LEADER 05360nam 2200661Ia 450 001 9910826165703321 005 20240516184313.0 010 $a1-118-67362-X 010 $a1-283-65629-9 010 $a1-118-39153-5 035 $a(CKB)2670000000262691 035 $a(EBL)947704 035 $a(OCoLC)796230369 035 $a(OCoLC)820830009 035 $a(MiAaPQ)EBC947704 035 $a(DLC) 2012025787 035 $a(Au-PeEL)EBL947704 035 $a(CaPaEBR)ebr10608184 035 $a(CaONFJC)MIL396879 035 $a(EXLCZ)992670000000262691 100 $a20120621d2012 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aPractical risk-adjusted performance measurement /$fCarl R. Bacon 205 $a2nd ed. 210 $aWest Sussex $cWiley$d2012 215 $a1 online resource (237 p.) 225 0 $aWiley finance 300 $aDescription based upon print version of record. 311 $a1-118-39152-7 311 $a1-118-36974-2 320 $aIncludes bibliographical references and index. 327 $aPractical Risk-Adjusted Performance Measurement; Contents; Preface; Acknowledgements; 1 Introduction; Definition of risk; Risk types; Risk management v risk control; Risk aversion; Ex-post and ex-ante; Dispersion; 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 327 $aStandard deviation (variability or volatility)Annualised risk (or time aggregation); The Central Limit Theorem; Janssen annualisation; Frequency and number of data points; 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; Up capture indicator; Down capture indicator; Up number ratio; Down number ratio; Up percentage ratio; Down percentage ratio 327 $aPercentage gain ratio Hurst index (or Hurst exponent); Bias ratio; Performance appraisal; Sharpe ratio (reward to variability, Sharpe index); Roy ratio; Risk free rate; Alternative Sharpe ratio; Revised Sharpe ratio; Adjusted Sharpe ratio; Skewness-kurtosis 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; Relative Hurst; 4 Regression Analysis; Regression equation; Regression alpha (?R) 327 $aRegression beta (?R)Regression epsilon (?R); Capital Asset Pricing Model (CAPM); Beta (?) (systematic risk or volatility); Jensen's alpha (Jensen's measure or Jensen's differential return or ex-post alpha); Annualised alpha; Bull beta (? +); Bear beta (?-); Beta timing ratio; Market timing; Systematic risk; R2 (or coefficient of determination); Specific or residual 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 327 $aThree factor alpha (or Fama-French alpha)Carhart four factor model; Four factor alpha (or Carhart's alpha); K ratio; 5 Drawdown; Drawdown; Average drawdown; Maximum drawdown (or peak to valley 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; Lake ratio; Peak ratio; 6 Partial Moments; Downside risk (or semi-standard deviation); Pure downside risk 327 $aHalf variance (or semi-variance) 330 $aA practitioner's guide to ex-post performance measurement techniques Risk within asset management firms has an undeserved reputation for being an overly complex, mathematical subject. This book simplifies the subject and demonstrates with practical examples that risk is perfectly straightforward and not as complicated as it might seem. Unlike most books written on portfolio risk, which generally focus on ex-ante risk from an academic perspective using complicated language and no worked examples, this book focuses on ex-post risk from a buy side, asset management, risk practitioners pe 410 0$aWiley finance series. 606 $aFinancial risk management 606 $aPerformance standards 606 $aRisk management 615 0$aFinancial risk management. 615 0$aPerformance standards. 615 0$aRisk management. 676 $a658.15/5 700 $aBacon$b Carl R$0614521 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910826165703321 996 $aPractical risk-adjusted performance measurement$93964725 997 $aUNINA