Practical Risk-Adjusted Performance Measurement:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Newark
John Wiley & Sons, Incorporated
2021
|
| Ausgabe: | 2nd ed |
| Schriftenreihe: | The Wiley Finance Ser
|
| Online-Zugang: | HWR01 |
| Beschreibung: | Description based on publisher supplied metadata and other sources |
| Beschreibung: | 1 Online-Ressource (323 Seiten) |
| ISBN: | 9781119838869 |
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| 264 | 4 | |c ©2022 | |
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| 505 | 8 | |a 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 | |
| 505 | 8 | |a 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 | |
| 505 | 8 | |a 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 | |
| 505 | 8 | |a 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 | |
| 505 | 8 | |a 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. | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |a Bacon, Carl R. |t Practical Risk-Adjusted Performance Measurement |d Newark : John Wiley & Sons, Incorporated,c2021 |z 9781119838845 |
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Datensatz im Suchindex
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|---|---|
| adam_txt | |
| any_adam_object | |
| any_adam_object_boolean | |
| author | Bacon, Carl R. |
| author_facet | Bacon, Carl R. |
| author_role | aut |
| author_sort | Bacon, Carl R. |
| author_variant | c r b cr crb |
| building | Verbundindex |
| bvnumber | BV048226372 |
| collection | ZDB-30-PQE |
| contents | 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. |
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| dewey-full | 332.6 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | 2nd ed |
| format | Electronic eBook |
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| id | DE-604.BV048226372 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T19:50:45Z |
| indexdate | 2024-07-10T09:32:31Z |
| institution | BVB |
| isbn | 9781119838869 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-033607102 |
| oclc_num | 1287761254 |
| open_access_boolean | |
| owner | DE-2070s |
| owner_facet | DE-2070s |
| physical | 1 Online-Ressource (323 Seiten) |
| psigel | ZDB-30-PQE ZDB-30-PQE HWR_PDA_PQE |
| publishDate | 2021 |
| publishDateSearch | 2021 |
| publishDateSort | 2021 |
| publisher | John Wiley & Sons, Incorporated |
| record_format | marc |
| series2 | The Wiley Finance Ser |
| spelling | Bacon, Carl R. Verfasser aut Practical Risk-Adjusted Performance Measurement 2nd ed Newark John Wiley & Sons, Incorporated 2021 ©2022 1 Online-Ressource (323 Seiten) txt rdacontent c rdamedia cr rdacarrier The Wiley Finance Ser Description based on publisher supplied metadata and other sources 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. Erscheint auch als Druck-Ausgabe Bacon, Carl R. Practical Risk-Adjusted Performance Measurement Newark : John Wiley & Sons, Incorporated,c2021 9781119838845 |
| spellingShingle | Bacon, Carl R. Practical Risk-Adjusted Performance Measurement 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. |
| title | Practical Risk-Adjusted Performance Measurement |
| title_auth | Practical Risk-Adjusted Performance Measurement |
| title_exact_search | Practical Risk-Adjusted Performance Measurement |
| title_exact_search_txtP | Practical Risk-Adjusted Performance Measurement |
| title_full | Practical Risk-Adjusted Performance Measurement |
| title_fullStr | Practical Risk-Adjusted Performance Measurement |
| title_full_unstemmed | Practical Risk-Adjusted Performance Measurement |
| title_short | Practical Risk-Adjusted Performance Measurement |
| title_sort | practical risk adjusted performance measurement |
| work_keys_str_mv | AT baconcarlr practicalriskadjustedperformancemeasurement |