Portfolio Performance
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Table of Contents
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Here are measures of portfolio performance.
Beta
- measures systematic risk (historical volatility of a security versus an index)
- e.g., β=1.1 means 10% more volatile than the stock market average
- e.g., β=0.9 means 10% less volatile than the stock market average
Standard Deviation
- variability of returns (usually annually)
Sharpe Ratio
- (real rate of return) / (standard deviation)
- real rate of return = annualized rate of return – risk-free rate of return
page revision: 2, last edited: 04 Jun 2007 01:30