How to Predict the Unpredictable
by William Poundstone · 267pp · 71,941 words
the time. It beat the market while it was in stocks and offered the safety of fixed-income investments the rest of the time. By risk-adjusted return, that’s not so bad. To top the S&P 500’s return, you need to be more selective about limit values. The historical record
Trading and Exchanges: Market Microstructure for Practitioners
by Larry Harris · 2 Jan 2003 · 1,164pp · 309,327 words
and —15 percent. For most purposes, market-adjusted returns demonstrate how well the portfolio has performed better than raw returns do. 22.2.2.2 Risk-adjusted Returns Analysts sometimes further adjust raw returns to account for the exposure of portfolios to known risks. For example, consider the exposure of a portfolio to
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computed frequently because the portfolio beta changes whenever the manager exchanges assets that have different betas. To accurately estimate risk-adjusted returns, analysts must multiply market returns by concurrent portfolio betas. Analysts who compute risk-adjusted returns often also compute market-timing returns. The market-timing return is the difference between the portfolio beta times the
Expected Returns: An Investor's Guide to Harvesting Market Rewards
by Antti Ilmanen · 4 Apr 2011 · 1,088pp · 228,743 words
OR TIME-VARYING EXPECTED RETURNS? 4.2 RATIONAL OR IRRATIONAL EXPECTATIONS FORMATION? 4.3 RETURN MEASUREMENT ISSUES 4.4. RETURNS IN WHAT CURRENCY? 4.5 RISK-ADJUSTED RETURNS 4.6 BIASED RETURNS 4.7 NOTES Chapter 5 - Rational theories on expected return determination 5.1 THE OLD WORLD 5.2 THE NEW WORLD
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assets within each asset class—high-volatility stocks, 30-year Treasuries, and CCC-rated corporates—tend to offer low long-run returns and even worse risk-adjusted returns. This surprising pattern may reflect investors’ lottery-seeking bias (overpaying for the hope of jackpot returns) as well as leverage constraints (overpaying for inherently volatile
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it goes against key evolutionary traits. 2.1 HISTORICAL PERFORMANCE SINCE 1990 Table 2.1 documents raw annualized compound average returns (nominal geometric means) and risk-adjusted returns (Sharpe ratios), as well as some risk statistics, for various investments over the period 1990–2009. The Sharpe ratio (henceforth SR) is the annualized arithmetic
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or time-varying expected returns? 4.2. Rational or irrational expectations formation? 4.3. Return measurement issues. 4.4. Returns in which currency? 4.5. Risk-adjusted returns. 4.6. Biased returns. The terminology used to describe expected returns can be confusing. For most assets, expected returns are uncertain ex ante but they
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’ performance for many non-U.S. investors, while the returns of many unhedged non-U.S. assets have been augmented by currency appreciation. 4.5 RISK-ADJUSTED RETURNS Performance evaluation of any asset, strategy, or fund is increasingly done on returns that are somehow adjusted for the average risk taken. Adjustment for volatility
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out that volatility does not distinguish between losses that occur in good or bad times or even between upside and downside surprises. Another approach to risk-adjusted returns focuses on an asset’s—or a strategy’s or a fund’s—contribution to portfolio risk as opposed to its standalone risk (a part
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is the intercept when regressing asset returns on equity market returns. More generally, alpha is the intercept of any risk factor model. Thus, alpha is risk-adjusted return where “risk” is some measure of the asset’s contribution to portfolio risk. In the past 10 to 15 years, the Fama–French three-factor
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empirical facts and some a priori reasons for HF outperformance Empirical facts. Standard reported results show that HFs have produced higher net returns and higher risk-adjusted returns than traditional equity–bond portfolios and have certainly outperformed cash, which is arguably the right benchmark for an “absolute return” manager. For example, the Hedge
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myth of HFs as absolute return products came back to haunt the industry. Even if HF managers have the skill to earn positive alpha and risk-adjusted returns, they have been able to keep much of the value-added for themselves. HF investors have continued to tolerate exceptionally high fees for several reasons
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raise its volatility. Indeed, empirical evidence is mixed on whether imposing sector neutrality boosts or reduces long-run returns, but it does seem to boost risk-adjusted returns. Tactically, it may be worthwhile to remove sector neutrality when valuations across industry sectors are highly dispersed. There are no correct answers to any of
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1953–1982. Other sources also document positive carry returns for the post-Bretton Woods period before 1983. Over all these windows, currency carry provides better risk-adjusted returns than static asset class premia in equities or fixed income. Figure 13.3. Average excess returns of G10 carry-ranked single-currency portfolios, 1983–2009
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excluding them biases the result downward by excluding EMU convergence trades, which—with hindsight—were profitable.) Diversification. Some diversification across carry pairs tends to improve risk-adjusted returns and certainly protects against catastrophic hyperinflation and/or a default event in one country. This is why we use a buy-three, sell-three basket
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had both risk premium and peso problem elements. A few years ago, academics began to re-explore the puzzling success of currency carry strategies; their risk-adjusted returns appeared better than those that motivated the literature on the equity premium puzzle and the value puzzle. Trading costs and market frictions were among the
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of systematic risk to diversifiable risk. Finally, diversification helps—most of the time. Implementing carry style strategies in many different markets improves diversification and therefore risk-adjusted returns, though perhaps not as much as in the past. Correlation and skewness due to technical (“positioning”) factors may arise when many multi-strategy investors apply
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, not just commodities. However, reversal patterns sometimes dominate when shorter or longer windows are used (notably, in stock selection). • Trend following with many assets boosts risk-adjusted returns, and combining momentum with value, carry, or risky asset strategies improves diversification further. 14.1 INTRODUCTION Besides value and carry strategies, momentum or trend is
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of positions also reduces nominal position sizes when recent overall volatility is higher. Such volatility stabilization and/or targeting over time appears to mildly enhance risk-adjusted returns. • An extreme form of volatility weighting is to stop trend following after high recent volatility. Yet another approach is to let the specifics of the
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of episodes when liquidity and other premia widen out, while recognizing that nobody can be a perfect market-timer. 18.5 NOTE [1] Illiquid assets’ risk-adjusted returns are especially misleading because these assets not only warrant some compensation for their illiquidity (a “risk cost” that is neither deducted from the return in
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long-run returns than levering up lower volatility assets. Even across asset classes, investors can reduce portfolio volatility by smart diversification and then convert improved risk-adjusted returns into higher raw returns by applying moderate leverage. • Horizon. Investors with a long time horizon can exploit it by over-allocating to illiquid asset classes
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problem with institutional portfolios, namely concentrated equity market risk. Portfolio rebalancing, volatility targeting, and smart diversification are other ways to reduce portfolio risk and improve risk-adjusted returns (see Sections 28.2.2–28.2.4). 28.1.2 Exploiting a long horizon Investors with a long horizon do not need short-term
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construction except for their mechanical impact on expected returns. Risk reduction through diversification is famously the one free lunch that markets offer, but it improves risk-adjusted returns rather than raw returns. However, Sections 28.2.1 and 28.2.2 show how diversification can boost portfolio returns, almost magically, through leverage or
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that markets do not treat all volatility as equal, a theme closely related to the shortcomings of the Sharpe ratio, the most common measure of risk-adjusted returns. Section 28.2.4 briefly reviews smart diversification or portfolio construction methods for efficient risk reduction. 28.2.1 Monetized risk reduction via leverage Many
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% of the risk budget (portfolio volatility) coming from the equity component. Such concentrated risk taking is inefficient; a more balanced risk budget would give higher risk-adjusted returns. One way to improve the portfolio’s SR is to lever up the bond component to a volatility level similar to that of the equity
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higher portfolio SR into a higher portfolio return:• Investors who do not seek high raw returns do not need leverage. They benefit directly from better risk-adjusted returns (lower return but much lower volatility). • Many relatively risk-tolerant long-horizon investors want high returns; yet they may dislike leverage even more than portfolio
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’s market directionality. Assigning equal volatilities to an active portfolio’s risk sources or constructing a minimum variance portfolio tends to improve diversification and thereby risk-adjusted returns. Targeting volatility over time seems to help stabilize risk (reduce the volatility of volatility) and even enhance performance because higher near-term volatility does not
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enhance long-run returns by monetizing the diversification benefits of better balanced, less equity-centric portfolios. Low-volatility asset classes tend to improve diversification and risk-adjusted returns. These improvements can be converted into higher expected returns by applying moderate leverage. Yet many real-money investors reject the use of leverage and instead
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balanced portfolios diversify better—notwithstanding the 2008 experience. However, balanced risk budgets often require leverage to achieve high returns, while unlevered diversification “only” achieves high risk-adjusted returns (i.e., low returns but with even lower volatility). If correlations spike, the well-diversified but levered portfolio may underperform an equity-centric unlevered portfolio
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carry strategies Consumption CAPM covariance with “bad times” disagreement models ERP Intertemporal CAPM liquidity-adjusted market frictions market price equation multiple risk factors risk factors risk-adjusted returns risk-based models skewness stock—bond correlation supply—demand volatility Capital Ideas (Bernstein) capitalism capitalization (cap) rate CAPM see Capital Asset Pricing Model carry strategies
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equity premium puzzle equity value strategies hedge funds neglected risks PE funds portfolios skewness systematic risk tactical forecasting volatility see also reward—risk; tail risks risk-adjusted returns risk aversion risk-based models risk factors characteristics choice of factors combining factors covariances diversification four factors growth inflation liquidity multi-factor model perspectives on
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taxes term structure BRP commodities models terminology biased returns BRP constant expected returns CRP currency of returns ERP irrational expectations measurement of returns rational expectations risk-adjusted returns time-varying expected returns theory of storage timber time and retail investors time diversification time series time varying betas expected returns growth premium illiquidity premium
Extreme Money: Masters of the Universe and the Cult of Risk
by Satyajit Das · 14 Oct 2011 · 741pp · 179,454 words
follow the familiar bell-shaped normal distribution. Risk models grossly underestimate tail risk, exposure to large price moves. Traders arb internal risk metrics to inflate risk-adjusted returns to increase bonuses. Real hedge fund risks—correlation, liquidity, complexity, and model risk—are not measured properly. If the portfolio of long and short positions
Mastering Private Equity
by Zeisberger, Claudia,Prahl, Michael,White, Bowen, Michael Prahl and Bowen White · 15 Jun 2017
plan appears supported by other valuation methodologies. At this price, using the proposed funding structure, the returns are at the lower end of your acceptable risk adjusted returns. You have submitted your preliminary bid. The vendors’ advisers have indicated that you have just got into the next round of the auction but your
The New Science of Asset Allocation: Risk Management in a Multi-Asset World
by Thomas Schneeweis, Garry B. Crowder and Hossein Kazemi · 8 Mar 2010 · 317pp · 106,130 words
200 202 203 206 206 208 210 212 213 214 viii CONTENTS Historical Security and Index Performance Provides a Simple Means to Forecast Future Excess Risk-Adjusted Returns Recent Manager Fund Return Performance Provides the Best Forecast of Future Return Superior Managers or Superior Investment Ideas Do Not Exist Performance Analytics Provide a
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Returns EXHIBIT 3.4 Return Convexity factors or from the selection of assets with nonlinear payoffs relative to the market in order to deliver improved risk-adjusted returns. In its advantageous form, this dynamic exposure is hypothesized to take the form of increased factor exposure during periods when market factors deliver positive returns
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factors, either from dynamic allocation of exposure to market factors or from the selection of assets with nonlinear payoffs relative to market, may deliver improved risk-adjusted returns. NOTES 1. There is extensive literature on Sharpe Ratios and alternative relative risk comparison measures (e.g., the Jensen and the Treynor indices). See Bodie
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a portfolio which meets an investor’s investment goals through time comes from actively monitoring and managing the risk of the portfolio. The concept of risk-adjusted returns is not easy to explain because there is no consensus on how the “true” risk of a portfolio should be measured and because, as was
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. Bache Commodity Index (BCI): The primary objective of the BCI is to provide broad-based exposure to global commodity markets, with low turnover and strong risk-adjusted returns resulting from multiple return factors. The BCI employs a dynamic asset allocation strategy based on the price momentum of individual commodity markets. This approach to
Beyond the Random Walk: A Guide to Stock Market Anomalies and Low Risk Investing
by Vijay Singal · 15 Jun 2004 · 369pp · 128,349 words
for the next two to three years and no significant changes take place in how the market reacts to these deletions, then you will earn risk-adjusted returns that are larger than the normal return. However, an unsuccessful run of any mispricing can cost the investor a significant loss of capital. POSITIVE ABNORMAL
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trading strategies are clearly riskier than holding a 91 92 Beyond the Random Walk broader market portfolio. The Sharpe ratio is used to compare the risk-adjusted returns.3 Sharpe ratios are reported below based on annual returns for the best-case scenarios, an average return of 4 percent for short-term Treasury
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limited capacity and risk-taking ability of the arbitrageurs. Arbitrageurs have limited access to capital and would like to take positions that generate the highest risk-adjusted returns. As more and more arbitrage capital enters the market, the abnormal returns are reduced. Why can’t enough capital be available to arbitrageurs so that
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to transaction costs, risk of arbitrage, and limited capacity. The most important factor is limited capacity of arbitrageurs. Since capital must find the highest available risk-adjusted returns, arbitrageurs may only have restricted access to capital. Merger activity in 2000 was in excess of 10 percent of the entire market capitalization—clearly, such
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.5 percent with a standard deviation of 10.7 percent and a Sharpe ratio of 1.07. The excess return is impressive, as is the risk-adjusted return as measured by the Sharpe ratio. Overall, implementation of the trading strategy reveals annual excess returns of 9.3 percent and 11.5 percent. The
Trading Risk: Enhanced Profitability Through Risk Control
by Kenneth L. Grant · 1 Sep 2004
this early stage of the discussion, I will introduce only one more concept for your consideration: the use of standard deviation in the calculation of risk-adjusted return. Specifically, it is common practice for portfolio managers and allocators of capital to express returns as units of volatility, with volatility being measured by the
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historical returns as a proxy for future exposures. For these reasons, and a number of others, although the Sharpe Ratio remains an important benchmark for risk-adjusted return, it is best 68 TRADING RISK used in conjunction with analytics that don’t rely on standard deviations as their exclusive measure for risk, such
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identification of the frameworks that are most maximally organized for market success. From a capital allocation perspective, correlation analysis is a critical tool in managing risk-adjusted return, as portfolio theory has long recognized the benefits of diversification in generating stable returns. In order to achieve such diversification, those in the business of
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process, it is easy to see how a two-sided market orientation, with one side serving largely as instruments of risk control, could offer better risk-adjusted returns than one that focused exclusively on either longs or shorts. Moreover, in these circumstances, it would be logical (and perhaps even in some cases desirable
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ability to identify optimal opportunities and to seize on them through activity in your portfolio. However, as long as your account performs well from a risk-adjusted return perspective, you shouldn’t be too troubled if your returns are negatively correlated to measures of volatility because, among other things, this may simply reflect
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be nearly impossible for any account to be profitable; and (2) at higher levels, you can be increasingly confident of your ability to generate sufficient risk-adjusted returns to increase your exposures toward the maximum levels supportable by the working capital you have at your disposal. The performance ratio also synthesizes all portfolio
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of discovery that has led you to your happy state of affairs. Therefore, I urge you to avoid underestimating the challenges associated with generating superior risk-adjusted returns in the future, even if you have done so consistently in the past. I know many traders who thought, with some justification, that they had
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level, 107–108 Return, defined, 65–66. See also specific types of returns Return over Maximum Drawdown (ROMAD), 71–72 Revenue stream, importance of, 110 Risk-adjusted returns, 10–11, 67, 93, 112, 122, 139, 141–142, 174, 230, 243 Risk aversion, 21 Risk capital, 12–15, 27, 29, 79, 152–153, 227
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by Abraham Okusanya · 5 Mar 2018 · 130pp · 32,279 words
returns (ie beta), so a retiree should be able to improve SWR by achieving higher risk-adjusted returns (ie alpha). Alpha has the opposite effect that fees and charges have on sustainable withdrawal rate. A 1% improvement in risk-adjusted return over and above an index-based portfolio, results in a 0.5% improvement in withdrawal
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by Carol Alexander · 2 Jan 2007 · 320pp · 33,385 words
lines. Even the performance of a trader, just like the performance of a portfolio or of a product line, can be compared in terms of risk-adjusted returns. In mathematical terms these problems are all equivalent. In this chapter we consider the allocation problem from the perspective of an asset manager, but the
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