Search results
Results from the WOW.Com Content Network
YTD measures are more sensitive to changes early in the year than later in the year. In contrast, measures like the 12-month ending (or year-ending) are less affected by seasonal influences. For example, to calculate year-to-date invoicing for a company, sum the invoice totals for each month of the current year up to the present date. [2]
In Rosenberg's model the risk indices X consisted of industry weights and risk indices. Each asset would be given an exposure to one or more industries, e. g. based on breakdowns of the firms balance sheet or earning statement into industry segments. These industry exposures would sum to 1 for each asset.
Multiple asset classes mixed together in a fund structure can provide an investor with exposure through a single relationship. While the bulk of the global funds are traditional in nature, as is the case of a mutual fund , some funds would be classified as alternative investments such as hedge funds and private equity funds often considered an ...
Portfolio optimization often takes place in two stages: optimizing weights of asset classes to hold, and optimizing weights of assets within the same asset class. An example of the former would be choosing the proportions placed in equities versus bonds, while an example of the latter would be choosing the proportions of the stock sub-portfolio ...
Performance attribution, or investment performance attribution is a set of techniques that performance analysts use to explain why a portfolio's performance differed from the benchmark. This difference between the portfolio return and the benchmark return is known as the active return .
A few years ago, someone came to the Better Money Decisions office interested in purchasing a fund she had read about in a national financial magazine. Does this investment sound like some unusual ...
In principle modern portfolio theory (the mean-variance approach of Markowitz) offers a solution to this problem once the expected returns and covariances of the assets are known. While modern portfolio theory is an important theoretical advance, its application has universally encountered a problem: although the covariances of a few assets can ...
Estimate the risk parameters—probability of default (PD), loss given default (LGD), exposure at default (EAD), maturity (M)—that are inputs to risk-weight functions designed for each asset class to arrive at the total risk weighted assets (RWA) The regulatory capital for credit risk is then calculated as 8% of the total RWA under Basel II.