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Bias Ratio (finance)
The bias ratio is an indicator used in finance to analyze the returns of investment portfolios, and in performing due diligence. The bias ratio is a concrete metric that detects valuation bias or deliberate price manipulation of portfolio assets by a manager of a hedge fund, mutual fund or similar investment vehicle, without requiring disclosure (transparency) of the actual holdings. This metric measures abnormalities in the distribution of returns that indicate the presence of bias in subjective pricing. The formulation of the Bias Ratio stems from an insight into the behavior of asset managers as they address the expectations of investors with the valuation of assets that determine their performance. The bias ratio measures how far the returns from an investment portfolio – e.g. one managed by a hedge fund – are from an unbiased distribution. Thus the bias ratio of a pure equity index will usually be close to 1. However, if a fund smooths its returns using subjective pric ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Finance
Finance refers to monetary resources and to the study and Academic discipline, discipline of money, currency, assets and Liability (financial accounting), liabilities. As a subject of study, is a field of Business administration, Business Administration wich study the planning, organizing, leading, and controlling of an organization's resources to achieve its goals. Based on the scope of financial activities in financial systems, the discipline can be divided into Personal finance, personal, Corporate finance, corporate, and public finance. In these financial systems, assets are bought, sold, or traded as financial instruments, such as Currency, currencies, loans, Bond (finance), bonds, Share (finance), shares, stocks, Option (finance), options, Futures contract, futures, etc. Assets can also be banked, Investment, invested, and Insurance, insured to maximize value and minimize loss. In practice, Financial risk, risks are always present in any financial action and entities. Due ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Normal Distribution
In probability theory and statistics, a normal distribution or Gaussian distribution is a type of continuous probability distribution for a real-valued random variable. The general form of its probability density function is f(x) = \frac e^\,. The parameter is the mean or expectation of the distribution (and also its median and mode), while the parameter \sigma^2 is the variance. The standard deviation of the distribution is (sigma). A random variable with a Gaussian distribution is said to be normally distributed, and is called a normal deviate. Normal distributions are important in statistics and are often used in the natural and social sciences to represent real-valued random variables whose distributions are not known. Their importance is partly due to the central limit theorem. It states that, under some conditions, the average of many samples (observations) of a random variable with finite mean and variance is itself a random variable—whose distribution c ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Omega Ratio
The Omega ratio is a risk-return performance measure of an investment asset, portfolio, or strategy. It was devised by Con Keating and William F. Shadwick in 2002 and is defined as the probability weighted ratio of gains versus losses for some threshold return target. The ratio is an alternative for the widely used Sharpe ratio and is based on information the Sharpe ratio discards. Omega is calculated by creating a partition in the cumulative return distribution in order to create an area of losses and an area for gains relative to this threshold. The ratio is calculated as: : \Omega(\theta) = \frac, where F is the cumulative probability distribution function of the returns and \theta is the target return threshold defining what is considered a gain versus a loss. A larger ratio indicates that the asset provides more gains relative to losses for some threshold \theta and so would be preferred by an investor. When \theta is set to zero the gain-loss-ratio by Bernardo and Led ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Modern Portfolio Theory
Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk. It is a formalization and extension of Diversification (finance), diversification in investing, the idea that owning different kinds of financial assets is less risky than owning only one type. Its key insight is that an asset's risk and return should not be assessed by itself, but by how it contributes to a portfolio's overall risk and return. The variance of return (or its transformation, the standard deviation) is used as a measure of risk, because it is tractable when assets are combined into portfolios. Often, the historical variance and covariance of returns is used as a proxy for the forward-looking versions of these quantities, but other, more sophisticated methods are available. Economist Harry Markowitz introduced MPT in a 1952 paper, for which he was later awarded a Nobel Memorial ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Jensen's Alpha
In finance, Jensen's alpha (or Jensen's Performance Index, ex-post alpha) is used to determine the abnormal return of a security or portfolio of securities over the theoretical expected return. It is a version of the standard alpha based on a theoretical performance instead of a market index. The security could be any asset, such as stocks, bonds, or derivatives. The theoretical return is predicted by a market model, most commonly the capital asset pricing model (CAPM). The market model uses statistical methods to predict the appropriate risk-adjusted return of an asset. The CAPM for instance uses beta as a multiplier. History Jensen's alpha was first used as a measure in the evaluation of mutual fund managers by Michael Jensen in 1968. The CAPM return is supposed to be 'risk adjusted', which means it takes account of the relative riskiness of the asset. This is based on the concept that riskier assets should have higher expected returns than less risky assets. If an asset's ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Beta (finance)
In finance, the beta ( or market beta or beta coefficient) is a statistic that measures the expected increase or decrease of an individual stock price in proportion to movements of the stock market as a whole. Beta can be used to indicate the contribution of an individual asset to the market risk of a portfolio when it is added in small quantity. It refers to an asset's non-diversifiable risk, systematic risk, or market risk. Beta is not a measure of idiosyncratic risk. Beta is the hedge ratio of an investment with respect to the stock market. For example, to hedge out the market-risk of a stock with a market beta of 2.0, an investor would short $2,000 in the stock market for every $1,000 invested in the stock. Thus insured, movements of the overall stock market no longer influence the combined position on average. Beta measures the contribution of an individual investment to the risk of the market portfolio that was not reduced by diversification. It does not measure the r ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Public Equities
A public company is a company whose ownership is organized via shares of stock which are intended to be freely traded on a stock exchange or in over-the-counter markets. A public (publicly traded) company can be listed on a stock exchange (listed company), which facilitates the trade of shares, or not (unlisted public company). In some jurisdictions, public companies over a certain size must be listed on an exchange. In most cases, public companies are ''private'' enterprises in the ''private'' sector, and "public" emphasizes their reporting and trading on the public markets. Public companies are formed within the legal systems of particular states and so have associations and formal designations, which are distinct and separate in the polity in which they reside. In the United States, for example, a public company is usually a type of corporation, though a corporation need not be a public company. In the United Kingdom, it is usually a public limited company (PLC). In France, ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Illiquid Asset
In business, economics or investment, market liquidity is a market's feature whereby an individual or firm can quickly purchase or sell an asset without causing a drastic change in the asset's price. Liquidity involves the trade-off between the price at which an asset can be sold, and how quickly it can be sold. In a liquid market, the trade-off is mild: one can sell quickly without having to accept a significantly lower price. In a relatively illiquid market, an asset must be discounted in order to sell quickly. A liquid asset is an asset which can be converted into cash within a relatively short period of time, or cash itself, which can be considered the most liquid asset because it can be exchanged for goods and services instantly at face value. Overview A liquid asset has some or all of the following features: it can be sold rapidly, with minimal loss of value, anytime within market hours. The essential characteristic of a liquid market is that there are always ready and wil ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Ljung–Box Test
The Ljung–Box test (named for Greta M. Ljung and George E. P. Box) is a type of statistical test of whether any of a group of autocorrelations of a time series are different from zero. Instead of testing randomness at each distinct lag, it tests the "overall" randomness based on a number of lags, and is therefore a portmanteau test. This test is sometimes known as the Ljung–Box Q test, and it is closely connected to the Box–Pierce test (which is named after George E. P. Box and David A. Pierce). In fact, the Ljung–Box test statistic was described explicitly in the paper that led to the use of the Box–Pierce statistic, and from which that statistic takes its name. The Box–Pierce test statistic is a simplified version of the Ljung–Box statistic for which subsequent simulation studies have shown poor performance. The Ljung–Box test is widely applied in econometrics and other applications of time series analysis. A similar assessment can be also carried out with the ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
