Sharpe ratio

The aim of this project is to develop an Electrocardiography (ECG) amplifier circuit from scratch. The main challenges include amplifying the desired week signal in the presence of noise from other muscles and electrical sources. As this semester was about transistors we had to use transistors at some stage in this project. The project was successfully designed and built in two ways: one with solely using operational amplifiers and other using transistors as differential amplifiers.…

invested. Evaluation of risk-adjusted returns enable the investor to have a clearer view of the market expectations. Treynor Portfolio Performance Measure (reward to volatility ratio) This performance measure was developed in 1965 by Jack Treynor to evaluate funds based on what is known as Treynor’s Index. Treynor’s Index is the ratio of return from a fund over and above the risk-free rate of return for a given period and the systematic associated risk. With this CAPM we can determine the how…

R-squared is 2.00 percent The Initial Sharpe Ratio is 0.14, this is for Lead = 4, Lag = 9, Holding Period = 0 (No Reverse Transaction) Next Step Usually Takes 3 Minutes, Please Wait... Elapsed time is 81.339232 seconds. The Optimal Sharpe ratio is 0.68, this is for Lead = 20, Lag = 60, HoldingPeriod = 2 Total number of positions = 82 Average position duration = 2.19 periods Average profit per position = $0.00 Maximum Drawdown = $0.56 从此结果我们可以得出结论The Optimal Sharpe ratio is 0.68, 据此我们可以根据Lead =…

return on any security or portfolio. The formula for calculation is: The result is -4.03%, which indicates that our portfolio is less diversified and our portfolio is underperforming compare to the return of risk free assets. 3.2.1.1 Sharpe Ratio This measure is based on capital market line, it considers the total risk of the portfolio being…

Markowitz Portfolio Theory One of the major area of finance is optimizing the portfolio. Basically, portfolio theory deals with the risk and value of portfolio instead of individual securities, which is known as Markowitz portfolio theory that is suggested by Harry Markowitz in his article “Portfolio selection” in the Journal of Finance. Markowitz portfolio theory basically helps in making optimum portfolio by interpreting, and evaluating risk and return of different risky assets. Basically, the…

Using the growth rate we found above, we calculate the EPS to be $2.81. We determined the arithmetic average of the P/E ratio over the last four years, which was 10.83, to find the effect growth has on stock price. From here, we calculated the stock price to be $30.41 after growth. These calculations can all be found in Appendix E. Valuation To determine whether Golar was…

Individual Assignment Part I: According to the data of Nike, Inc. and Timberland Bancorp, Inc. from December 2008 to December 2013 showed by the attached excel, the annualized expected return, standard deviation and correlation of the two stocks are calculated and revealed. Using the result of the closing price minus the opening price to divide by the opening price can figure out the monthly returns during the 5 years in order to obtain the average monthly return. Then, the average monthly…

staff in the healthcare environment. NM can impact the generational diversity through the creation of new career paths that accommodate the aging staff, which will assist with the expected nursing shortage from baby boomers retiring (Collins-McNeil, Sharpe, & Benbow, 2012). This paper is organized reviewing…

the authors construct portfolios. Third, the authors utilize the Black Litterman’s methodology to forecast returns for each factor identified in the previous step. They calculate the turnover rates, investment returns, equity returns, Sharpe ratios, book-to-market ratios, and so forth. Finally, portfolio optimization process takes place. The results show that the multi-style rotation strategy used in the Islamic equities outperforms the market. One major contribution of this paper is that it…

Quotations (NASDAQS). This study found that the BTMR was an effective variable in explicating the average CSSR. 1.1.3. Earning price ratio (EPR) and debt to equity ratio (DER) Factors In addition to the three factors previously discussed, however, others argued that the following two factors significantly affect the ERs: the earning price ratio (EPR) and the debt to equity ratio (DER). Basu (1977) indicated that the EPR impact should be included as an effective variable when explicating the…