M-squared=（Rp-Rf)*Am/Ap-(Rm-Rf)（Rp-Rf)*Am/Ap这一项是 把投资组合p的收益与无风险收益Rf的差，换做在总风险为m时投资组合能得到的收益，通过除以Ap再乘以Am得到。之所以这样算，是为了与Rm-Rf进行比较，因为Rm-Rf是总风险为Am（即CML与efficient frontier切点处对应的标准差）。用（Rp-R...
以我的理解简单解释下,和Sharpe Ratio是异曲同工,标准差的符号不会打,用A表示。M-squared=(Rp-Rf)*Am/Ap-(Rm-Rf)(Rp-Rf)*Am/Ap这一项是 把投资组合p的收益与无风险收益Rf的差,换做在总风险为m时投资组合能得到的收益,通过除以Ap再乘以Am得到。之所以这样算,是为了与Rm-Rf进行比较,因为Rm-Rf是总风险...
CFA I Portfolio NO.PZ2023021601000041 问题如下: Which of the following portfolio performance measures are the most appropriate for an investor who holds a fully diversified portfolio? 选项: A.Treynor ratio and Jensen's alpha. B.M-Squared and Sharpe ratio. C.Sharpe ratio and Treynor ratio. 解...
m-squared的两个公式CFA I Portfolio 可以详细说一下这两个公式的用途以及怎么得出来的不?不太懂得这个知识点 添加评论 0 0 1 个答案 Kiko_品职助教 · 2024年11月18日 嗨,从没放弃的小努力你好: 这个指标的主要目的是评估投资组合在考虑风险调整后的绩效表现,并且能够将其与市场基准进行比较。关于公式推导...
R-squared 87.72 87.84 93.83 Standard Deviation % 6.74 8.95 9.26 Sharpe Ratio 0.19 -0.17 -0.40 Tracking Error 2.65 3.63 2.74 Information Ratio 0.35 0.07 -0.04 Treynor Ratio 1.02 -1.19 -3.06 Downside Capture % 118.05 128.80 116.66 Upside Capture % 125.26 129.90 115.05 Top 10 Holdings...
I am using MPlus version 3.0 for this CFA. Can I interpret the degrees of freedom as accurate in the output? Linda K. Muthen posted on Thursday, August 10, 2006 - 2:57 pm It is formula 110 in Technical Appendix 4 on the website. The only interpretable value for WLSMV is the p-...
R-squared 88.46 86.59 82.03 Standard Deviation % 9.97 12.17 12.09 Sharpe Ratio 0.50 0.47 0.10 Tracking Error 6.79 7.80 7.89 Information Ratio -0.91 -1.11 -0.91 Treynor Ratio 8.13 8.86 1.83 Downside Capture % 64.16 69.03 71.86 Upside Capture % 58.96 59.87 60.65 Top 10 Holdings As ...
The Sept. 24th comment looks odd because bw is in the formula for the 'between' effect of M on Y. However, what you really want here is the purely level-2 or 'between b' effect, and in this specific model the way to compute that purely level-2 'b' effect is to sum bw and bb...
Root Mean Squared Revolutions Per Minute Serial Attached SCSI Serial ATA Small Form Factor Single Level Cell Self-Monitoring, Analysis and Reporting Technology: an open standard for developing hard drives and software systems that automatically monitors a hard drive's health and reports potential ...
Which would be the formula to calculate R-squared for a three-way interaction. For instance: V(f4) = b1*2 V(f1)+ b2*2 V(f2)+ b3*2 V(f3) + 2*f1*f2 Cov(f1,f2) + b4**2 V(f1xf2xf3) + I am not sure how to specify the Cov when I have three factors. Thank you...