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Portfolio rate of return
Yield refers to the rate of return on an investment, usually expressed as an annual percentage, calculated based on the current market price, face value, coupon rate, and time to maturity. For a company, yield refers to net profit as a percentage of the average capital employed.
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benchmark yield
The benchmark yield, also known as the benchmark discount rate, is the minimum standard return level of an acceptable investment project determined by a company or industry or investor from a dynamic point of view, that is, the choice of a specific investment opportunity or investment plan must be The expected rate of return achieved. It is the valuation of the time value of project funds by investment decision makers. The determination of the benchmark rate of return is not only limited by objective conditions, but also the subjective wishes of investors. The benchmark rate of return indicates the investment decision-maker's evaluation of the time value of project funds. It is the minimum profitability level that investment funds should obtain. It is the basis for evaluating and judging whether the investment plan is economically feasible. It is an important economic parameter.
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excess rate of return
Excess rate of return refers to the rate of return that exceeds the normal (or expected) rate of return, which is equal to the difference between the rate of return on a certain day minus the normal (expected) rate of return required by investors (or the market) for that day.
Excess rate of return is the difference between a stock's actual rate of return and its normal rate of return, where the normal rate of return is the expected rate of return if the event did not occur. Here we use the above parameter estimation period data to estimate the normal rate of return. Here we use the market model, which is expressed as: Rit = αi + βiRim + εit where Rit is the actual rate of return of stock i in period t; Rim is the market The rate of return in period t, which is represented by the Tianxiang Circulation Index; εit is the random disturbance term.
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maximum drawdown
Maximum drawdown rate: The maximum return rate when the net value of the product reaches the lowest point when it is pushed back at any historical point in the selected period. Maximum drawdown is used to describe the worst possible scenario after buying a product. Maximum drawdown is an important risk indicator, even more important than volatility for hedge fund and quantitative strategy trading.
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Volatility
Volatility is the degree of volatility of financial asset prices, a measure of the uncertainty of asset returns, and is used to reflect the risk level of financial assets. The higher the volatility, the more violent the fluctuation of financial asset prices, and the stronger the uncertainty of asset returns; the lower the volatility, the smoother the fluctuations of financial asset prices, and the stronger the certainty of asset returns.
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Alpha
The alpha coefficient is the difference between the absolute return of an investment or fund and the expected risk-return calculated by the beta coefficient. The absolute return or extra return is the actual return of the fund/investment minus the risk-free investment return (in China, the return on a 1-year bank time deposit).
Absolute returns are used to measure an investor's or fund manager's investment technique. Expected Return The product of the beta coefficient β and the market return, which reflects the return of an investment or fund due to overall market changes.
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Beta
Beta Coefficient is a tool for assessing the systematic risk of a security, which is used to measure the volatility of a security or a portfolio of investment securities relative to the overall market. Common in investment terms such as stocks and funds. The beta coefficient is a statistical concept that reflects the performance of an investment object relative to the broader market. The larger the absolute value, the greater the change in its income relative to the broader market; the smaller the absolute value, the smaller the relative change in the market. If it is negative, it shows that the direction of change is opposite to that of the broader market; when the market goes up, it falls, and when the market falls, it goes up. Since the purpose of our investment in investment funds is to obtain the services of expert financial management, in order to achieve better performance than passive investment in the broader market, this indicator can be used as a test for the ability of fund managers to reduce investment volatility risks. When calculating the beta coefficient, in addition to the performance data of the fund, there are also indicators that reflect the performance of the broader market.
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IS
Value at Risk (VaR) and Expected Loss (ES) --- Risk metrics that measure extreme losses. Investors are often more concerned about the extreme loss risk of a portfolio than the volatility of the yield. VaR and ES are commonly used indicators to measure the extreme loss risk of a portfolio. The meaning of VaR is the maximum possible loss of a portfolio in a certain period of time in the future under a certain probability level; and the meaning of ES is the average degree of loss suffered when the loss of the portfolio exceeds the VaR threshold. Since ES further considers the average loss degree in extreme cases on the basis of VaR, it can more completely measure the extreme loss risk of a portfolio.
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Sharp
The Sharpe Ratio, also known as the Sharpe Index, is a standardized indicator of fund performance evaluation. The study of Sharpe ratio in modern investment theory shows that the size of risk plays a fundamental role in determining the performance of a portfolio. The risk-adjusted rate of return is a comprehensive indicator that can consider both benefits and risks, in order to eliminate the adverse effects of risk factors on performance evaluation. The Sharpe ratio is one of the three classic indicators that can simultaneously consider both return and risk. There is a conventional feature in investment, that is, the higher the expected return of the investment target, the higher the volatility risk that investors can tolerate; conversely, the lower the expected return, the lower the volatility risk. Therefore, the main purpose of rational investors in choosing investment targets and investment portfolios is: to pursue the maximum return under a fixed risk that they can bear; or to pursue the lowest risk under a fixed expected return.
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Sortino
The Sortino Ratio is a measure of the relative performance of a portfolio. There are similarities to the Sharpe Ratio, but the Sortino ratio uses the lower standard deviation rather than the total standard deviation to distinguish between unfavorable and favorable fluctuations. Similar to the Sharpe ratio, a higher ratio indicates that a fund can earn a higher excess return by taking the same unit of downside risk. The Sortino Ratio can be seen as a modification of the Sharpe Ratio when measuring hedge funds/private funds.
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Treynor
The Treynor ratio is expressed as TR, which is the risk premium obtained per unit of risk, and is an indicator for investors to judge whether the risks taken by a fund manager in the process of managing funds are beneficial to investors. The larger the Treynor index, the higher the unit risk premium, the better the performance of the open-end fund, and the risk that the fund manager takes in the management process is beneficial to investors. On the contrary, the smaller the Treno index, the lower the unit risk premium, and the worse the performance of the open-end fund. The risk that the fund manager takes in the management process is not conducive to investors' profit.
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To calm
Calmar Ratio describes the relationship between return and maximum drawdown. Calculated as the ratio between the annualized return and the largest drawdown in history. The higher the Calmar ratio, the better the fund's performance. Conversely, the worse the fund's performance