L1 - Sample Moments and Port Performance - I
An investment portfolio is defined as a collection of a variety of assets (stocks, bonds, money market accounts, exchange-traded funds, closed-end funds, real estate, private investments, etc.)
Treynor ratio is similar to the Sharpe ratio, but the denominator only considers systematic risk rather than total risk, i.e.:
It is more appropriate when one can assume efficient markets; that is, the Treynor ratio is a suitable form of portfolio appraisal only in those instances where portfolios just have systematic risk.
Kurtosis
- kurtosis is used to measure the amount of financial risk associated with any instrument or transaction.
- The more kurtosis, the higher the financial risk associated with the concerned dataset.
- Skewness is a measure of symmetry in distribution, kurtosis is the measure of heaviness of the tails of distributions.
Different Types of Kurtosis
