Sharpe ratio is a classic index that can comprehensively consider both return and risk. At the same time, it only used to investigate asset of final venture capital portfolio. Therefore, an important research topic in financial field. This paper based on big data analysis minimum variance model. Thereinto, companies selected these five industries are AVIC Electrical Systems Co., Ltd., Archer Da...

Modernization in computers and Machine Learning have created new opportunities for improving the methods involved trading, Changes been noticed parallelly at level of investment decisions, faster executions trades via algorithms. Nowadays 90% are placed by algorithms, to execute a transaction, algorithms that follow trend construct set instructions used algorithmic trading. It executes more pre...

The classical mean-variance investment model is simple, elegant, and popular. As such, it is also subject to criticisms. One unsatisfactory feature of the model is that variance treats the upside and downside equally as risks. In this regard, the downside Lower Partial Moments (LPM) are more attractive as alternative risk measures, since they only penalize the downside. In the meanwhile, consid...

We study model-driven statistical arbitrage in U.S. equities. The trading signals are generated in two ways: using Principal Component Analysis and using sector ETFs. In both cases, we consider the residuals, or idiosyncratic components of stock returns, and model them as mean-reverting processes. This leads naturally to “contrarian” trading signals. The main contribution of the paper is the co...

The fund manager always pronounces “the high returns from hedge fund are along with low risk. Is the performance of hedge fund manager really good? In this study, the market-timing ability and performance consistency on hedge fund manager are tested. The Sharpe ratio was employed to implement the consistency of performance for mutual fund in the previous literature. Due to the non-normally dist...

If we exclude the assumption of normality in return distributions, the classical risk–reward Sharpe Ratio becomes a questionable tool for ranking risky projects. In line with Sharpe thinking, a general risk–reward ratio suitable to compare skewed returns with respect to a benchmark is introduced. The index includes asymmetrical information on: (1) ‘‘good’’ volatility (above the benchmark) and ‘...