STARR ratio in portfolio management

How to measure the risk-adjusted portfolio performance when asset returns are non-normal or when the investor is concerned with tail losses? One of the intuitive refinements for Sharpe ratio in this situation is the Martin, Rachev, and Siboulet (2003) STARR ratio with conditional value-at-risk (CVaR). Today we are learning how to apply this ratio in Excel for both performance evaluation and portfolio optimisation with different assumptions for CVaR calculations.

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[surendrabarsode]

Excellent explanation of the concept and calculation of the STARR ratio! Thanks Savva!!

[MrMahankumar]

Hey man

This is a very good video.
Today a friend asked me about post hoc analysis on data. Courtesy you, I was able to explain them so simply in excel

[ondrejivanco]

Thank you for excellent tutorial. I'm trying to calculate Rachev Ratio as a risk on/off signal. Is there any plan to make a video on this topic or do you have the spreadsheet for patreons?

[zumus]

thanks for your video as always！Can you explain why you use geomean to calculate average daily return ? cheers！

[ЕвгенийКрасилов-оо]

Am I wrong or in our portfolio we assume everyday rebalance of assets to target our weights? That can dramatically decrease our portfolio performance. It would be better to set numerical value (for example 30) - number of days before reallocate our assets. Or try to make rebalance every month end.