Eres : Digital Library : Works

Paper eres2007_135:
Measuring the Stability of Performance by Means of the Volatility Ratio

id eres2007_135
authors Keeris, Willem; Ruben Langbroek
year 2007
title Measuring the Stability of Performance by Means of the Volatility Ratio
source 14th Annual European Real Estate Society Conference in London, UK
summary It is not only the average achieved return-performance that has to meet the demanded return/risk profile of the property and the enterprise goals, but also the underlying yearly returns must reveal a relative stable picture. The reliability of the results is a good indicator for the positioning of the property in the market and the quality of the management. Additionally, it can contribute to ALM-studies and financial engineering at fund level with property derivatives. Currently, the standard deviation is used as a measure for financial risks. Previously, objections were expressed against this measure. Beside these objections, it is proven that the standard deviation is merely a measure of dispersal of returns and not one of volatility. Nevertheless, the standard deviation is generally accepted and frequently used. It is apparent that increased insight in the volatility is necessary. The development of the Volatility ratio meets that need. The starting point of this ratio is the number of years with a confined difference in return between two successive years. The Volatility ratio illustrates to what extent the performance development is stable. This paper describes the theoretical framework on which this ratio is based and presents and explains the newly developed ratio.
series ERES:conference
discussion No discussions. Post discussion ...
session Session A5: Portfolio Construction & Performance Measurement
last changed 2009/11/19 09:01
HOMELOGIN (you are user _anon_145453 from group guest) Powered by SciX Open Publishing Services 1.002