Risk & Portfolio Management
3 terms
Benchmark
Risk & Portfolio Management
%
The index or standard against which a portfolio's performance is measured.
Excess Return = Portfolio Return - Benchmark Return over the same period
Beta
Risk & Portfolio Management
ratio (x, times)
A measure of how much an asset's return moves relative to the market's, on average.
Beta = Covariance of Asset and Market Returns / Variance of Market Returns
Black Swan
Risk & Portfolio Management
qualitative
An event that is unpredicted, has extreme impact, and is rationalised as predictable only after it occurs.
Test: the event lay outside expectations, carried extreme consequences, and attracted retrospective explanation