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Introduction
We present the formulas for the Risk Management and Investment Management segment.
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Risk Aversion
lA = IR / ( 2 yP )
Where:
IR is the Information Ratio
yP is the Portfolio’s Active Risk
Sharpe Ratio
= (Rp – Rf) / σp
Where:
Rp Portfolio Return
Rf Treasury-Bill Returns (or the Risk Free Rate)
σp Portfolio Standard Deviation of Return
Sortino Ratio
= ( Return on Portfolio – Minimum Accepted Return ) / (Standard Deviation of Returns Below Minimum Accepted Return )
Treynor Measure
= (Return on Portfolio – Risk free rate) / Portfolio Beta
Jenson’s Alpha
= Return on Portfolio – CAPM predicted Return
Information Ratio
= ( Return on Portfolio – Benchmark Return ) / Tracking Error
Information Ratio
= Information Coefficient * ( Number of Forecasts ½ )
Marginal Contribution to Value Added ( MCVA )
MCVA = an – 2 la * y * Marginal Contribution to Active Risk
MCVA = an – 2 la * y * MCAR
Summary
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