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V2 Ratio
The V2 ratio (V2R) is a measure of excess return per unit of exposure to loss of an investment asset, portfolio or strategy, compared to a given benchmark. The goal of the V2 ratio is to improve on existing and popular measures of risk-adjusted return, such as the Sharpe ratio, information ratio or Sterling ratio by taking into account the psychological impact of investment performances. The V2 ratio over-penalizes investments for which the investors had to go through bad returns comparatively to the market. The V2R is calculated as: V^2_R = \frac where V_i is the ratio between the investment and the benchmark values at time i (and V_0,V_n the initial and final values respectively), V_i^p the peak value ratio reached at time i, n the number of periods and P the number of identical periods in a year. History The V2 ratio was created by Emmanuel Marot of quantitative trading company Zenvestment (previously 'Valu Valu', hence the 'V2' in the V2 Ratio) and first published in 20 ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Asset
In financial accounting, an asset is any resource owned or controlled by a business or an economic entity. It is anything (tangible or intangible) that can be used to produce positive economic value. Assets represent value of ownership that can be converted into cash (although cash itself is also considered an asset). The balance sheet of a firm records the monetaryThere are different methods of assessing the monetary value of the assets recorded on the Balance Sheet. In some cases, the ''Historical Cost'' is used; such that the value of the asset when it was bought in the past is used as the monetary value. In other instances, the present fair market value of the asset is used to determine the value shown on the balance sheet. value of the assets owned by that firm. It covers money and other valuables belonging to an individual or to a business. ''Total assets'' can also be called the ''balance sheet total''. Assets can be grouped into two major classes: Tangible property, tangib ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
S&P 500
The Standard and Poor's 500, or simply the S&P 500, is a stock market index tracking the stock performance of 500 leading companies listed on stock exchanges in the United States. It is one of the most commonly followed equity indices and includes approximately 80% of the total market capitalization of U.S. public companies, with an aggregate market cap of more than $49.8 trillion as of March 31, 2025. The S&P 500 index is a Free-float weighted/ capitalization-weighted index. As of April 2025, the ten largest companies on the list of S&P 500 companies accounted for approximately 35% of the market capitalization of the index and were, in order of highest to lowest weighting: Apple (6.4%), Microsoft (6.2%), Nvidia (6.0%), Amazon.com (3.8%), Alphabet (3.6%, including both class A & C shares), Meta Platforms (2.7%), Berkshire Hathaway (2.0%), Broadcom (1.8%), Tesla (1.6%), and JPMorgan Chase (1.4%). The components that have increased their dividends in 25 consecutive ye ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Treynor Ratio
In finance, the Treynor reward-to-volatility model (sometimes called the reward-to-volatility ratio or Treynor measure), named after American economist Jack L. Treynor, is a measurement of the returns earned in excess of that which could have been earned on an investment that has no risk that can be diversified (e.g., Treasury bills or a completely diversified portfolio), per unit of market risk assumed. The Treynor ratio relates excess return over the risk-free rate to the additional risk taken; however, systematic risk is used instead of total risk. The higher the Treynor ratio, the better the performance of the portfolio under analysis. Formula :T = \frac where: :T \equiv Treynor ratio, :r_i \equiv portfolio ''is return, :r_f \equiv risk free rate :\beta_i \equiv portfolio ''is beta Example Taking the equation detailed above, let us assume that the expected portfolio return is 20%, the risk free rate is 5%, and the beta of the portfolio is 1.5. Substituting ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Sortino Ratio
The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk. Definition The ratio S is calculated as : S = \frac , where R is the asset or portfolio average realized return, T is the target or required rate of return for the investment st ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Omega Ratio
The Omega ratio is a risk-return performance measure of an investment asset, portfolio, or strategy. It was devised by Con Keating and William F. Shadwick in 2002 and is defined as the probability weighted ratio of gains versus losses for some threshold return target. The ratio is an alternative for the widely used Sharpe ratio and is based on information the Sharpe ratio discards. Omega is calculated by creating a partition in the cumulative return distribution in order to create an area of losses and an area for gains relative to this threshold. The ratio is calculated as: : \Omega(\theta) = \frac, where F is the cumulative probability distribution function of the returns and \theta is the target return threshold defining what is considered a gain versus a loss. A larger ratio indicates that the asset provides more gains relative to losses for some threshold \theta and so would be preferred by an investor. When \theta is set to zero the gain-loss-ratio by Bernardo and Led ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Root Mean Square
In mathematics, the root mean square (abbrev. RMS, or rms) of a set of values is the square root of the set's mean square. Given a set x_i, its RMS is denoted as either x_\mathrm or \mathrm_x. The RMS is also known as the quadratic mean (denoted M_2), a special case of the generalized mean. The RMS of a continuous function is denoted f_\mathrm and can be defined in terms of an integral of the square of the function. In estimation theory, the root-mean-square deviation of an estimator measures how far the estimator strays from the data. Definition The RMS value of a set of values (or a continuous-time waveform) is the square root of the arithmetic mean of the squares of the values, or the square of the function that defines the continuous waveform. In the case of a set of ''n'' values \, the RMS is : x_\text = \sqrt. The corresponding formula for a continuous function (or waveform) ''f''(''t'') defined over the interval T_1 \le t \le T_2 is : f_\text = \sqrt , and the R ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Ulcer Index
The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book ''The Investors Guide to Fidelity Funds''. It is a measure of downwards volatility, the amount of drawdown or retracement over a period. Other volatility measures like standard deviation treat up and down movement equally, but most market traders are long and so welcome upward movement in prices. It is the downside that causes stress and the stomach ulcers that the index's name suggests. (The name predates the discovery that most gastric ulcers are caused by a bacterium rather than stress.) The term ''ulcer index'' has also been used (later) by Steve Shellans, editor and publisher of MoniResearch Newsletter for a different calculation, also based on the ulcer-causing potential of drawdowns. Shellans' index is not described in this article. Calculation The index is based on a given past period of days. W ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Drawdown (economics)
The drawdown is the measure of the decline from a historical peak in some variable (typically the cumulative profit or total open equity of a financial trading strategy). Somewhat more formally, if X(t), \; t \ge 0 is a stochastic process with X(0) = 0, the drawdown at time T, denoted D(T), is defined as: D(T) = \max_X(t)-X(T) The average drawdown (AvDD) up to time T is the time average of drawdowns that have occurred up to time T:\operatorname(T) = \int_0^T D(t) \, dtThe maximum drawdown (MDD) up to time T is the maximum of the drawdown over the history of the variable. More formally, the MDD is defined as: \operatorname(T)=\max_D(\tau)=\max_\left max_ X(t)- X(\tau) \right/math> Pseudocode The following pseudocode computes the Drawdown ("DD") and Max Drawdown ("MDD") of the variable "NAV", the Net Asset Value of an investment. Drawdown and Max Drawdown are calculated as percentages: MDD = 0 peak = -99999 for i = 1 to N step 1 do # peak will be the maximum value seen so fa ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Dow Jones Industrial Average
The Dow Jones Industrial Average (DJIA), Dow Jones, or simply the Dow (), is a stock market index of 30 prominent companies listed on stock exchanges in the United States. The DJIA is one of the oldest and most commonly followed equity indices. It is Price-weighted index, price-weighted, unlike other common indexes such as the Nasdaq Composite or S&P 500, which use Capitalization-weighted index, market capitalization. The DJIA also contains fewer stocks, which could exhibit higher risk; however, it could be less volatile when the market is rapidly rising or falling due to its components being well-established large-cap companies. The value of the index can also be calculated as the sum of the stock prices of the companies included in the index, divided by a factor, which is approximately 0.163 . The factor is changed whenever a constituent company undergoes a stock split so that the value of the index is unaffected by the stock split. First calculated on May 26, 1896, the ind ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Anchoring
An anchor is a device, normally made of metal, used to secure a Watercraft, vessel to the Seabed, bed of a body of water to prevent the craft from drifting due to Leeway, wind or Ocean current, current. The word derives from Latin ', which itself comes from the Greek language, Greek (). Anchors can either be temporary or permanent. Permanent anchors are used in the creation of a mooring (watercraft)#Permanent anchor mooring, mooring, and are rarely moved; a specialist service is normally needed to move or maintain them. Vessels carry one or more temporary anchors, which may be of different designs and weights. A sea anchor is a drag device, not in contact with the seabed, used to minimize drift of a vessel relative to the water. A drogue is a drag device used to slow or help steer a vessel Point of sail, running before a storm in a following or overtaking sea, or when crossing a bar in a breaking sea. Anchoring Anchors achieve holding power either by "hooking" i ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Financial Portfolio
In finance, a portfolio is a collection of investments. Definition The term "portfolio" refers to any combination of financial assets such as stocks, bonds and cash. Portfolios may be held by individual investors or managed by financial professionals, hedge funds, banks and other financial institutions. It is a generally accepted principle that a portfolio is designed according to the investor's risk tolerance, time frame and investment objectives. The monetary value of each asset may influence the risk/reward ratio of the portfolio. When determining asset allocation, the aim is to maximise the expected return and minimise the risk. This is an example of a multi-objective optimization problem: many efficient solutions are available and the preferred solution must be selected by considering a tradeoff between risk and return. In particular, a portfolio A is dominated by another portfolio A' if A' has a greater expected gain and a lesser risk than A. If no portfolio dominates A, ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
