Investors, whether beginner or seasoned professionals, all have a threshold for risk. Some prefer to play it safe and favor a low-risk investment plan while others are more advantageous with a “high ...

Last week, we received some excellent feedback in response to Monday’s article on calculating a stock’s beta. So today, I’m going to take this little-known metric one step further by showing you how ...

The Treynor Ratio is an easy-to-calculate ratio that measures portfolio performance on a risk-adjusted basis. Investors and academics have long sought for a way to compare the performance of ...

Construct a zero-beta portfolio of major currency ETFs with regard to the Euro. Create a baseline CEFD sentiment indicator. How to calculate a 5-year beta and correlation matrix. Using Excel data ...

This article originally appeared in the fall 2019 issue of Morningstar Magazine. To learn more about Morningstar Magazine, please visit our corporate website. The Capital Asset Pricing Model is one of ...

During the financial crisis of 2008, institutional investors discovered to their horror that many of the assets in their portfolios were far more correlated than they had thought. Since then a search ...

Performance measures must align with portfolio use and features. Avoid Sharpe and similar ratios due to flaws; consider alternatives like trimmed alpha, median returns, and value at risk. CAGR is ...

Investors and academics have long sought for a way to compare the performance of portfolios on a risk-adjusted basis. If you can adjust for risk, you can directly compare the performance of portfolios ...