资源描述：
《Zephyr_Concepts_-_Pain_Ratio_and_Pain_Index》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、PainIndexandPainRatiobyMarcOdo,CFA,CAIA,CFPINTRODUCTIONInJulyof2006,ZephyrAssociatesunveiledanewriskmetriccalledthe“painindex”.Thepainindexismeanttoquantifythecapitalpreservationcharacteristicsofafund,manager,index,oranyotherdataseries.Inshort,thepainindexmeasuresthe
2、1)depth,2)duration,and3)frequencyoflossesexperiencedbyamanager.Asametricofcapitalpreservation,thepainindexdiffersfromothermetricsofdownsiderisk,whichfocusuponvolatilityorlossesversusabenchmark.Onceestablished,thepainindexcanbeutilizedinareturnvs.risktrade-offmetric.T
3、he“painratio”comparesthereturnsversusthelosscharacteristicsusingawell-knownformat.Thispaperseekstogivetheuseracompleteunderstandingofthepainindexandpainratiobyansweringthefollowing:I.Whatarethepainindexandthepainratio?II.Howdotheydifferorimproveuponothermetricsofloss
4、orcapitalpreservation?III.Howdotheydifferfromothermetricsofdownsiderisk?IV.Whatisa“good”number?Whatshouldonelookforwhenusingthepainindexorpainratio?V.Howdoesoneusethesemetricsinthecontextofananalysisorsearch?I.WHATARETHEPAININDEXANDTHEPAINRATIO?PainIndexDefinedSimply
5、put,thepainindexisariskmetric.However,onecandefineriskinmanydifferentways.Sometraditionalwaysofmeasuringriskare:1.Uncertainty/Volatility2.Underperformancerelativetoanappropriatebenchmark3.Shortfallriskintermsofmeetingafinancialgoal4.“Tailrisk”-theriskofextremeevents5
6、.Riskoflosses/CapitalpreservationAlloftheabovearevalidwaysoflookingatrisk.Thediligentanalystshouldconsidermanyorallbeforemakinganinvestmentdecision.Thepainindexdealsspecificallywiththelasttopic:theriskoflossesorthecapitalpreservationofamanagerorbenchmarkindex.Thepain
7、indexquantifiesthreemeasuressimultaneously:1)thedepth,2)theduration,and3)thefrequencyoflosses.ThePainIndexAndPainRatioZephyrAssociates,Inc.Thebestwaytoillustratethisiswithvisuals.Westartwithasimple“growthof$100”chartthatdisplaysthecumulativereturnsoftheS&P500index.Ze
8、phyrStyleADVISORZephyrStyleADVISOR:ZephyrAssociates,Inc.S&P500CumulativePerformanceJanuary1979-December2010(SingleComputation)40003
