The CALMAR Ratio is exactly the same as the MAR Ratio except that the calculation is restricted to the past three years of data.
Portfolio Metrics
- Thread starter Chuck Krug
- Start date
Expected Shortfall is defined as the average loss level of returns below the VAR. The purpose of the expected shortfall is to highlight return distributions in which the worst 5% of returns contain losses much greater than the VAR. For example, an investment with a VAR of 4% and an expected shortfall of 10% would be far riskier than an investment with a 4% VAR and 5% expected shortfall.
So, in my case, a negative expected shortfall means less risk, if I understand this correctly
So, in my case, a negative expected shortfall means less risk, if I understand this correctly
Value-at-Risk (VAR) is defined as the daily loss level that is expected to be exceeded on less than 5% of all days and.
So, negative again, which means low risk of fat tails, I believe.
So, negative again, which means low risk of fat tails, I believe.
'Skewness'
Describe asymmetry from the normal distribution in a set of statistical data. Skewness can come in the form of "negative skewness" or "positive skewness", depending on whether data points are skewed to the left (negative skew) or to the right (positive skew) of the data average.
Describe asymmetry from the normal distribution in a set of statistical data. Skewness can come in the form of "negative skewness" or "positive skewness", depending on whether data points are skewed to the left (negative skew) or to the right (positive skew) of the data average.
DEFINITION of 'Mean Return'
1. In securities analysis, it is the expected value, or mean, of all the likely returns of investments comprising a portfolio. It is also known as "expected return".
Daily mean return of 1.54% is pretty high imo
1. In securities analysis, it is the expected value, or mean, of all the likely returns of investments comprising a portfolio. It is also known as "expected return".
Daily mean return of 1.54% is pretty high imo
'Kurtosis'
A statistical measure used to describe the distribution of observed data around the mean.
It is sometimes referred to as the "volatility of volatility."
A statistical measure used to describe the distribution of observed data around the mean.
It is sometimes referred to as the "volatility of volatility."
Daily Standard Deviation is pretty straightforward imo. 20+% is quite high
for S&p it is 1.1 and nasdaq 1.8
for S&p it is 1.1 and nasdaq 1.8
I hope I didn't bore you guys too much LOL
Well, some good stuff there, and I learned something new today, hope you did as well
Well, some good stuff there, and I learned something new today, hope you did as well
Kurtosis is the 4th moment of the distribution, where a normal distribution has K=3. Larger values mean the distribution has higher probabilities of extreme tail events (either very good or very bad); less than 3 means these are less likely (again compared to a normal distribution).
https://en.m.wikipedia.org/wiki/Kurtosis
Thanks Moreleverage, that is indeed a better explanation.