Macroaxis: Personalized Investing  
Macroaxis Country Selector USA  Change      Macroaxis User Registration Register    Macroaxis User Login Sign In
   
 US Market Closed: Feb 10, 01:35 AM 2012 
  NYSE  8081.25    NASDAQ  2927.23  11.37  Index Moved Up 
 and more..
Search
sponsered by
  
  



Processing
Collecting necessary data for CMCSA,DIS,TWX,DTV,CBS,DISH,TIV...
       
In the context of Modern Portfolio Theory, risk-return relation is the theoretical association between the return expected from investment and the amount of risk assumed in that investment. The more return investor expects from the market, the more risk must be undertaken to achieve that return.

What is risk-adjusted return and how do I measure it in today's market?

Before comparing or considering investments, it is better to perform a risk-adjusted return calculation that will adjust the returns according to how risky the investments are. The riskier they are, the more the returns are lowered before any comparison. Technically risk refers to mean volatility, which measures how returns vary over a given period of time. An investment or a portfolio that grows steadily has low risk, and another investment with a value that jumps up and down unpredictably has high risk.

To create risk and return landscape specify valid comma-separated symbols and hit Plot It button.

Please note, the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX) have recently merged. Although Macroaxis has implemented solutions to handle this transition gracefully, you may still find some securities that may not be fully transferred from one exchange to another.
       

Help

       
       
 Make sure to specify reasonable number of assets as computing power is limited.
Select investment horizon: 
30 Days (Login to change)
       
       

       
Market   Saving Account   Selected Assets Correlate Backtest
       

How to diversify based on risk adjusted returns

The concept of diversification is tightly coupled with the notion of correlation between securities that make up portfolio. The correlation coefficient is a statistical measurement between negative one and positive one that measures the degree to which the various assets in a portfolio can be expected to perform in a similar fashion or not. A measure of -1 means that the assets within the portfolio perform perfectly oppositely: whenever one asset goes up, the other goes down. A measure of 0 means that the assets fluctuate independently, i.e. that the performance of one asset cannot be used to predict the performance of the others. A measure of 1, on the other hand, means that whenever one asset goes up, so do the others in the portfolio. To eliminate diversifiable risk completely, one needs an intra-portfolio correlation of -1, although in reality, perfectly correlated securities are very rare.
Today, most investors and professional money managers use Sharpe Ratio to measure risk-adjusted returns. The Sharpe Ratio is defined as reward-to-variability ratio and is a measure of the excess return (or Risk Premium) per unit of risk in an investment asset or a trading strategy. The Sharpe Ratio is used to characterize how well the return of an asset compensates the investor for the risk taken. When comparing two assets with similar expected returns against the same benchmark, the asset with the higher Sharpe Ratio gives more return for the same risk. Investors are often advised to pick investments with high Sharpe Ratios. Please, click here to view life correlation matrix
               
  
               
  
               

References

Modern Portfolio Theory From Wikipedia, the free encyclopedia Learn About Modern Portfolio Theory (MPT)
Markowitz, Harry M. (1952). Portfolio Selection, Journal of Finance, 7 (1)
Sharpe, William F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance, 19(3)
Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets, The Review of Economics and Statistics, 47 (1), 13-39
Burmeister E and Wall KD., The arbitrage pricing theory and macroeconomic factor measures, The Financial Review, 21:1-20, 1986
Chen, N.F, and Ingersoll, E., Exact pricing in linear factor models with finitely many assets: A note, Journal of Finance June 1983
Fama, E. and French, K. (1992). The Cross-Section of Expected Stock Returns, Journal of Finance, June 1992, 427-466
Black, F., Jensen, M., and Scholes, M. The Capital Asset Pricing Model: Some Empirical Tests, in M. Jensen ed., Studies in the Theory of Capital Markets. (1972)
French, C. W. (2003). "The Treynor Capital Asset Pricing Model", Journal of Investment Management, 1 (2), 60-72
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics, 47 (1), 13-37
Markowitz, Harry M. (1999). The early history of portfolio theory: 1600-1960, Financial Analysts Journal, 55 (4)
Tobin, James (1958). Liquidity preference as behavior towards risk, The Review of Economic Studies, 25 Treynor, J. L. (1961). "Market Value, Time, and Risk." Unpublished manuscript.
Treynor, J. L. (1962). "Toward a Theory of Market Value of Risky Assets." Unpublished manuscript.

Other Resources

Robust Portfolio Optimization and Management by Frank J. Fabozzi, Petter N. Kolm, Dessislava Pachamanova, Sergio M. Focardi
Portfolio Optimization and Performance Analysis by Jean-Luc Prigent
Option Pricing and Portfolio Optimization by Ralf Korn, Elke Korn
Portfolio optimizations in incomplete financial markets by Walter Schachermayer
Bond Portfolio Optimization by Michael Puhle
An MCDM approach to portfolio optimization by M. Ehrgott, K. Klamroth, C. Schwehm
      
Efficient Frontier
Efficient Frontier
31051  global portfolios
Add positions and diversify yours portfolios
    

Sharpe Ratios 

   
 Macroaxis: United States Comcast 0.59 Price Moved Up
   
 Macroaxis: United States Walt 0.37 Price Moved Up
   
 Macroaxis: United States Time 0.05 Price Moved Up
   
 Macroaxis: United States Directv 0.17 Price Moved Up
   
 Macroaxis: United States CBS Corporat 0.22 Price Moved Up
   
 Macroaxis: United States DISH 0.00 Price Moved None
   
 Macroaxis: United States TiVo 0.61 Price Moved Up
   
 Macroaxis: United States Cablevision 0.14 Price Moved Up
    
        
       

Top Advisors 

 1 
 Shepherd Kaplan  
 2 
 Hilltop Advisor  
 3 
 Babson Capital   
 4 
 Eldridge Financ  
 5 
 Vest Assured I  

Top Owned Stocks 

 1 
 Macroaxis: United StatesAAPL  464 
 2 
 Macroaxis: United StatesGOOG  373 
 3 
 Macroaxis: United StatesGE  335 
 4 
 Macroaxis: United StatesMSFT  278 
 5 
 Macroaxis: United States 263 

Top Owned ETFs 

 1 
 Macroaxis: United StatesSPY  314 
 2 
 Macroaxis: United StatesGLD  307 
 3 
 Macroaxis: United StatesVWO  242 
 4 
 Macroaxis: United StatesEEM  236 
 5 
 Macroaxis: United StatesVNQ  200 

Top Owned Funds 

 1 
 Macroaxis: United StatesFCNTX  121 
 2 
 Macroaxis: United StatesVFINX  107 
 3 
 Macroaxis: United StatesPRPFX  105 
 4 
 Macroaxis: United StatesDODFX  102 
 5 
 Macroaxis: United StatesVGSIX  94