Practical risk-adjusted performance measurement / / Carl R. Bacon

• Record Nr.: UNINA9910830834203321
• Autore: Bacon Carl R.
• Pubbl/distr/stampa: Hoboken, New Jersey : , : Wiley, , [2022]; ©2022
• ISBN: 1-119-83887-8; 1-119-83888-6; 1-119-83886-X
• Edizione: [2nd ed.]
• Descrizione fisica: 1 online resource (323 pages)
• Collana: The Wiley Finance
• Disciplina: 658.155
• Soggetti: Financial risk management
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: 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 (ρ) -- 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 (β) (systematic risk or volatility) -- Jensen's alpha (Jensen's measure or Jensen's differential return or ex‐post alpha) -- Annualised alpha -- Bull beta (β+) -- Bear beta (β−) -- 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 (Ω) -- 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.
• Sommario/riassunto: "Risk has an undeserved reputation within asset management for being an overly complex, mathematical subject. Practical Risk-adjusted Performance Measurement, Second Edition simplifies the subject and demonstrates with practical examples that risk is perfectly straightforward and not as complicated as it might seem. Written for risk and performance measurement practitioners from a buy side, asset management perspective, this book fills the gap between practice and theory, focusing on quantitative ex-post measures rather than the qualitative aspects of risk and providing numerous, practical worked examples of risk measures and their interpretation. This fully updated new edition takes the opportunity to add several new measures, provide additional explanations where necessary and add six new chapters. Chapters 1 and 2 introduce the subject of risk in the context of asset management firms and lay out the foundations by setting out the descriptive statistics that will be used in later chapters. The following chapters are structured according to the type of risk measure being considered: simple performance appraisal measures in Chapter 3, regression measures in Chapter 4, drawdown in Chapter 5, partial moments in Chapter 6, a new Chapter 7 based on Prospect Theory, extreme risk in Chapter 8, risk measures for fixed income instruments in Chapter 9, a new Chapter 10 including miscellaneous risk measures ; which are difficult to characterise and risk-adjusted returns in Chapter 11. Chapters 12 to 16 are entirely new chapters for this edition. Chapter 12 classifies all of the ex-post risk measures and describes how they are linked in the form of a periodic table of risk measures. Chapter 13 discusses the use of risk-adjusted performance measures in the context of performance fees. Chapter 14 discusses dashboard design in the context of risk measures, Chapter 15 looks at the important subject of how appraisal measures should be used in the context of manager selection and Chapter 16 introduces the four dimensions of performance and makes the call for ex-ante risk standards. In the penultimate Chapter 17 there is a discussion about which risk measures to use and finally in Chapter 18 their application in terms of risk control. Risk, like beauty, is very much in the eye of the beholder -- different risk measures will suit different investment strategies or investor concerns at different times so this book does not recommend any particular risk measure. Instead, it provides the necessary information and insight to determine one's own preferences in a concise and easy-to -navigate style."--