
Bionic Turtle’s Week in Risk — Ending November 13th
P1.T1. Foundations If the expected return is given by R(i)=Rf+β(i,M)*E[M]+E[e(i)], what is the expected volatility of the return? https://www.bionicturtle.com/forum/threads/p1-t1-611-arbitrage-pricing-theory-apt-topic-review.9811/ Does the information ratio actually generalize the Sharpe ratio? https://www.bionicturtle.com/forum/threads/p1-t1-610-risk-adjusted-performance-measures-topic-review.9796/#post-46083 In general, we multiply a monthly information ratio (IR) by sqrt(12) to annualize it because 12/sqrt(12) equals sqrt(12) https://www.bionicturtle.com/forum/threads/p1-t1-411-risk-adjusted-performance-measures-rapm.7919/ Effect of confidence increase on value at...
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