and their f@ing ratios Markovitz - CAPM Sortino-Information ratio Jensen- ex-post alpha Care to carry on?
I guess we should post the formulae too
sundrani- failure prob zimzim/pinkman- cointegration can’t think of any others.
graham and dodd - early birds of the comparables method Williams - base for discounted cash flow analysis *stands up to say* - Treynor Black - need I say more??
Dupont father of all equity returns
yo whats the sortino again? info ratio with a req’d return and downside dev?
This is Sortino ratio too. Something related loss standard deviation.
it’s like the sharpe ratio but the denominator is downside risk
The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target, or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. It is thus a measure of risk-adjusted returns that some people find to be more relevant than the Sharpe. The ratio is calculated as S = (R-T)/DR where R is the asset or portfolio realized return; T is the target or required rate of return for the investment strategy under consideration, (T was originally known as the minimum acceptable return, or MAR); DR is the downside risk.
Don’t forget my favourite - Gordon and his growth model… not that anybody has trouble with this one.
I’m a Durbin Watson fan myself
that Dickey Fuller guy… I already forgot what he’s all about
Are you guys remember the Fama and French model, the BIRR model, PRAT model, Dickey fUller - DUnit - Test for unit root
Ha! I love D-Unit. Yikes, I don’t remember Fama and French or BIRR. PRAT I know because it’s basically just DuPont.
Dude if they ask me a question like this on the exam and its not Gordon (DDM) or Markovitz (EF) i’m gonna throw my calculator at a proctor.
Oh I just remebered there’a Fed Model and Yardeni Model as well… how the hell are we supposed to keep this straight? I think we need to start a thread about all the ‘personalities’ who made our life hell!
I can’t find Fama and French in the 2008 study notes (in the area of multifactor model). Did I miss it? Do we need to know?
and i thought newton screwed me over in physics
can somebody please tell me where I can find Tobin’s q in the schweser study notes? been looking for it, not in the index.