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Financial Risk and Return Metrics

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Shaurya Kamdar
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5 views6 pages

Financial Risk and Return Metrics

Uploaded by

Shaurya Kamdar
Copyright
© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd

𝑷𝟏 − 𝑷𝟎 + 𝑫

𝑹% = × 𝟏𝟎𝟎
𝑷𝟎
∑ 𝑹𝒔
𝑬𝑹(𝑿) = 𝒐𝒓 𝑷 × 𝑹𝒔
𝒏
𝑬𝑹(𝑷) = 𝑾𝒂 × 𝑹𝒂 + 𝑾𝒃 × 𝑹𝒃 + ⋯

∑(𝑿 − 𝑿)𝟐 𝑽= 𝑷 × (𝑿 − 𝑿)𝟐


𝑽=
𝒏
𝝈 = √𝑽
𝝈
𝑪𝑽 =
𝑿

𝑪𝒐𝒗(𝑨, 𝑩) = 𝜷𝑨 × 𝜷𝑩 × 𝑽𝒎

𝑪𝒐𝒗(𝑨, 𝑩) = 𝑷 × (𝑹𝑨 − 𝑹𝑨 ) × (𝑹𝑩 − 𝑹𝑩 )

𝑪𝒐𝒗(𝑹𝒔 , 𝑹𝒎 )
𝒓𝒔𝒎 =
𝝈𝒔 × 𝝈𝒎
𝒓𝑨𝑩 = 𝒓𝑨𝑪 × 𝒓𝑩𝑪

𝑪𝒐𝒗(𝑹𝒔 , 𝑹𝒎 )
𝜷=
𝑽𝒎
𝒓𝒔𝒎 × 𝝈𝒔 × 𝝈𝒎 𝒓𝒔𝒎 × 𝝈𝒔
𝜷= 𝜷=
𝑽𝒎 𝝈𝒎
∆𝑹𝒔
𝜷=
∆𝑹𝒎
𝜷𝑷 = 𝜷𝑨 × 𝑾𝑨 + 𝜷𝑩 × 𝑾𝑩 + ⋯
𝑽𝒑 = (𝑾𝑨 × 𝝈𝑨 )𝟐 + (𝑾𝑩 × 𝝈𝑩 )𝟐
+𝟐 × 𝑾𝑨 × 𝑾𝑩 × 𝝈𝑨 × 𝝈𝑩 × 𝑪𝒐𝒓𝑨𝑩

𝑽𝒑 = (𝑾𝑨 × 𝝈𝑨 )𝟐 + (𝑾𝑩 × 𝝈𝑩 )𝟐
+𝟐 × 𝑾𝑨 × 𝑾𝑩 × 𝑪𝒐𝒗[𝑹𝑨 , 𝑹𝑩 ]
𝑽𝒑 = (𝑾𝑨 × 𝝈𝑨 )𝟐 + (𝑾𝑩 × 𝝈𝑩 )𝟐 + (𝑾𝑪 × 𝝈𝑪 )𝟐
+ 𝟐 × 𝑾𝑨 × 𝑾𝑩 × 𝝈𝑨 × 𝝈𝑩 × 𝑪𝒐𝒓𝑨𝑩
+ 𝟐 × 𝑾𝑨 × 𝑾𝑪 × 𝝈𝑨 × 𝝈𝑪 × 𝑪𝒐𝒓𝑨𝑪
+ 𝟐 × 𝑾𝑩 × 𝑾𝑪 × 𝝈𝑩 × 𝝈𝑪 × 𝑪𝒐𝒓𝑩𝑪

𝑽𝑩 − 𝑪𝒐𝒗(𝑨, 𝑩)
𝑾𝑨 =
𝑽𝑨 + 𝑽𝑩 − 𝟐𝑪𝒐𝒗(𝑨, 𝑩)

𝑽𝑩 − 𝒓𝑨𝑩 × 𝝈𝑨 × 𝝈𝑩
𝑾𝑨 =
𝑽𝑨 + 𝑽𝑩 − 𝟐𝒓𝑨𝑩 × 𝝈𝑨 × 𝝈𝑩

𝑬𝑹𝑨 = 𝜶 + 𝜷 × 𝑹𝒎

𝑬𝑹 = 𝑹𝒇 + 𝜷 × 𝑹𝒎 − 𝑹𝒇

𝒓𝒔𝒎 × 𝝈𝒔
𝑬𝑹 = 𝑹𝒇 + × 𝑹𝒎 − 𝑹𝒇
𝝈𝒎
𝝈𝒔
𝑬𝑹 = 𝑹𝒇 + × 𝑹𝒎 − 𝑹𝒇
𝝈𝒎
𝑬𝑹𝑨 = 𝜷𝑨 × 𝑹𝒎

𝑹𝑨 − 𝑹𝒇
𝑺𝒉𝒂𝒓𝒑𝒆 𝑹𝒂𝒕𝒊𝒐 =
𝝈𝑨
𝑹𝑨 − 𝑹𝒇
𝑻𝒓𝒆𝒚𝒏𝒐𝒓′𝒔 𝑹𝒂𝒕𝒊𝒐 =
𝜷𝑨
𝑱𝒆𝒏𝒔𝒆𝒏 𝒔 𝑨𝒍𝒑𝒉𝒂 = 𝑹𝑨 − 𝑹𝑭 + 𝜷 × 𝑹𝒎 − 𝑹𝒇
𝑬𝑹𝑨 = 𝑹𝒇 + 𝜷𝟏 × 𝑹𝑷𝟏 + 𝜷𝟐 × 𝑹𝑷𝟐 + ⋯ …
α β β 𝑺𝑫𝒂
(𝑹𝒎 −
𝑺𝑫𝒎
𝑹𝒂)

α = Ra – β * Rm

𝑪𝒐𝒗(𝑨, 𝑩) = 𝑷 × (𝑹𝑨 − 𝑹𝑨 ) × (𝑹𝑩 − 𝑹𝑩 )


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