Pub Date : 2020-10-14DOI: 10.1142/9789811221590_0007
F. Fabozzi, F. Fabozzi
In evaluating performance of an asset manager, an investment strategy, or an investment vehicle, the first step is to calculate the actual return realized. Several methodologies for computing the actual return are explained in this chapter. Performance evaluation must take into account the risks associated with any investment. Although we described the various types of risks in Chapter 2, in this chapter we will explain and illustrate several measures to quantify risk. A more detailed discussion of how these risk measures are calculated is provided in Chapter 8 of the companion book. Reward-risk ratios combine return (or reward) from an investment relative to its risk. Four reward-risk ratios are described at the end of this chapter.
{"title":"Measuring Return and Risk","authors":"F. Fabozzi, F. Fabozzi","doi":"10.1142/9789811221590_0007","DOIUrl":"https://doi.org/10.1142/9789811221590_0007","url":null,"abstract":"In evaluating performance of an asset manager, an investment strategy, or an investment vehicle, the first step is to calculate the actual return realized. Several methodologies for computing the actual return are explained in this chapter. Performance evaluation must take into account the risks associated with any investment. Although we described the various types of risks in Chapter 2, in this chapter we will explain and illustrate several measures to quantify risk. A more detailed discussion of how these risk measures are calculated is provided in Chapter 8 of the companion book. Reward-risk ratios combine return (or reward) from an investment relative to its risk. Four reward-risk ratios are described at the end of this chapter.","PeriodicalId":415154,"journal":{"name":"Fundamentals of Institutional Asset Management","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124446803","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2012-01-09DOI: 10.1002/9781118267059.CH20
F. Fabozzi
In Chapter 4, we described the fundamental characteristics of debt instruments and the wide range of such investment vehicles available in the market. In this chapter and the one to follow, we discuss the analytics used to evaluate bonds and assess their potential performance. Although we focus on bonds, the bond analytics described here apply equally to other debt instruments. There are special considerations in the case of residential mortgage-backed securities…
{"title":"Bond Pricing and Yield Measures","authors":"F. Fabozzi","doi":"10.1002/9781118267059.CH20","DOIUrl":"https://doi.org/10.1002/9781118267059.CH20","url":null,"abstract":"In Chapter 4, we described the fundamental characteristics of debt instruments and the wide range of such investment vehicles available in the market. In this chapter and the one to follow, we discuss the analytics used to evaluate bonds and assess their potential performance. Although we focus on bonds, the bond analytics described here apply equally to other debt instruments. There are special considerations in the case of residential mortgage-backed securities…","PeriodicalId":415154,"journal":{"name":"Fundamentals of Institutional Asset Management","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131861507","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2012-01-09DOI: 10.1002/9781118267059.CH24
F. Fabozzi
{"title":"Using Derivatives in Bond Portfolio Management","authors":"F. Fabozzi","doi":"10.1002/9781118267059.CH24","DOIUrl":"https://doi.org/10.1002/9781118267059.CH24","url":null,"abstract":"","PeriodicalId":415154,"journal":{"name":"Fundamentals of Institutional Asset Management","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132076311","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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