Category: Risk

Modified Sharpe Ratio

How Sharp is the Sharpe-Ratio? If popularity was the only measurement for risk metrics, the Sharpe ratio would tell us everything we need to know. Modified Sharpe Ratio covers further spectrum of risks in the field of investing. Any discussion on risk-adjusted performance is incomplete without touching on the topic of Sharpe ratio or Reward to Variability which […]

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Garch Modeling in Excel and Matlab

Introduction to GARCH Modeling GARCH is a time series modeling technique that uses past variances to predict future variances. This post demonstrates how to do a simple  GARCH modeling Excel and Matlab. GARCH stands for Generalized Autoregressive Conditional Heteroskedasticity. The series is heteroskedastic when the time series is said to have GARCH effects i.e, when variances […]

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Sharpe Ratio Calculator

Sharpe ratio is a measure of risk and it is named after Nobel Laureate William F. Sharpe. The Sharpe ratio simply stated is a ratio of return vs risk. Given a set of investment choices, Sharpe ratio can help you decide which investment makes the most money. It is defined as the ratio between effective return […]

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