Concepts and Statistics

The Risk-Free Rate And Default Risk

2011-08-04 01:50:28
Marc Odo
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Over the last half-century, many of the developments and models used in finance assume the presence of a “risk-free rate”. This rate of return is used as a reference point or springboard for a vast array of analysis, including:

Omega by Marc Odo, CFA, CAIA, CFP

Date: 
Wed, 2011-05-11

With the release of StyleADVISOR 8.1, Zephyr Associates has expanded the toolset used to understand the Omega ratio. Omega captures all four moments of a distribution: return, standard deviation, skewness, and kurtosis. In addition, Omega can be used to help understand any series of return data, whereas some of the traditional return/risk statistics used in finance are only useful if the returns happen to fall into a somewhat normal distribution pattern.

CASE STUDY: Using Post-MPT Statistics to Detect Unrealistic Results by Marc Odo CFA, CAIA, CFP

Date: 
Thu, 2010-12-30

This paper proposes that the standard set of analytical metrics used in the finance industry did not adequately expose just how preposterous the return series claimed by Bernie Madoff actually was.  However, using Zephyr StyleADVISOR’s newer metrics and graphs focusing on tail risk and capital preservation, the intelligent and diligent analyst would have noticed some disturbing results.

The Zephyr K-Ratio by Thomas Becker, Ph.D.

Date: 
Wed, 2010-10-13

In 1996, Lars Kestner introduced the K-Ratio as a complement to the Sharpe Ratio. With Version 8.1, Zephyr Associates makes the K-Ratio available to StyleADVISOR users. This article explains the use, the meaning, and the exact mathematical definition of the ratio.

Style Analysis: A Ten-Year Retrospective and Commentary by R. Stephen Hardy

Date: 
Tue, 2003-01-07

Style analysis, often referred to as returns-based style analysis (hereafter called RBSA), was developed and first introduced by William Sharpe in his landmark article, “Determining a Fund’s Effective Asset Mix.”1 In 1992, RBSA was made commercially available with the release of StyleADVISOR, a Windows-based software program designed to implement Sharpe’s style analysis. For much of its early history, RBSA was used by a small number of pension plan sponsors and institutional money managers.

The Advisor Volume 35: Zephyr Universes

Date: 
Wed, 2003-10-01

Because of our superior methodology, investment professionals are using Zephyr Universes for peer group analysis. This newsletter discusses the Zephyr Universes in detail, including our new domestic fixed income universes, our methodology for the domestic equity universes, how to create your own universes and much more. Also, a further exploration into Monte Carlo simulation, Dr. Becker's Math Corner, information about online training and much more.

Master of the Universes

Date: 
Wed, 2002-01-30

As many people know, StyleADVISOR is not only a style analysis program; it is also a performance analysis program. This includes the ability for the user to easily create their own custom “peer groups” or “universes” of any size for performance comparisons. This document covers this process step-by-step and also some of the most commonly asked questions about this topic. After reading this, you will be on your way to becoming the “Master of the Universes.”

 
 

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