In Part 3 of our series on modern portfolio theory, we discuss how R-squared can determine the usefulness of other MPT statistics. In a recent article, we went over how beta and other modern portfolio ...
The tools combine R-Squared’s range of equity risk models with PRISM, the firm’s proprietary Portfolio Risk Management and risk-adjusted Performance Attribution system. The new risk models incorporate ...
Detecting dependence between two random variables is a fundamental problem. Although the Pearson correlation coefficient is effective for capturing linear dependence, it can be entirely powerless for ...
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