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Practical portfolio performance measurement and attribution / / Carl R. Bacon
| Practical portfolio performance measurement and attribution / / Carl R. Bacon |
| Autore | Bacon Carl R. |
| Edizione | [Third edition.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2023 |
| Descrizione fisica | 1 online resource (561 pages) |
| Disciplina | 332.6 |
| Soggetto topico |
Investment analysis
Portfolio management Business enterprises - Finance |
| ISBN |
1-119-83197-0
1-119-83195-4 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover -- Title Page -- Copyright -- Contents -- Acknowledgements -- 1 Introduction -- Why Measure Portfolio Performance? -- The Performance Measurement Process -- The Purpose of This Book -- The Role of Performance Analysts -- Book Structure -- 2 The Asset Management Industry -- Asset Classes -- Public Equities -- Bonds (or Fixed Income) -- Cash (and near cash) -- Private Assets -- Real estate -- Private equity -- Private debt -- Infrastructure -- Natural resources -- Commodities -- Derivatives -- Futures -- Forwards -- Swaps -- Options -- Option price sensitivity (the Greeks) -- Warrants -- Convertible bonds -- Contracts for difference (CFDs) -- Overlay strategies -- Currency -- Hedge Funds -- Asset Allocation -- Strategic asset allocation -- Tactical asset allocation -- 3 The Mathematics of Portfolio Return -- Simple Return -- Continuously Compounded (or Logarithmic) Returns -- Money‐weighted Returns (MWRs) -- Internal rate of return (IRR) -- Ex‐ante internal rate of return -- Simple internal rate of return -- Ex‐post internal rate of return -- Simple Dietz -- ICAA method -- Modified Dietz -- Time‐weighted Returns (TWRs) -- True time‐weighted -- Unit price method -- Unit price method with distributions -- Time‐weighted versus Money‐weighted Rates of Return -- Approximations to the Time‐weighted Return -- Index substitution -- Regression method (or β method) -- Analyst's test -- Hybrid Methodologies -- Linked modified Dietz -- BAI method (or linked IRR) -- Which Method to Use? -- Late trading and market timing -- Self‐selection -- Large Cash Flow -- Self‐selection of methodologies -- Annualised Returns -- Since‐inception internal rate of return (SI‐IRR) -- Modified IRR (MIRR) -- Return hiatus -- Gross‐ and Net‐of‐fee Calculations -- Estimating gross‐ and net‐of‐fee returns -- Initial fees -- Performance fees -- Asymmetric or symmetric.
Crystallisation -- Performance fees in practice -- Equalisation -- Reporting hierarchy -- Overlay Strategies -- Overlay performance return calculations -- Base Currency and Local Returns -- Currency conversions -- Hedged Returns -- Currency overlay returns -- Perfectly hedged returns -- Portfolio Component Returns -- Money‐weighted component returns -- Time‐weighted component returns -- End of day -- Beginning of day -- Intra‐day weighted -- Differentiated -- Actual time -- Rule‐based -- Extremely large cash flows -- Which timing assumption to use for time‐weighted returns? -- Carve‐outs -- Sub‐portfolios -- Cash sectors -- Individual security returns -- Multi‐period component returns -- Abnormal returns -- Short positions -- Contribution to Return -- Composite Returns -- 4 Benchmarks -- Benchmarks -- Benchmark attributes -- Best benchmark practice -- The Role of Benchmarks -- Types of Benchmarks -- Commercial Indexes -- Calculation methodologies -- Aggregate price index (price‐weighted index or Carli type) -- Geometric (or Jevons type) index -- Market capitalisation index -- Laspeyres index -- Paasche index -- Marshall-Edgeworth index -- Fisher index -- Equal‐weighted indexes -- Fundamental indexes -- Optimised indexes (efficient or minimum variance indexes) -- Style‐ and factor‐based indexes -- Fixed income indexes -- Index providers -- Choice of index provider -- Self‐indexing -- Benchmark regulation -- Choice of index -- Currency effects in benchmarks -- Hedged indexes -- Customised Indexes -- Capped indexes -- Peer Groups and Universes -- Percentile rank -- Random Portfolios -- Exchange‐traded Funds (ETFs) -- Target Returns -- Blended Benchmarks (or Balanced Benchmarks) -- Fixed‐weight and dynamised benchmarks -- Spliced Indexes -- Money‐weighted Benchmarks (or Public Market Equivalents) -- Normal Portfolio -- Benchmark Statistics. Index turnover -- Up‐capture indicator -- Down‐capture indicator -- Up‐number ratio -- Down‐number ratio -- Up‐percentage ratio -- Down‐percentage ratio -- Percentage gain ratio -- Excess Return -- Arithmetic excess return -- Geometric excess return -- 5 Risk -- Definition of Risk -- Risk types -- Risk management versus risk control -- Risk aversion -- Ex‐post and ex‐ante -- Descriptive Statistics -- Mean (or arithmetic mean) -- Mean absolute deviation (or mean deviation) -- Variance -- 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 -- 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 -- 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 -- Relative Risk -- Tracking error (or tracking risk, relative risk, active risk) -- Information ratio -- Geometric information ratio -- Modified information ratio -- 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 ( +) -- Bear beta ( −) -- Bear beta (& -- rmbeta -- −) -- Beta timing ratio -- Market timing -- Systematic risk -- Correlation. R2 (or coefficient of determination) -- Specific (or residual) risk -- Treynor ratio (reward to volatility) -- Appraisal ratio (or Treynor‐Black ratio) -- Factor Models -- 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) -- Multi‐factor models -- 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 -- 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 -- Sortino-Satchell ratio -- Upside potential ratio -- Volatility skewness -- Variability skewness -- Farinelli-Tibiletti ratio -- Prospect ratio -- 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 -- Miscellaneous Risk Measures -- Hurst index (or Hurst exponent) -- Bias ratio. Active share -- Value at risk (VaR) -- Risk‐adjusted Return -- M2 -- M2 excess return -- Differential return -- Adjusted M2 -- Skew‐adjusted M2 -- Types of Excess Return (or Alpha) -- A Periodic Table of Risk Measures -- Periodic table design -- Why measure ex‐post risk? -- Which risk measures to use? -- Hedge funds -- Smoothing -- Outliers -- Data mining -- Time period -- 6 Return Attribution -- What Is Attribution? -- Definition -- Attribution as an asset management tool -- Early development -- Types of Return Attribution -- Returns‐based (regression or factor) attribution -- Holdings‐based (or buy/hold) attribution -- Transaction‐based attribution -- Arithmetic Attribution -- Brinson, Hood and Beebower -- Asset allocation -- Security (or stock) selection -- Interaction -- Brinson and Fachler -- Interaction -- Geometric Excess Return Attribution -- Asset allocation -- Stock selection -- Sector Weights -- Frequency of Analysis -- Security‐level attribution -- Transaction costs -- Off‐benchmark (or zero‐weight sector) attribution -- Attribution consistent with the investment decision process -- Market‐neutral attribution -- Attribution for 130/30 funds (or extended short funds) -- Leverage (or gearing) -- Attribution Including Derivatives -- Attribution including equity index futures -- Attribution analysis using options -- Multi‐currency Attribution -- Ankrim and Hensel -- Karnosky and Singer -- Geometric Multi‐currency Attribution -- Naïve currency attribution -- Compounding effects -- Geometric currency allocation -- Currency timing -- Interest Rate Differentials -- Revised currency allocation -- Revised country allocation -- Incorporating forward currency contracts -- Summarising -- Other currency issues -- Fixed Income Attribution -- The yield curve -- Yield curve analysis -- Carry -- Credit (or spread) -- Yield curve decomposition. Wagner and Tito. |
| Record Nr. | UNINA-9910676534603321 |
Bacon Carl R.
|
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| Hoboken, New Jersey : , : Wiley, , 2023 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Practical risk-adjusted performance measurement / / Carl R. Bacon
| Practical risk-adjusted performance measurement / / Carl R. Bacon |
| Autore | Bacon Carl R. |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , [2022] |
| Descrizione fisica | 1 online resource (323 pages) |
| Disciplina | 658.155 |
| Collana | The Wiley Finance Ser. |
| Soggetto topico | Financial risk management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-83887-8
1-119-83888-6 1-119-83886-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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. |
| Record Nr. | UNINA-9910554807803321 |
|
Bacon Carl R.
|
||
| Hoboken, New Jersey : , : Wiley, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Practical risk-adjusted performance measurement / / Carl R. Bacon
| Practical risk-adjusted performance measurement / / Carl R. Bacon |
| Autore | Bacon Carl R. |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , [2022] |
| Descrizione fisica | 1 online resource (323 pages) |
| Disciplina | 658.155 |
| Collana | The Wiley Finance |
| Soggetto topico | Financial risk management |
| ISBN |
1-119-83887-8
1-119-83888-6 1-119-83886-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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. |
| Record Nr. | UNINA-9910830834203321 |
|
Bacon Carl R.
|
||
| Hoboken, New Jersey : , : Wiley, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||