Tous les livres

Professionnel

Applis À propos Coach Connexion Commencer la lecture

Quantitative Finance · Glossaire

Qu'est-ce que « Annualisation » ?

Definition 22.1 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapitre 22 — Performance Measurement

Annualisation converts a statistic measured on periods of one length to a year: with qq periods a year, the mean is multiplied by qq, the volatility by q\sqrt q and the Sharpe ratio by q\sqrt q. The scaling of the volatility and of the Sharpe ratio holds only when the returns are serially uncorrelated.

Lire dans le chapitre →