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更新済 Risk Metrics: beta 'β', correl 'ρxy', stdev 'σ', variance 'σ²'

Portfolio Risk Metrics (Part I):
beta 'β'
The beta coefficient can be interpreted as follows:
β =1 exactly as volatile as the market
β >1 more volatile than the market
β <1>0 less volatile than the market
β =0 uncorrelated to the market
β <0 negatively correlated to the market
excerpt from the Corporate Finance Institute
correlation coefficient 'ρxy'
The correlation coefficient is a value that indicates the strength of the relationship between variables.
The coefficient can take any values from -1 to 1. The interpretations of the values are:
-1: Perfect negative correlation. The variables tend to move in opposite directions
(i.e., when one variable increases, the other variable decreases).
0: No correlation. The variables do not have a relationship with each other.
1: Perfect positive correlation. The variables tend to move in the same direction
(i.e., when one variable increases, the other variable also increases).
excerpt from the Corporate Finance Institute
standard deviation 'σ'
68% of returns will fall within 1 standard deviation of the arithmetic mean
95% of returns will fall within 2 standard deviations of the arithmetic mean
99% of returns will fall within 3 standard deviations of the arithmetic mean
excerpt from Corporate Finance Institute
variance 'σ²'
In investing, variance is used to compare the relative performance of each asset in a portfolio.
Because the results can be difficult to analyze, standard deviation is often used instead of variance.
In either case, the goal for the investor is to improve asset allocation.
excerpt from Investopedia
beta 'β'
The beta coefficient can be interpreted as follows:
β =1 exactly as volatile as the market
β >1 more volatile than the market
β <1>0 less volatile than the market
β =0 uncorrelated to the market
β <0 negatively correlated to the market
excerpt from the Corporate Finance Institute
correlation coefficient 'ρxy'
The correlation coefficient is a value that indicates the strength of the relationship between variables.
The coefficient can take any values from -1 to 1. The interpretations of the values are:
-1: Perfect negative correlation. The variables tend to move in opposite directions
(i.e., when one variable increases, the other variable decreases).
0: No correlation. The variables do not have a relationship with each other.
1: Perfect positive correlation. The variables tend to move in the same direction
(i.e., when one variable increases, the other variable also increases).
excerpt from the Corporate Finance Institute
standard deviation 'σ'
68% of returns will fall within 1 standard deviation of the arithmetic mean
95% of returns will fall within 2 standard deviations of the arithmetic mean
99% of returns will fall within 3 standard deviations of the arithmetic mean
excerpt from Corporate Finance Institute
variance 'σ²'
In investing, variance is used to compare the relative performance of each asset in a portfolio.
Because the results can be difficult to analyze, standard deviation is often used instead of variance.
In either case, the goal for the investor is to improve asset allocation.
excerpt from Investopedia
リリースノート
Conversion from percentages to decimals for better plot/visualization consistency. Added ρxy² (correlation squared).
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オープンソーススクリプト
TradingViewの精神に則り、この作者はスクリプトのソースコードを公開しているので、その内容を理解し検証することができます。作者に感謝です!無料でお使いいただけますが、このコードを投稿に再利用する際にはハウスルールに従うものとします。
免責事項
これらの情報および投稿は、TradingViewが提供または保証する金融、投資、取引、またはその他の種類のアドバイスや推奨を意図したものではなく、またそのようなものでもありません。詳しくは利用規約をご覧ください。