corr=1 means perfect positive corr, but doesn't tell us whether a 1 unit increase in X causes a 0.001 or 1000 units increase in Y.

When we compare returns of a fund or stock vs a stock index, we are interested in the relative size of change or "magnifying

effect". Beta helps here.

A "normal" beta close to 1.0 means when mkt grows[1] 5%, then ibm also grows about 5%. Note this growth is fast-changing. All prices

are volatile. As shown in other posts on beta, many other CAPM variables are not volatile, but could be slow-changing.

[1] assumeing low risk-free rate, so excess return and "return" are practically no-different.

A large beta like 1.5 is more volatile. A "magnifier" stock such as tech stocks. A 5% drop in the index is likely to see a 7.5% drop

in this asset.

Beta < 1 means a "stable" stock that moves in-sync with the market but at very low magnitude.

Negative beta means short positions or something else.

---

A negative Sharpe ratio indicates your fund underperforms risk-less asset (like a gov bond in your fund's currency). The denominator

(std of the fund return), be it large or small, isn't responsible for this negativity.

---

Treynor Ratio is negative if

case1: if beta is positive, then fund underperforming risk-free rate.

case2: if beta is negative, then fund outperforming risk-free rate. This means that the fund manger has performed well, managing to

reduce risk but getting a return better than the risk free rate

## Sunday, October 20, 2013

### negative beta, sharpe, treynor

Labels: econ/bank`

## my favorite topics (labels)

_fuxi
(302)
_misLabel
(13)
_orig?
(3)
_rm
(2)
_vague
(2)
clarified
(58)
cpp
(39)
cpp_const
(22)
cpp_real
(76)
cpp/java/c#
(101)
cppBig4
(54)
cppSmartPtr
(35)
cppSTL
(33)
cppSTL_itr
(27)
cppSTL_real
(26)
cppTemplate
(28)
creditMkt
(14)
db
(65)
db_sybase
(43)
deepUnder
(31)
dotnet
(20)
ECN
(27)
econ/bank`
(36)
fin/sys_misc
(43)
finGreek
(34)
finReal
(45)
finRisk
(30)
finTechDesign
(46)
finTechMisc
(32)
finVol
(66)
FixedIncom
(28)
fMath
(7)
fMathOption
(33)
fMathStoch
(67)
forex
(39)
gr8IV_Q
(46)
GTD_skill
(15)
GUI_event
(30)
inMemDB
(42)
intuit_math
(41)
intuitFinance
(57)
javaMisc
(68)
javaServerSide
(13)
lambda/delegate
(22)
marketData
(28)
math
(10)
mathStat
(55)
memIssue
(8)
memMgmt
(66)
metaProgram`
(6)
OO_Design
(84)
original_content
(749)
polymorphic/vptr
(40)
productive
(21)
ptr/ref
(48)
py
(28)
reflect
(8)
script`/unix
(82)
socket/stream
(39)
subquery/join
(30)
subvert
(13)
swing/wpf
(9)
sysProgram`
(16)
thread
(164)
thread_CAS
(15)
thread_cpp
(28)
Thread*
(22)
timeSaver
(80)
transactional
(23)
tune
(24)
tuneDB
(40)
tuneLatency
(30)
z_ajax
(9)
z_algoDataStruct
(41)
z_arch
(26)
z_arch_job
(27)
z_automateTest
(17)
z_autoTrad`
(19)
z_bestPractice
(39)
z_bold
(83)
z_bondMath
(35)
z_book
(18)
z_boost
(19)
z_byRef^Val
(32)
z_c#GUI
(43)
z_c#misc
(80)
z_cast/convert
(28)
z_container
(67)
z_cStr/arr
(39)
z_Favorite*
(8)
z_FIX
(15)
z_forex
(48)
z_fwd_Deal
(18)
z_gz=job
(33)
z_gzBig20
(13)
z_gzMgr
(13)
z_gzPain
(20)
z_gzThreat
(19)
z_hib
(19)
z_IDE
(52)
z_ikm
(5)
z_IR_misc
(36)
z_IRS
(26)
z_javaWeb
(28)
z_jdbc
(10)
z_jobFinTech
(46)
z_jobHunt
(20)
z_jobRealXp
(10)
z_jobStrength
(15)
z_jobUS^asia
(27)
z_letter
(42)
z_linq
(10)
z_memberHid`
(11)
z_MOM
(54)
z_nestedClass
(5)
z_oq
(24)
z_PCP
(12)
z_pearl
(1)
z_php
(20)
z_prodSupport
(7)
z_py
(31)
z_quant
(14)
z_regex
(8)
z_rv
(38)
z_skillist
(48)
z_slic`Problem
(6)
z_SOA
(14)
z_spring
(25)
z_src_code
(8)
z_swingMisc
(50)
z_swingTable
(26)
z_unpublish
(2)
z_VBA/Excel
(8)
z_windoz
(17)
z_wpfCommand
(9)

## About Me

- familyman
- New York (Time Square), NY, United States
- http://www.linkedin.com/in/tanbin

## No comments:

Post a Comment