A Comparative Analysis on Different Risk Measures With Respect to BSE SENSEX

Risk measures are the historical predictors of investment. Risk and volatility are major components in the world of modern investment. There are five principal risk measures: Alpha: Measures risk relative to the market or benchmark index, Beta: Measures volatility or systemic risk compared to the market or the benchmark index, R-Squared: Measures the percentage of an investment's movement that are attributable to movements in its benchmark index, Standard Deviation: Measures how much return on an investment is deviating from the expected normal or average returns and Sharpe Ratio: An indicator of whether an investment's return is due to smart investing decisions or a result of excess risk. Each risk measure is unique in how it measures risk. When comparing two or more potential investments, an investor should always compare the same risk measures to each different potential investment to get a relative performance. This paper tries to identify the differences between different risk measures with respect to BSE SENSEX