Alle boeken

Professioneel

Apps Over Coach Inloggen Begin met lezen

Quantitative Finance · Begrippenlijst

Wat is Annualisation?

Definition 22.1 Research Craft: Predictors, Backtests, Measurement, Portfolios · Hoofdstuk 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.

Lees in het hoofdstuk →