark performance ratios.
Understanding the Sharpe Ratio
The Sharpe ratio is a measure of risk-adjusted return. It describes how much excess return you receive for the volatility of holding a riskier asset.
Sortino Ratio Definition
The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation.
A Deeper Look At Alpha
The Jensen index helps investors compare realized returns to what should've been achieved.
International beta (often known as "global beta") is a measure of the systematic risk or volatility of a stock or portfolio in relation to a global market, rather than a domestic market.
Introduction to International CAPM
ICAPM is one of several models used to determine the required return on an asset.
Sharpe Ratio Definition
The Sharpe ratio is used to help investors understand the return of an investment compared to its risk.
Valuation Models: Apple's Stock Analysis With CAPM
Despite several drawbacks, the CAPM gives an overview of the level of return that investors should expect for bearing only systematic risk. Applying Apple, we get annual expected return of about 6.25%.