Marco Demaio
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 Apr 17 awarded Yearling Oct 22 awarded Notable Question Sep 25 awarded Notable Question Aug 24 revised How to calculate Skulls Financial Turbulence for one asset? edited title Aug 21 comment How to calculate Skulls Financial Turbulence for one asset? Let's keep it in one dimension, so just one asset. If $\mu$ is commony set to zero, how do you calculate the $Var[DJIR]$ then? $\mu$ is needed to calculate also the $Var[DJIR] = \frac{1}{N-1}\sum_{i=1}^{n}(DJIR[i]-\mu)^2$. Moreover even by using the $Var$, shouldn't the function become: $$d[5] = (DJIR[5] - \mu) * Var[DJIR]$$ Aug 21 revised How to calculate Skulls Financial Turbulence for one asset? edited tags Aug 20 revised How to calculate Skulls Financial Turbulence for one asset? added 18 characters in body; edited title Aug 20 revised How to calculate Skulls Financial Turbulence for one asset? added 4 characters in body Aug 20 revised How to calculate Skulls Financial Turbulence for one asset? added 4 characters in body Aug 20 asked How to calculate Skulls Financial Turbulence for one asset? Oct 9 awarded Popular Question Sep 24 awarded Autobiographer Mar 5 accepted Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns? Mar 5 comment Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns? Thanks for explaining also when to use CAGR (ex-post Sharpe Ratio) and when to use simple arithmetic returns (forward-looking forecast Sharpe Ratio) Mar 4 comment Should I use an arithmetic or a geometric calculation for the Sharpe Ratio? Where can I find a demonstration that $$\mu_g \leq \mu_a$$ Feb 28 revised Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns? Bolded the phrase that I think to be best related to the question, I had to remove a piece of phrase because it did not let me edit answer unless I change at least 6 chars Feb 28 suggested approved edit on Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns? Feb 28 comment Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns? @Richard: thanks, I got the point to NOT use WAY 1, let's ignore rolling returns then, but still the question remains: why shoukd i use annualized monthly returns which adds a bit of complexity, instead of just yearly (non-rolling) returns (i.e. WAY 2). I updated again the question, hope it helps to make it more clear. Feb 28 revised Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns? added 12 characters in body Feb 27 revised Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns? deleted 2 characters in body