Home > Articles > Volume 40 (2022) > Chapter 3 (March 2022) > Stocks & Commodities V. 40:03 (14–20): Linear Regression Of Price And Time Part 3 by Mike B. Siroky, MD

Stocks & Commodities V. 40:03 (14–20): Linear Regression Of Price And Time Part 3 by Mike B. Siroky, MD

Stocks & Commodities V. 40:03 (14–20): Linear Regression Of Price And Time Part 3 by Mike B. Siroky, MD
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Linear Regression Of Price And Time Part 3 by Mike B. Siroky, MD

The relationship between individual security (or portfolio) performance and volatility is critical and is constantly changing over time. Here, we introduce a new measuring tool so you can monitor this changing relationship. It indicates when a given portfolio holding is exhibiting deteriorating risk-adjusted performance, which may suggest it as a potential candidate for sale.

In the 1950s Harry Markowitz at the University of Chicago introduced the concept of measuring risk-adjusted returns for investment portfolios ...




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