2019 - 2021 FMA Magazine
FMA Magazine covers events and programming for 2019 - 2021, including Auburn University Student Investment Fund performance.
FMA Magazine covers events and programming for 2019 - 2021, including Auburn University Student Investment Fund performance.
- No tags were found...
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
2020 PERFORMANCE SUMMARY<br />
2020 Performance Analytics<br />
ASIF Single Equity vs. S&P 500 Cumulative Return: October 2017 - December 2020<br />
Risk-Adjusted Performance Measures: As of 12/31/2020<br />
• Beta - 0.78<br />
• Sharpe Ratio - 109.54%<br />
• Treynor’s Measure - 21.36%<br />
• Jensen’s Alpha - 4.15%<br />
• 3-Factor Alpha - 4.38%<br />
• 4-Factor Alpha - 5.49%<br />
• Information Ratio - 54.05%<br />
• Sortino Measure - 99.84%<br />
Value-at-Risk: 95% Confidence Interval<br />
Note: analysis of 2 standard deviations yields upside potential of 9.16% and downside risk of -6.25%<br />
<strong>FMA</strong> <strong>2019</strong>-<strong>2021</strong> MAGAZINE 69
Change language