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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Ulcer Index Indicator
Background on Ulcer Index Ulcer Index (UI) is a tool for measuring investment risk that addresses maximum drawdown of an asset value, unlike the commonly used standard deviation (SD) of return. UI measures the depth and duration of drawdowns in asset prices from earlier highs. The index was developed by Peter G. Martin in 1987 […]
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 →Implied Volatility Calculator
The Black-Scholes model can be used to estimate implied volatility. Implied Volatility can be estimated using spot price, strike price, asset price, risk-free rate, time to maturity, and dividend yield. To achieve this, given an actual option value, you have to iterate to find the volatility solution. There are various techniques available; however we will use […]
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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