Carl R. Bacon - Practical Risk-Adjusted Performance Measurement
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- Название:Practical Risk-Adjusted Performance Measurement
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, accomplished risk and investment expert Carl R. Bacon delivers an insightful, accessible, and real-world guide to ex-post risk measurement. The author bridges the gap between theory and practice, showing you how to apply the former to the latter without introducing unnecessary mathematical complexity.
The book describes the fundamentals of risk in the asset management context and the descriptive statistics used to describe it. It builds on that foundation with detailed examinations of concepts like regression, drawdown, and partial moments, before moving on to topics like fixed income risk and Prospect Theory.
With helpful additions that include recently developed measures of risk, supplementary explanatory sections, and six brand-new chapters, this book also offers:
A practical classification of all ex-post risk measures and how they connect to one another An explanation of how risk-adjusted performance measures impact performance fees A discussion of risk measure dashboard designs Instructions on how appraisal measures should be used for manager selection Perfect for portfolio managers, asset owners, risk controllers, and investment performance analysts,
is an indispensable resource for anyone looking for a hands-on exploration of the buy-side, asset management perspective.
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2 Chapter 3TABLE 3.1 Sharpe ratioTABLE 3.2 Risk free rate variabilityTABLE 3.3 Variability of portfolio excess return above risk free rateTABLE 3.4 Information ratio arithmetic excess returnTABLE 3.5 Information ratio geometric excess returnTABLE 3.6 Arithmetic relative skewness and kurtosisTABLE 3.7 Geometric relative skewness and kurtosis
3 Chapter 4TABLE 4.1 Portfolio excess return variabilityTABLE 4.2 Benchmark excess return variabilityTABLE 4.3 CAPM covarianceTABLE 4.4 Bull and bear deviationsTABLE 4.5 Bull covarianceTABLE 4.6 Bear covarianceTABLE 4.7 Specific riskTABLE 4.8 Definitions of excess return
4 Chapter 5TABLE 5.1 Drawdown statisticsTABLE 5.2 Active drawdown statistics
5 Chapter 6TABLE 6.1 Portfolio downside riskTABLE 6.2 Portfolio downside skew and kurtosis
6 Chapter 7TABLE 7.1 Prospect ratios
7 Chapter 8TABLE 8.1 Percentile rank methodologiesTABLE 8.2 Ex-post VaRTABLE 8.3 VaR methodologiesTABLE 8.4 VaR and conditional VaR using daily returnsTABLE 8.5 GaR and tail gain using daily returnsTABLE 8.6 Tail risk
8 Chapter 9TABLE 9.1 Price, Macaulay, modified and Macaulay–Weil durationTABLE 9.2 Effective durationTABLE 9.3 Convexity
9 Chapter 10TABLE 10.1 Upside captureTABLE 10.2 Downside captureTABLE 10.3 Portfolio – Hurst indexTABLE 10.4 Benchmark – Hurst indexTABLE 10.5 Relative Hurst index (arithmetic)TABLE 10.6 Relative Hurst index (geometric)TABLE 10.7 Portfolio bias ratioTABLE 10.8 Benchmark bias ratioTABLE 10.9 Active shareTABLE 10.10 Portfolio cumulative covarianceTABLE 10.11 Period count varianceTABLE 10.12 K ratio error term
10 Chapter 11TABLE 11.1 M 2TABLE 11.2 Differential returnTABLE 11.3 Benchmark downside risk
11 Chapter 12TABLE 12.1 Periodic table of risk measuresTABLE 12.2 Periodic table – notation
12 Chapter 17TABLE 17.1 Reward to risk ratiosTABLE 17.2 Risk-adjusted return measuresTABLE 17.3 Descriptive statisticsTABLE 17.4 What measures do managers use to measure absolute performance?TABLE 17.5 What measures do managers use to measure relative performance?TABLE 17.6 Which of the following risk measures do you currently use?TABLE 17.7 Which of the following risk-adjusted return measures do you curre...TABLE 17.8 Hedge funds: which of the following risk-adjusted return measures...
List of Illustrations
1 Chapter 2 FIGURE 2.1 Deviation from the mean FIGURE 2.2 Normal distributionFIGURE 2.3 Histogram of portfolio returnsFIGURE 2.4 Positive skewFIGURE 2.5 Negative skewFIGURE 2.6 Kurtosis >3, thin peak with fat tailsFIGURE 2.7 Kurtosis <3, broad peak with thin tails
2 Chapter 3FIGURE 3.1 Sharpe ratioFIGURE 3.2 Alternative Sharpe ratioFIGURE 3.3 Revised Sharpe ratioFIGURE 3.4 Information ratio
3 Chapter 4FIGURE 4.1 Regression analysisFIGURE 4.2 Beta timing ratioFIGURE 4.3 Market timingFIGURE 4.4 The geometry of riskFIGURE 4.5 The risk compassFIGURE 4.6 Risk trianglesFIGURE 4.7 Visual riskFIGURE 4.8 Treynor ratioFIGURE 4.9 Appraisal ratioFIGURE 4.10 Fama decomposition
4 Chapter 5FIGURE 5.1 Drawdown statisticsFIGURE 5.2 Pain indexFIGURE 5.3 DrawdownFIGURE 5.4 Active drawdown
5 Chapter 6FIGURE 6.1 Sortino ratio
6 Chapter 8FIGURE 8.1 VaR backtestingFIGURE 8.2 Reward to VaRFIGURE 8.3 Reward to relative VaRFIGURE 8.4 Calculation of Conditional VaRFIGURE 8.5 Conditional VaR
7 Chapter 9FIGURE 9.1 Macaulay durationFIGURE 9.2 Convexity
8 Chapter 10FIGURE 10.1 Hurst indexFIGURE 10.2 Active shareFIGURE 10.3 K ratio
9 Chapter 11FIGURE 11.1 M 2FIGURE 11.2 Differential returnFIGURE 11.3 GH1FIGURE 11.4 GH2FIGURE 11.5 M 2for downside riskFIGURE 11.6 Adjusted M 2
10 Chapter 12FIGURE 12.1 Notation – type of risk measureFIGURE 12.2 Notation – gain:loss moment preferenceFIGURE 12.3 Notation – extreme risk measuresFIGURE 12.4 Notation – investor preferenceFIGURE 12.5 Notation – drawdown
11 Chapter 13FIGURE 13.1 Asymmetric performance fees
12 Chapter 16FIGURE 16.1 The four dimensions of performance
13 Chapter 18FIGURE 18.1 Middle office infrastructure
Guide
1 Cover
2 Table of Contents
3 Title Page Practical Risk-Adjusted Performance Measurement CARL R. BACON Second Edition
4 Copyright
5 Dedication
6 Preface
7 Acknowledgements
8 About the Companion Website
9 Begin Reading
10 Glossary of Key Terms
11 Appendix A: Composite Internal Risk Measures
12 Bibliography
13 Index
14 End User License Agreement
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