The bank’s proprietary fixed-income portfolio is structured as a barbell portfolio: About half of the portfolio is invested in zero-coupon Treasuries with maturities in the 3- to 5-year range (Portfolio P1), and the remainder is invested in zero-coupon Treasuries with maturities in the 10- ...
Investors can measure the performance of their portfolio by comparing their risk adjusted return to the return for the benchmark for their fund or investment. Having investments with lower risk in a strong market can limit returns. On the other hand, having higher risk investments when the market...
Provide an example of how you would calculate the expected return of your portfolio. How do you calculate the expected return and the standard deviation of a portfolio if you leverage by borrowing money to get even more money? Calculate the expected ...
Before you can calculate risk exposure, you need a reasonable estimate of the probability a risk event will occur. Suppose you are considering investing in a corporate bond. The first thing you might want to do is conduct some research to find out any business risk areas pertaining to the in...
Formula to Calculate Alpha of a Portfolio Alpha is an index that is used for determining the highest possible return concerning the least amount of risk, and according to the formula, alpha is calculated by subtracting the risk-free rate of the return from the market return and multiplying the...
This article describes two methods of calculating the return of a portfolio. The first method is a sum of the individual parts. The second method uses an approximation equation that compares the total market value of all holdings at the end of the period to the total market value of all ...
AGG (a bond fund), weighted 10% This is the same portfolio that I used in aprevious post on the Sortino ratio. Similar to what we did in that project, we will need to calculate the monthly returns of the portfolio before we can calculate standard deviation. That means we first...
Value at Risk (VAR)calculatesthe maximum loss expected on an investment over a given period and given a specified degree of confidence. We looked at three methods commonly used to calculate VAR.In Part 2of this series, we show you how to compare differenttime horizons. ...
Value at Risk (VaR) is a measurement showing a normal distribution of past losses. The measurement is often applied to an investment portfolio for which the calculation gives a confidence interval about the likelihood of exceeding a certain loss threshold. VaR is one of the most widely known me...
Let's take you through the steps for the most basic way to calculate your returns: Step 1: Gather Your Information The first step to calculating the returns on your portfolio is to list each type of asset in a spreadsheet. Next to each asset, include the calculated ROI, dividends, ca...