Modified Sharpe ratio with modified VaR
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- Опубликовано: 10 июл 2024
- How to measure the risk-adjusted portfolio performance when asset returns are non-normal? One of the intuitive refinements for Sharpe ratio in this situation is the Favre and Galeano (2002) Modified Sharpe ratio with modified value-at-risk (MVaR). Today we are learning how to apply this ratio in Excel for both performance evaluation and portfolio optimisation.
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You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
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That patreon subscription is looking more tempting with each upload! Amazing work as always
Hey Man, great!!!!!
This is a very very useful video to all the applied finance folks
When you do a traditional Sharpe, you annualize your standard deviation. In this example, the MVaR isn't annualized, but the other returns are. I think this is underrepresenting risk, right? A Sharpe of 1.33 would be OUTSTANDING. A vol of only 6% (1.57% - -4.66%) on a 10% annualized return seems incorrect. Am I missing something here?
My G. Excellent video 😁👍
Dear Sava! Such a helpful video once again! As for further suggestions, it would be very interesting a video with some spread estimators such as Roll's estimator, HL estimator or HLC estimator. Thank you again for your amazing work!
Sava could you make a video about creating 5-10 Year Rolling Favre and Galeano Sharpe Ratio (using Arithmetic Mean generated from Monthly Returns instead of Geometric Mean)?
Hello Sava could you make a video on doing p-value test for Sharpe Ratio Differences to see if the sharpe ratio differences between the two assets are meaningful?
Hi, and thanks for an excellent question! I might do a video on Sharpe ratio statistics and significance of their differences in the nearest future.
Could this video be done on Rolling Sharpe Ratios as Sharpe Ratio tends to vary highly depending on time period chosen and I would like to know what difference in Sharpe Ratio is meaningful in this context.