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Menghitung Omega Ratio

December 6, 2011 hadiborneo 1 comment

Perhitungan Omega Ratio

Oleh: Abdul Hadi, SE., M.Si

$\dpi{120} \fn_phv \Omega =\frac{\frac{1}{n}\cdot \sum_{i=1}^{i=n}max(r_{i}-r_{T},0)}{\frac{1}{n}\cdot\sum max(r_{T}-r_{i},0)}=\frac{Upside\: Potential}{Downside\: Potential}$

Categories: Manajemen Investasi dan Pasar Modal Tags: Excess Return, MAR, Omega Measure, Omega Ratio, Return above MAR, Return Below MAR, Risk Adjusted Performance, Risk Performance Analysis

Menghitungan Sortino Ratio

December 6, 2011 hadiborneo 2 comments

Perhitungan Sortino Ratio

Oleh: Abdul Hadi, SE., M.Si

$\dpi{120} \fn_phv Sortino\: Ratio=\frac{(\overline{RP}-T)\times P}{\sqrt{\frac{(RP_{i}-T)^{2}\: where\: RP_{i}<T}{N}\times \sqrt{P}}}$

References:
Bruce J. Feibel. Investment Performance Measurement. John Wiley & Sons, Inc., 2003.

Categories: Manajemen Investasi dan Pasar Modal Tags: Downside Deviation, Excess Return, MAR, Return Below MAR, Risk Adjusted Performance, Risk Performance Analysis, Sortino Measure, Sortino Ratio