Results 221 to 230 of about 26,363 (266)
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2011
This chapter discusses how to properly evaluate performance by taking into account not just return, as most commercial rankings do, but also risk. And because risk can be defined in more than one way, there is more than one measure of risk-adjusted returns.
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This chapter discusses how to properly evaluate performance by taking into account not just return, as most commercial rankings do, but also risk. And because risk can be defined in more than one way, there is more than one measure of risk-adjusted returns.
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Risk-Adjusted Return When Returns Are Not Normally Distributed
The Journal of Alternative Investments, 2004Recently, a number of authors have shown that by using dynamic trading strategies and/or investing in options, a portfolio9s Sharpe ratio can be increased even when the portfolio manager has no “skill.” The increased Sharpe ratio results from creating a return distribution that is significantly different from normal and typically has significant ...
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Risk-Adjusted Returns in Alternative Investments
SSRN Electronic Journal, 2002Academic criticism of classic Capital Asset Pricing Model (CAPM) performance measures is not new. In particular, a number of authors have pointed out the shortcomings of using the Sharpe ratio for performance evaluation and the mean-variance framework for portfolio construction when the underlying investments have highly non-symmetric distributions.
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Alternative Cash Flow Measures and Risk-Adjusted Returns
Journal of Accounting, Auditing & Finance, 1986This paper compares different definitions of cash flow in terms of their incremental explanatory power over historical cost earnings by reference to changes in equity share prices. Two refined definitions of cash flow as well as a crude definition are examined. The results indicate that no improvement in association with risk-adjusted security returns
Thomas Schaefer, Michael Kennelley
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Optimal portfolio selection with maximal risk adjusted return
Applied Economics Letters, 2016ABSTRACTWe investigate the portfolio diversification problem by maximizing the risk adjusted return (RAR) of the underlying portfolio. The model in this article has two primary advantages over the original portfolio selection model with maximal RAR: (1) it considers the set of available assets containing any number of assets instead of only two assets,
Yue Wang, Zhijian Qiu, Xiaomei Qu
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The Fallacy of Maximizing Risk-Adjusted Returns
SSRN Electronic Journal, 2020Routinely, investors in managed funds or those they employ to assess managed funds, do so with certain parameters. Some of these parameters are not performance related (e.g., age of the fund, assets under management, type of fund) whereas there are almost always performance-related measures.
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RISK-ADJUSTED RETURN ON RISK-ADJUSTED CAPITAL (RARORAC)
2013Il RARORAC (Risk-adjusted Return on Risk-adjusted Capital) è un indicatore che misura l’efficienza nella creazione di valore in funzione del rischio. Appartiene alla categoria delle cosiddette Risk-adjusted Performance Metrics (RAPMs) - o misure corrette per il rischio - insieme ad altre altrettanto importanti come, ad esempio, il Return on Risk ...
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Risk - adjusted rates of return for project appraisal [PDF]
, 1989 Incorporating risk assessment into public project appraisal makes sense when project risk is significantly correlated with uncertainty about national income. It is especially important in countries that specialize in particular agricultural or resource sectors. This report presents the following conclusions: (a) risk corrections can be substantial; (b)
Dixit, Avinash, Williamson, Amy
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Second Generation VaR and Risk-Adjusted Return on Capital
The Journal of Derivatives, 2003Within a period of only a few years, value at risk has become probably the single most widely used measure of financial risk exposure. Yet, by focusing only on the probability of experiencing a loss of a given size at the VaR horizon, it tacitly assumes that a large loss occurring prior to the horizon will be ignored. But this is unrealistic.
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Examining Differences in Risk Adjusted Returns Among Farms
2021Langemeier, Michael +3 more
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