Practical Risk-Adjusted Performance Measurement

Name: Practical Risk-Adjusted Performance Measurement
Brand: Wiley-Blackwell
Price: 66.99 EUR
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Carl R. Bacon(Autor*in)

Wiley-Blackwell (Verlag)

2. Auflage

Erschienen am 22. Oktober 2021

320 Seiten

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Inhalt

Cover
Title Page
Copyright Page
Contents
Preface
Acknowledgements
About the Companion Website
Chapter 1 Introduction
Definition of risk
Risk types
Risk management versus risk control
Risk aversion
Ex post and ex ante
Dispersion
Chapter 2 Descriptive Statistics
Mean (or arithmetic mean)
Annualised return
Continuously compounded returns (or log returns)
Winsorised mean
Mean absolute deviation (or mean deviation)
Variance
Mean difference (absolute mean difference or Gini mean difference)
Relative mean difference
Bessel's correction (population or sample, n or n - 1)
Sample variance
Standard deviation (variability or volatility)
Annualised risk (or time aggregation)
The Central Limit Theorem
Frequency and number of data points
Alternative risk annualisation methods
Normal (or Gaussian) distribution
Histograms
Skewness (Fisher's or moment skewness)
Sample skewness
Kurtosis (Pearson's kurtosis)
Excess kurtosis (or Fisher's kurtosis)
Sample kurtosis
Bera-Jarque statistic (or Jarque-Bera)
Covariance
Sample covariance
Correlation (?)
Sample correlation
Autocovariance
Autocorrelation (or serial correlation)
Annualised variability if returns are autocorrelated
Chapter 3 Performance Appraisal Measures
Performance appraisal
Sharpe ratio (reward to variability, Sharpe index)
Roy ratio
Risk-free rate
Alternative Sharpe ratio
Revised Sharpe ratio
Adjusted Sharpe ratio
Skew-adjusted Sharpe ratio
Skewness-kurtosis ratio
Alternative adjusted Sharpe ratios
Smoothing-adjusted Sharpe ratio
MAD ratio
Gini ratio
Relative risk
Tracking error (or tracking risk, relative risk, active risk)
Relative skewness
Relative kurtosis
Information ratio
Geometric information ratio
Modified information ratio
Adjusted information ratio
Skew-adjusted information ratio
Chapter 4 Regression Analysis
Regression equation
Regression alpha
Regression beta
Regression epsilon
Capital asset pricing model (CAPM)
Beta (ß) (systematic risk or volatility)
Jensen's alpha (Jensen's measure or Jensen's differential return or ex-post alpha)
Annualised alpha
Bull beta (ß+)
Bear beta (ß-)
Beta timing ratio
Market timing
Systematic risk
Correlation
R2 (or coefficient of determination)
Specific (or residual) risk
The geometry of risk
Treynor ratio (reward to volatility)
Modified Treynor ratio
Appraisal ratio (or Treynor-Black ratio)
Modified Jensen
Fama decomposition
Selectivity
Diversification
Net selectivity
Fama-French three-factor model
Three-factor alpha (or Fama-French alpha)
Carhart four-factor model
Four-factor alpha (or Carhart's alpha)
Types of alpha
Multi-factor models
Chapter 5 Drawdown
Average drawdown
Maximum drawdown
Largest individual drawdown
Recovery time (or drawdown duration)
Drawdown deviation
Ulcer index
Pain index
Calmar ratio (or Drawdown ratio)
MAR ratio
Sterling ratio
Sterling-Calmar ratio
Burke ratio
Modified Burke ratio
Martin ratio (or Ulcer performance index)
Pain ratio
Active (or relative) drawdown
Chapter 6 Partial Moments
Downside risk (or semi-standard deviation)
Downside potential
Pure downside risk
Half variance (or semi-variance)
Upside risk (or upside uncertainty)
Mean absolute moment
Omega ratio (O)
Bernardo and Ledoit (or gain-loss) ratio
d ratio
Omega-Sharpe ratio
Sortino ratio
Reward to half-variance
Downside risk Sharpe ratio
Downside information ratio
Sortino-Satchell ratio
Kappa ratio
Upside potential ratio
Volatility skewness
Variability skewness
Farinelli-Tibiletti Ratio
Gain-loss skewness
Downside skewness and kurtosis
Sortino ratio with higher order moments
Chapter 7 Prospect Theory
Prospect ratio
New Prospect ratio
Omega-Prospect ratio
Chapter 8 Extreme Risk
Extreme events
Extreme value theory
Value at risk (VaR)
Relative VaR
Ex-post VaR
Potential upside (gain at risk)
Percentile rank
VaR Calculation Methodology
Parametric VaR
Modified VaR
Historical simulation (or non-parametric)
Monte Carlo simulation
Which Methodology for Calculating VaR Should Be Used?
VaR Interpretation
Frequency and time aggregation
Time horizon
Window length
Reward To VaR
Reward To Relative VaR
Double VaR Ratio
Conditional VaR (Expected Shortfall, Tail Loss, Tail VaR or Average VaR)
Upper CVaR or CVaR+
Lower CVaR or CVaR-
Tail gain (expected gain or expected upside)
Conditional Sharpe Ratio (Starr Ratio or Reward to Conditional VaR)
Modified Sharpe Ratio (Reward to Modified VaR)
Tail risk
Tail ratio
Rachev ratio (or R ratio)
Generalised Rachev ratio
Drawdown at risk
Conditional drawdown at risk
Reward to conditional drawdown
Generalised Z ratio
Chapter 9 Fixed Income Risk
Pricing fixed income instruments
Redemption yield (yield to maturity)
Weighted average cash flow
Duration (effective mean term, discounted mean term or volatility)
Macaulay duration
Macaulay-Weil duration
Modified duration
Portfolio duration
Effective duration (or option-adjusted duration)
Duration to worst
Convexity
Modified convexity
Effective convexity
Portfolio convexity
Bond returns
Duration beta
Reward to duration
Chapter 10 Miscellaneous Risk Measures
Upside capture ratio (or Up capture indicator)
Downside capture ratio (or Down capture indicator)
Up/down capture (or Capture ratio)
Up number ratio
Down number ratio
Up percentage ratio
Down percentage ratio
Percentage gain ratio
Batting average (or Relative batting average)
Hurst index (or Hurst exponent)
Relative Hurst index (or Active Hurst)
Bias ratio
Active share
K ratio
Chapter 11 Risk-Adjusted Return
M
M excess return
Differential return
GH1 (Graham and Harvey 1)
GH2 (Graham and Harvey 2)
Correlation and risk-adjusted return M
Return adjusted for downside risk
Adjusted M
Skew-adjusted M
Omega excess return
Chapter 12 A Periodic Table of Risk Measures
Periodic table design
Filling the periodic table
Notation
Chapter 13 Risk-Adjusted Performance Fees
Performance fees
Asymmetric or symmetric
Performance fees in practice
Chapter 14 Performance Dashboards
Effective dashboards
Data visualisation tools
Chapter 15 Manager Selection
Asset manager selection
Manager evaluation
Portfolio evaluation
Monitoring and control
Chapter 16 The Four Dimensions of Performance
Ex-post return (the traditional dimension)
Ex-post risk (the neglected dimension)
Ex-ante return (the unknown dimension)
Ex-ante risk (the "sexy" dimension)
Risk efficiency ratio
Performance efficiency
Ex-ante risk standards
Consistency in calculations and comparison
Disclosure
Recognition of adherence to best practice
More robust internal process and control
Chapter 17 Which Risk Measure to Use?
Why measure ex-post risk?
Which risk measures to use?
Hedge funds
Smoothing
Outliers
Data mining
Risk measures and the Global Investment Performance Standards (GIPS®)
Fund rating systems
Which measures are actually used?
Which risk measures should really be used?
Common errors to avoid
Chapter 18 Risk Control
Regulations in the investment risk area
Risk control structure
Risk management
Glossary of Key Terms
Appendix A Composite Internal Risk Measures
Bibliography
Index
EULA

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