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Post-modern Portfolio Theory
Simply stated, post-modern portfolio theory (PMPT) is an extension of the traditional modern portfolio theory (MPT) of Markowitz and Sharpe. Both theories provide analytical methods for rational investors to use diversification to optimize their investment portfolios. The essential difference between PMPT and MPT is that PMPT emphasizes the return that ''must'' be earned on an investment in order to meet future, specified obligations, MPT is concerned only with the absolute return vis-a-vis the risk-free rate. History The earliest published literature under the PMPT rubric was published by the principals of software developer Investment Technologies, LLC, Brian M. Rom and Kathleen W. Ferguson, in the Winter, 1993 and Fall, 1994 editions of ''The Journal of Investing.'' However, while the software tools resulting from the application of PMPT were innovations for practitioners, many of the ideas and concepts embodied in these applications had long and distinguished provenance in acad ... [...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] |
Standard Deviation
In statistics, the standard deviation is a measure of the amount of variation of the values of a variable about its Expected value, mean. A low standard Deviation (statistics), deviation indicates that the values tend to be close to the mean (also called the expected value) of the set, while a high standard deviation indicates that the values are spread out over a wider range. The standard deviation is commonly used in the determination of what constitutes an outlier and what does not. Standard deviation may be abbreviated SD or std dev, and is most commonly represented in mathematical texts and equations by the lowercase Greek alphabet, Greek letter Sigma, σ (sigma), for the population standard deviation, or the Latin script, Latin letter ''s'', for the sample standard deviation. The standard deviation of a random variable, Sample (statistics), sample, statistical population, data set, or probability distribution is the square root of its variance. (For a finite population, v ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Brinson Partners
Brinson Partners (later known as UBS Brinson) was an asset management firm focused on providing access for U.S. institutions to global markets. The firm was founded by noted investor Gary P. Brinson in the 1980s and established as an independent firm in 1989. Brinson was acquired by Swiss Bank Corporation in 1994 and became the core of the Swiss bank's asset management business in the U.S. The firm was headquartered in Chicago, Illinois and Swiss Bank Corporation's successor, UBS still maintains a significant asset management business there with former executives of Brinson Partners. History Early history at First Chicago Gary P. Brinson joined the trust department of First National Bank of Chicago as chief investment officer in 1979. By 1981, Brinson had assembled the team that would become First Chicago Advisors and later Brinson Partners. First Chicago Advisors became a separate money management company in 1983. Through the 1980s, Brinson established himself as a pioneer in ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Australian Journal Of Management
The Australian Journal of Management is a triannual peer-reviewed academic journal that covers research in accounting, applied economics, finance, industrial relations, political science, psychology, statistics, and other disciplines in relation to their application to management. The journal was established in 1976 and is published by SAGE Publications in association with the Australian School of Business. The editor-in-chief is Andrew Jackson (University of New South Wales). The founding editor was Ray J. Ball. Abstracting and indexing The journal is abstracted and indexed in Scopus, the International Bibliography of the Social Sciences, and the Social Sciences Citation Index. According to the ''Journal Citation Reports'', the journal has a 2022 impact factor The impact factor (IF) or journal impact factor (JIF) of an academic journal is a type of journal ranking. Journals with higher impact factor values are considered more prestigious or important within their field. T ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Queensland University Of Technology
The Queensland University of Technology (QUT) is a public university, public research university located in the city of Brisbane in Queensland, Australia. It has two major campuses, a modern city campus in Gardens Point, Brisbane, Gardens Point and a historical campus in Kelvin Grove, Queensland, Kelvin Grove. The university offers courses in fields including architecture, engineering, information technology, healthcare, teaching, law, arts and design, science and mathematics. QUT operated as the Queensland Institute of Technology (QIT'')'' established in 1965 receiving university status by act of Parliament of Queensland in 1988. Queensland University of Technology commenced operations the following year in January 1989. The Brisbane College of Advanced Education, an amalgamation of tertiary colleges dating back to 1849, merged with QUT expanding to its Kelvin Grove site in 1990. In 2022, QUT enrolled 50,216 students, including 37,860 undergraduate and 11,760 postgraduate stud ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
S&P 500
The Standard and Poor's 500, or simply the S&P 500, is a stock market index tracking the stock performance of 500 leading companies listed on stock exchanges in the United States. It is one of the most commonly followed equity indices and includes approximately 80% of the total market capitalization of U.S. public companies, with an aggregate market cap of more than $49.8 trillion as of March 31, 2025. The S&P 500 index is a Free-float weighted/ capitalization-weighted index. As of April 2025, the ten largest companies on the list of S&P 500 companies accounted for approximately 35% of the market capitalization of the index and were, in order of highest to lowest weighting: Apple (6.4%), Microsoft (6.2%), Nvidia (6.0%), Amazon.com (3.8%), Alphabet (3.6%, including both class A & C shares), Meta Platforms (2.7%), Berkshire Hathaway (2.0%), Broadcom (1.8%), Tesla (1.6%), and JPMorgan Chase (1.4%). The components that have increased their dividends in 25 consecutive ye ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Russell 2000
The Russell 2000 Index is a small-cap U.S. stock market index that makes up the smallest 2,000 stocks in the Russell Index. It was started by the Frank Russell Company in 1984. The index is maintained by FTSE Russell, a subsidiary of the London Stock Exchange Group (LSEG). Overview The Russell 2000 is by far the most common benchmark for mutual funds that identify themselves as "small-cap", while the S&P 500 index is used primarily for large capitalization stocks. It is the most widely quoted measure of the overall performance of small-cap to mid-cap company shares. It is commonly considered an indicator of the U.S. economy due to its focus on small-cap companies in the U.S. market. The index represents approximately 7% of the total market capitalization of the Russell 3000 Index. , the weighted average market capitalization of a company in the index is approximately $3.65 billion and the median market capitalization is approximately $0.99 billion. The market cap ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
MSCI EAFE
The MSCI EAFE Index is a stock market index that is designed to measure the equity market performance of developed markets outside of the U.S. & Canada. It is maintained by MSCI Inc., a provider of investment decision support tools; the EAFE acronym stands for Europe, Australasia and Far East. The index is market-capitalization weighted (meaning that the weight of securities is based on their respective market capitalizations). It first ranks each stock in the investable universe from largest to smallest by market capitalization. The largest 70% will compose the MSCI EAFE Large Cap (new index), the largest 85% will compose the MSCI EAFE Standard, and the largest 99% will compose the MSCI Investable Market index (IMI). The 71st to 85th percentiles represent the MSCI EAFE Mid Cap, and the 85th to 99th percentiles represent the MSCI EAFE Small Cap. The index includes a selection of stocks from 21 developed markets, but excludes those from the U.S. and Canada. The index has been ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Barclays Capital Aggregate Bond Index
The Bloomberg US Aggregate Bond Index, or the Agg, is a broad base, market capitalization-weighted bond market index representing intermediate term investment grade bonds traded in the United States. Investors frequently use the index as a stand-in for measuring the performance of the US bond market. In addition to investment grade corporate debt, the index tracks government debt, mortgage-backed securities (MBS) and asset-backed securities (ABS) to simulate the universe of investable bonds that meet certain criteria. In order to be included in the Agg, bonds must be of investment grade, have an outstanding par value of at least $100 million and have at least one year until maturity. Index funds and exchange-traded funds are available that track this bond index. The index has been maintained by Bloomberg L.P. since August 24, 2016. Prior to then it was known as the Barclays Capital Aggregate Bond Index and was maintained by Barclays. Prior to November 3, 2008 it was known as th ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
United States Treasury Security
United States Treasury securities, also called Treasuries or Treasurys, are government bond, government debt instruments issued by the United States Department of the Treasury to finance government spending as a supplement to taxation. Since 2012, the U.S. government debt has been managed by the Bureau of the Fiscal Service, succeeding the Bureau of the Public Debt. There are four types of marketable Treasury securities: #Treasury bill, Treasury bills, #Treasury note, Treasury notes, #Treasury bond, Treasury bonds, and #TIPS, Treasury Inflation Protected Securities (TIPS). The government sells these securities in auctions conducted by the Federal Reserve Bank of New York, after which they can be traded in secondary markets. Non-marketable securities include savings bonds, issued to individuals; the State and Local Government Series (SLGS), purchaseable only with the proceeds of state and municipal bond sales; and the Government Account Series, purchased by units of the feder ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Sharpe Ratio
In finance, the Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) measures the performance of an investment such as a security or portfolio compared to a risk-free asset, after adjusting for its risk. It is defined as the difference between the returns of the investment and the risk-free return, divided by the standard deviation of the investment returns. It represents the additional amount of return that an investor receives per unit of increase in risk. It was named after William F. Sharpe, who developed it in 1966. Definition Since its revision by the original author, William Sharpe, in 1994, the '' ex-ante'' Sharpe ratio is defined as: : S_a = \frac = \frac, where R_a is the asset return, R_b is the risk-free return (such as a U.S. Treasury security). E _a-R_b/math> is the expected value of the excess of the asset return over the benchmark return, and is the standard deviation of the asset excess return. The t-sta ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Sortino Ratio
The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk. Definition The ratio S is calculated as : S = \frac , where R is the asset or portfolio average realized return, T is the target or required rate of return for the investment st ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
