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The upside-potential ratio is a measure of risk-adjusted returns. All such measures are dependent on some measure of risk. In practice, standard deviation is often used, perhaps because it is mathematically easy to manipulate. However, standard deviation treats deviations above the mean (which are desirable, from the investor's perspective ...
Upside risk is calculated using data only from days when the benchmark (for example S&P 500 Index) has gone up. [1] Upside risk focuses on uncertain positive returns rather than negative returns. For this reason, upside risk, while a measure of unpredictability of the extent of gains, is not a “ risk ” in the sense of a possibility of ...
It is important to distinguish between downside and upside risk because security distributions are non-normal and non-symmetrical. [9] [10] [11] This is in contrast to what the capital asset pricing model (CAPM) assumes: that security distributions are symmetrical, and thus that downside and upside betas for an asset are the same.
We see AI-driven productivity adding an additional 30 bps to 2025 net margin for the S&P 500 (13.0% net margin in the base case) though we believe risk is skewed to the upside/our bull case in ...
Index-linked annuities provide some exposure to market gains while protecting against some downside risk, but they have complicated mechanisms that can limit upside potential.
The 5% Value at Risk of a hypothetical profit-and-loss probability density function. Value at risk (VaR) is a measure of the risk of loss of investment/capital.It estimates how much a set of investments might lose (with a given probability), given normal market conditions, in a set time period such as a day.
UPS' upside potential. Delivery volumes are increasing (up 5.4% in the third quarter) as UPS comes up against easier comparisons from last year and is growing its lower revenue per piece (RPP) volume.
The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. [1] It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally.