4: Regression Analysis
REGRESSION EQUATION
REGRESSION ALPHA
REGRESSION BETA
REGRESSION EPSILON
CAPITAL ASSET PRICING MODEL (CAPM)
BETA (β) (SYSTEMATIC RISK OR VOLATILITY)
JENSEN'S ALPHA (JENSEN'S MEASURE OR JENSEN'S DIFFERENTIAL RETURN OR EX-POST ALPHA)
ANNUALISED ALPHA
BULL BETA (β+)
BEAR BETA (β−)
BETA TIMING RATIO
MARKET TIMING
SYSTEMATIC RISK
CORRELATION
R2 (OR COEFFICIENT OF DETERMINATION)
SPECIFIC (OR RESIDUAL) RISK
THE GEOMETRY OF RISK
TREYNOR RATIO (REWARD TO VOLATILITY)
MODIFIED TREYNOR RATIO
APPRAISAL RATIO (OR TREYNOR–BLACK RATIO)
MODIFIED JENSEN
FAMA DECOMPOSITION
SELECTIVITY
DIVERSIFICATION
NET SELECTIVITY
FAMA–FRENCH THREE-FACTOR MODEL
THREE-FACTOR ALPHA (OR FAMA–FRENCH ALPHA)
CARHART FOUR-FACTOR MODEL
FOUR-FACTOR ALPHA (OR CARHART'S ALPHA)
TYPES OF ALPHA
MULTI-FACTOR MODELS
NOTES
12 CHAPTER 5: Drawdown AVERAGE DRAWDOWN MAXIMUM DRAWDOWN LARGEST INDIVIDUAL DRAWDOWN RECOVERY TIME (OR DRAWDOWN DURATION) DRAWDOWN DEVIATION ULCER INDEX PAIN INDEX CALMAR RATIO (OR DRAWDOWN RATIO) MAR RATIO STERLING RATIO STERLING−CALMAR RATIO BURKE RATIO MODIFIED BURKE RATIO MARTIN RATIO (OR ULCER PERFORMANCE INDEX) PAIN RATIO ACTIVE (OR RELATIVE) DRAWDOWN NOTES
13 CHAPTER 6: Partial Moments DOWNSIDE RISK (OR SEMI-STANDARD DEVIATION) DOWNSIDE POTENTIAL PURE DOWNSIDE RISK HALF VARIANCE (OR SEMI-VARIANCE) UPSIDE RISK (OR UPSIDE UNCERTAINTY) MEAN ABSOLUTE MOMENT OMEGA RATIO (Ω) BERNARDO AND LEDOIT (OR GAIN–LOSS) RATIO d RATIO OMEGA–SHARPE RATIO SORTINO RATIO REWARD TO HALF-VARIANCE DOWNSIDE RISK SHARPE RATIO DOWNSIDE INFORMATION RATIO SORTINO–SATCHELL RATIO KAPPA RATIO UPSIDE POTENTIAL RATIO VOLATILITY SKEWNESS VARIABILITY SKEWNESS FARINELLI–TIBILETTI RATIO GAIN–LOSS SKEWNESS DOWNSIDE SKEWNESS AND KURTOSIS SORTINO RATIO WITH HIGHER ORDER MOMENTS NOTES
