2.1. Performance measures. For each hedge fund style, calculate and interpret the following performance measures a. Annualized arithmetic average return b. Annualized geometric average return c. Annualized volatility of excess returns d. Annualized Sharpe ratio e. Market beta f. Annualized alpha to the market g. Annualized Information ratio h. Maximum drawdown i. Skewness of monthly excess returns j. Excess kurtosis of monthly excess returns 2.2. Cumulative return and drawdown. Make the following plots for Global Macro Hedge Fund index a. The cumulative return b. The drawdown i would need help on how to find these in excel . This is advanced portfolio management
2.1. Performance measures. For each hedge fund style, calculate and interpret the following performance measures a. Annualized arithmetic average return b. Annualized geometric average return c. Annualized volatility of excess returns d. Annualized Sharpe ratio e. Market beta f. Annualized alpha to the market g. Annualized Information ratio h. Maximum drawdown i. Skewness of monthly excess returns j. Excess kurtosis of monthly excess returns 2.2. Cumulative return and drawdown. Make the following plots for Global Macro Hedge Fund index a. The cumulative return b. The drawdown i would need help on how to find these in excel . This is advanced portfolio management
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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2.1. Performance measures. For each hedge fund style, calculate and interpret the following performance measures a. Annualized arithmetic average return b. Annualized geometric average return c. Annualized volatility of excess returns d. Annualized Sharpe ratio e. Market beta f. Annualized alpha to the market g. Annualized Information ratio h. Maximum drawdown i. Skewness of monthly excess returns j. Excess kurtosis of monthly excess returns 2.2. Cumulative return and drawdown. Make the following plots for Global Macro Hedge Fund index a. The cumulative return b. The drawdown i would need help on how to find these in excel . This is advanced
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