## Time-Weighted Return (formula)

V1 = Ending Value of Portfolio V0 = Initial Value of Portfolio CF = Net External Cashflow ∑(CFi * ωi) = Sum of cashflow multiplied by its weight Advertisements

- Follow:
- RSS

March 22, 2018

V1 = Ending Value of Portfolio V0 = Initial Value of Portfolio CF = Net External Cashflow ∑(CFi * ωi) = Sum of cashflow multiplied by its weight Advertisements

Constant Mix Buy & Hold CPPI Market Condition Up Underperform Outperform Outperform Flat (oscillating) Outperform Neutral Underperform Down Underperform Outperform Outperform Investment Implications Payoff Curve Concave Linear Convex Portfolio Insurance Selling Insurance None Buying Insurance Multiplier 0 < m < 1 m = 1 m > 1

February 17, 2018

Is simply the average return in a given year that a portfolio generates, expressed as a percentage of the largest difference between a high-water point and a subsequent low aka the maximum drawdown.

February 17, 2018

The expected return on an investment divided by a measure of capital at risk.

February 12, 2018

Positive skewness and low kurtosis

February 12, 2018

The ratio of mean return in a given time period divided by the volatility as measured by standard deviation.

February 5, 2018

Pros Cons Characterizes entire portfolio Facilitates comparisons of portfolios Aggregates the effect of the investment process Different models usually give broadly similar results Clear theoretical basis Requires minimal information Can be executed quickly Cost effective May be ineffective in characterizing current style Error in specifying indexes in the model may lead to inaccurate conclusions

Ua = Ra – λaσa^2 Ua = expected utility of the active return of the manager mix Ra = expected active return of the manager mix λa = the investor’s trade-off between active risk and active return; risk aversion in active terms σa^2 = variance of the active return

February 1, 2018

XR ≈ (s * t) – (Δs * SD) – (t * p * L) s = spread at the beginning of the holding period t = holding period in fractions of years Δs = change in credit spread during the period SD = spread duration of the bond p = annualized probability of default L […]

February 1, 2018

XR ≈ (s * t) – (Δs * SD) s = spread at the beginning of the holding period t = holding period in fractions of years Δs = change in credit spread during the period SD = spread duration of the bond