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# Asd Statisctic

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Statistics 103 - Fall 2015 Term Project YuJie Fang:998874144 JiaYing Fang:
1.The first considers the returns of financial assets, and aims to define and interpret ratios or indices, the performance measures or reward-to-risk ratios, for the purpose of determining the assets’ risk/return trade-off. The second analyses returns of managed portfolios and focuses on the introduction and use of models and approaches which make possible to infer the choices made by investment managers. There are four performance measures: : the expected return over range, where the risk measure is given by the maximum range; the VaR ratio, which is the ratio of the upper and lower quantiles of a given return distribution; and two performance measures derived from a utility function with loss aversion.
2. 2.1 Traditional Performance Measures and Other Unclassified Measures

2.2 Measures Based on Drawdown

2.3 Measures Based on Partial Moments 2.4 Measures Based on Quantiles 2.5 Measures Derived from Utility Functions

Recalling in this quarter what we learned, in briefly , in 2.5 there are some concepts we haven’t learn before. However, those problem will use the same method as we used in class to calculates the results.
3.we might investigate topic of : traditional indices, Risk Adjusted Performance (RAP), measures based on risk indices focusing on the drawdown, measures based on partial moments, A class of performance measures similar to the previous one replaces partial moments with reward and variability measures based on quantiles, performance measures deviate from the general structure of reward-tovariability ratios. And find example as evidence.