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 […]

Read More →# Category: Risk

## Conditional Value At Risk Calculator

Value At Risk Value at risk or VaR is a statistical measure of the amount of funds a investment, portfolio, or a company might expect to lose over a specified time horizon with a given probability. If you have a portfolio that is expected to lose no more than $100,000, 90% of the time (or 18 out […]

Read More →## 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 […]

Read More →## 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 […]

Read More →## Risk Adjusted Investment Performance Measures

Your portfolio can have a positive long term impact when the risk efficiency of your portfolio is maximized. Many investors tend to be risk averse. So, if you are going to assume some risk in your portfolio as a trade off for a higher return, you should aim to get the most out for your […]

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