Guide To Investment Statistics

eVestment Guide To Investment Statistics

The eVestment Guide to Investment Statistics will assist you in gaining a better understanding of how to derive meaningful conclusions from investment statistics.


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Table of Contents

Click on any item below to jump to that section:

Introduction
1
Using Statistics to Understand Return Characteristics
2
Using Standard Deviation
2
Assessing Skewness and Kurtosis in the Return Distribution
3
Predicting Returns using Monte Carlo Simulation
4
Risk Statistics and Risk-adjusted Statistics
5
Standard Deviation
5
Sharpe Ratio
6
Sortino Ratio
7
Omega Ratio
8
Drawdown Analysis
9
Calmar Ratio
10
Sterling Ratio
10
Comparing Risk Statistics and Risk-Adjusted Statistics
11
Correlation and Regression Analysis
12
The Correlation Coefficient (R)
13
Alpha and Beta
14
The Coefficient of Determination (R2)
15
Benchmark Ratios
16
Peer Group Analysis
17
Top Quartile Performance
17
Bottom Quartile Performance
17
Manager Search Criteria
17
Composite Returns: Portfolio Construction, Optimization, Simulation
18
Portfolio Construction
18
Optimization
19
Simulation
20
Fat Tail Analysis, Risk Budgeting, Factor Analysis & Stress Testing
21
Fat Tail Analysis
21
VaR
21
The Differences between Normal VaR, Modified VaR and “Fat-Tailed” VaR
22
ETL (Expected Tail Loss)
23
ETR (Expected Tail Return)
24
STARR Performance
25
Rachev Ratio
26
Marginal Contribution to Risk (MCTR) / Marginal Contribution to Expected Tail Loss (MCETL)
27
Percentage Contribution to Risk (PCTR) / Percentage Contribution to Expected Tail Loss (PCETL)
28
Skew
29
Excess Kurtosis
30
Implied Return
31
Risk Budgeting
32
Factor Analysis & Factor Contribution to Risk
33
Stress Testing
34
Conclusion
35
 
Appendix I: Key Investment Statistics
36
Absolute Return Measures
36
Monthly Return (Arithmetic Mean)
37
Average Monthly Gain (Gain Mean)
38
Average Monthly Loss (Loss Mean)
39
Compound Monthly Return (Geometric)
40
Absolute Risk-Adjusted Return Measures
41
Sharpe Ratio
41
Calmar Ratio
42
Sterling Ratio
43
Sortino Ratio
44
Omega
45
Absolute Risk Measures
46
Monthly Standard Deviation
46
Annualized Standard Deviation
47
Gain Standard Deviation
48
Loss Standard Deviation
49
Downside Deviation
50
Skewness
51
Kurtosis
52
Maximum Drawdown
53
Gain/Loss Ratio
54
Relative Return Measures
55
Up Capture Ratio
55
Down Capture Ratio
56
Up Number Ratio
57
Down Number Ratio
58
Up Percentage Ratio (Proficiency Ratio)
59
Down Percentage Ratio (Proficiency Ratio)
60
Relative Risk-Adjusted Return Measures
61
Annualized Alpha
61
Treynor Ratio
62
Jensen Alpha
63
Information Ratio
64
Relative Risk Measure
65
Beta
65
Tail Risk Measures
66
Value at Risk
66
Modified Value at Risk
67
Expected Tail Loss
68
Modified Expected Tail Loss
69
Jarque-Bera
70
Starr Ratio
71
Rachev Ratio
72
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