Money Mavericks: Confessions of a Hedge Fund Manager
by Lars Kroijer · 26 Jul 2010 · 244pp · 79,044 words
-taking bonds (both corporate and government) and our equity portfolio. For the technically minded you could argue that our cash and riskless bonds constitute the risk-free rate and our different levels of allocations to that versus our riskier assets represent different points on the capital market line. For those with a desire
The End of Indexing: Six Structural Mega-Trends That Threaten Passive Investing
by Niels Jensen · 25 Mar 2018 · 205pp · 55,435 words
.4.2) and bond returns (exhibit 4.4.3). Returns were measured as excess returns over cash returns to adjust for the fact that the risk-free rate of return is vastly different across markets and time. To better understand how to read the charts, I suggest you take a closer look at
The New Depression: The Breakdown of the Paper Money Economy
by Richard Duncan · 2 Apr 2012 · 248pp · 57,419 words
. Higher interest rates on government bonds would have pushed up all the other interest rates throughout the economy since government bonds act as the benchmark “risk-free” rate. Consequently, higher interest rates would have negatively impacted most sectors of the economy. QE2 also pushed up stock prices, however. By buying $600 billion worth
Advances in Financial Machine Learning
by Marcos Lopez de Prado · 2 Feb 2018 · 571pp · 105,054 words
for the risks involved in achieving those results. 14.7.1 The Sharpe Ratio Suppose that a strategy's excess returns (in excess of the risk-free rate), {rt}t = 1, …, T, are IID Gaussian with mean μ and variance σ2. The Sharpe ratio (SR) is defined as The purpose of SR is
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TuW. Annualized average return. Average returns from hits (positive returns). Average return from misses (negative returns). Annualized SR. Information ratio, where the benchmark is the risk-free rate. PSR. DSR, where we assume there were 100 trials, and the variance of the trials’ SR was 0.5. Consider a strategy that is long
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that determines the relative transaction cost across assets. The Sharpe Ratio (Chapter 14) associated with r can be computed as (μh being net of the risk-free rate) 21.4 The Problem We would like to compute the optimal trading trajectory that solves the problem This problem attempts to compute a global dynamic
The Education of a Value Investor: My Transformative Quest for Wealth, Wisdom, and Enlightenment
by Guy Spier · 8 Sep 2014 · 240pp · 73,209 words
Fannie were great businesses. Their key asset was the implied faith, backing, and credit of the US government, which meant they could borrow at virtually risk-free rates. I looked for a firm with a similar advantage and found Farmer Mac—a tiny government-sponsored enterprise in the US farm sector. It struck
The Misbehavior of Markets: A Fractal View of Financial Turbulence
by Benoit Mandelbrot and Richard L. Hudson · 7 Mar 2006 · 364pp · 101,286 words
0). So the present equation is saying that the expected return r on security i equals the sum of two numbers. The first is the “risk-free rate” that you would expect to get from something safe like a Treasury bill. The second is Sharpe’s beta times the “market premium”—that is
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example from a popular textbook, Bodie, Kane and Marcus 2002: Assume the current stock price S0 is $100, the exercise price X is $95, the risk-free rate is 10 percent, the time to expiration T is a quarter-year, and the stock’s standard deviation is 50 percent. A calculator quickly shows
Hedgehogging
by Barton Biggs · 3 Jan 2005
premium is to ignore the fact that corporate bonds do default (unlike the U.S.Treasury). Discounting uncertain and cyclical corporate cash flows at a risk-free rate just does not make sense. During our debate, Jim Glassman said that it was different this time and emphasized the power of the new era
Finding Alphas: A Quantitative Approach to Building Trading Strategies
by Igor Tulchinsky · 30 Sep 2019 · 321pp
(CAPM) in the 1960s. According to CAPM, a stock’s expected return is the investor’s reward for the stock’s market risk: Expected return Risk-free rate Stock’s market beta * Market risk premium Since its birth, CAPM has been challenged for its restrictive assumptions and inconsistency with empirical data. The arbitrage
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that in a market with perfect competition, a stock’s expected return is a linear function of its sensitivities to multiple unspecified factors: Expected return Risk-free rate Stock’s factor beta * Factor’s risk premium CAPM and APT provided the theoretical foundation of stock return analysis and alpha evaluation. In practice, the
Walk Away
by Douglas E. French · 1 Mar 2011 · 93pp · 24,584 words
crashed, commodity markets crashed and interest rates on Treasuries and bank CDs went to virtually zero. During no time period could a person earn a risk-free rate of return higher than even the tax-advantaged rate of a 30-year mortgage. * * * CHAPTER SIX * * * Social Conscience, Fiduciary Duty and Libertarian Ethics The average
Madoff Talks: Uncovering the Untold Story Behind the Most Notorious Ponzi Scheme in History
by Jim Campbell · 26 Apr 2021 · 369pp · 107,073 words
in social change to empower girls and women in Israel and the United States. * The “Sharpe ratio” is the return earned in excess of the risk-free rate, per unit of volatility or total risk. 8 THE MADOFF FAMILY Did They Know? Bernie Madoff: “Andy and Catherine. I’m so sorry for everything
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The Ascent of Money: A Financial History of the World
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The Crisis of Crowding: Quant Copycats, Ugly Models, and the New Crash Normal
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The Big Short: Inside the Doomsday Machine
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