- Excess Portfolio Returns
- The return on a portfolio over and above a 'risk-free' rate (such as the yield on US Treasury bills).► See also Portfolio.
Financial and business terms. 2012.
Financial and business terms. 2012.
Excess Returns — Investment returns from a security or portfolio that exceed a benchmark or index with a similar level of risk. It is widely used as a measure of the value added by the portfolio or investment manager, or the manager s ability to beat the market.… … Investment dictionary
portfolio beta — Used in the context of general equities. The beta of a portfolio is the weighted sum of the individual asset betas, According to the proportions of the investments in the portfolio. E.g., if 50% of the money is in stock A with a beta of 2.00, and … Financial and business terms
Excess Kurtosis — A statistical term describing that a probability, or return distribution, has a kurtosis coefficient that is larger then the coefficient associated with a normal distribution, which is around 3. This will signal that the probability of obtaining… … Investment dictionary
Post-modern portfolio theory — [The earliest citation of the term Post Modern Portfolio Theory in the literature appears in 1993 in the article Post Modern Portfolio Theory Comes of Age by Brian M. Rom and Kathleen W. Ferguson, published in The Journal of Investing, Winter,… … Wikipedia
Modern portfolio theory — Portfolio analysis redirects here. For theorems about the mean variance efficient frontier, see Mutual fund separation theorem. For non mean variance portfolio analysis, see Marginal conditional stochastic dominance. Modern portfolio theory (MPT) … Wikipedia
Sharpe ratio — A measure of a portfolio s excess return relative to the total variability of the portfolio. Related: treynor index A ratio of reward to variability developed by William F. Sharpe to measure the performance of mutual funds without regard to their … Financial and business terms
Alpha Generator — Any security that, when added to an existing portfolio of assets, generates excess returns or returns higher than a pre selected benchmark without additional risk. An alpha generator can be any security; this includes government bonds, foreign… … Investment dictionary
Information Ratio - IR — A ratio of portfolio returns above the returns of a benchmark (usually an index) to the volatility of those returns. The information ratio (IR) measures a portfolio manager s ability to generate excess returns relative to a benchmark, but also… … Investment dictionary
Sharpe Ratio — A ratio developed by Nobel laureate William F. Sharpe to measure risk adjusted performance. The Sharpe ratio is calculated by subtracting the risk free rate such as that of the 10 year U.S. Treasury bond from the rate of return for a portfolio… … Investment dictionary
Modigliani risk-adjusted performance — or M2 or M2 or Modigliani–Modigliani measure or RAP is a measure of the risk adjusted returns of some investment portfolio. It measures the returns of the portfolio, adjusted for the deviation of the portfolio (typically referred to as the risk) … Wikipedia