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A similar problem arises in comparing private equity investments (which involve cash inflows and outflows) to the performance of a benchmark such as the S&P500. The simplest method available, the Long Nickels PME, does what you say, it assumes that the same cash flows that occur in the PE investment are also made in the benchmark. The problem with this ...

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I have to agree with Tim as Most books also suggest the same. But, realistically, considering the cost of Insurance and there being no significant returns from the underlying asset, the investor should question himself whether "Is the asset Worth investing?" Considering the huge risk of invested amount & current macro economic events, the underlying ...

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Russia is a difficult case to analyze. According to Dimson, Staunton and Marsh the real annualized return on Russian equities from 1995 to the end of 2014 is 3.5% a year. Source: 2015 Global Investment Return Yearbook page 52 [\link]. This is the longest and best continuous estimate that I am aware of. After subtracting a real return on Tbills in this period ...

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If I understand you properly you’re wondering if it is possible to have negative beta’s or a negative market factor (Rm-Rf<0) in the context of CAPM. One could consider buying such assets as buying insurance against macroeconomic risk that adversely relates to the rest of your portfolio. A common example is gold, since the could be seen as an insurance ...

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What do you model? If negative returns are losses, then what is your interest in the "risk" of the positive ones. Most naturally you could look at quantiles of your distribution. The 1%-quantile is the negative of $VaR_{99\%}$. The $99\%$-quanile could be of interest if you want to know about the right end of the distribution. The concept of Oemga ration ...

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Computing returns is one of the first things you learn when you start studying finance but I believe it's one the trickiest one once you get to complicated cases. The source you mentioned seems actually very good to me and it already takes into account different approaches and different subtleties like dividend payment. But this is in fact only the top of ...

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