k******a
发帖数: 2436 | 3 Calculate portfolio beta (systematic risk)? that is only part of the risk
measure. And the text below, your port is XX% less volatile than S&P is
misleading because it hides many assumptions.
A low beta portfolio can be much more riskier than an SP index , e.g.
managed futures.
Sharpe ratio/sortino ratio is a lot better. |
