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Bus/Financial - Investment / Securities / acknowledged his/her sign | | English term or phrase: CS Character / CS Ratio | | Les deux termes se trouvent dans un tableau de statistiques décrivant des performances d'investissement, où l'on trouve d'autres termes tels que "Annualised Risk", "Sharpe Ratio", "Skewness" ou encore "Kurtosis". |
| | | French translation:Cascon et Shadwick | Explanation:
Je me demande si CS ne se réfère pas à Cascon et Shadwick :
When the standard deviation is defined, the ratio of standard deviation to standard dispersion is an affine invariant. We have called this the first C-S Character.[...]
The‘Cascon-Shadwickian’ CSS0 is a global attractor under a natural action on the space of Omega functions. This results in a new Central Limit Theorem.
http://www.math.hawaii.edu/~erik/lectures/shadwick/slides/le...
The CS Character and Limitations of the Sharpe Ratio
Ana Cascon, William F. Shadwick :
Next we introduce the first CS character, a statistic that provides a simple test for the validity of the assumption that standard deviation provides a common unit of risk. Applied to our examples, the first CS character confirms observations and provides a simple test for the applicability of standard deviation as a risk measure.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1687982
The document introduces a new statistic Shadwick calls the C-S Character of a distribution. He says this measure is vastly superior to kurtosis in dealing with the sort of data sets available from hedge fund managers.
http://allaboutalpha.com/blog/2007/05/20/the-hedge-fund-metr...
One possible extension would be to use the CS ratio (CASCON and SHADWICK [2007]) rather than the Sharpe ratio to compute the RATS as this would better estimate the downside risk.[...]
To address this, the CS RATS was developed using the CS ratio introduced in CASCON and SHADWICK [2007]
http://www.thecambridgestrategy.com/research/2010/aug/resear... |
| Selected response from:
  Stéphanie Soudais
France
Local time: 16:18
| Grading comment Merci !
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