Practical Risk-Adjusted Performance MeasurementA 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 perspective, including a number of practical worked examples for risk measures and their interpretation. |
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Common terms and phrases
adjusted Sharpe ratio annualised return arithmetic excess return asset management benchmark return Bessel's correction beta bias ratio bond calculated in Exhibit Calmar ratio CAPM cash flow continuously compounded convexity Correlation counterparty covariance cumulative return CVaR differential return downside risk excess kurtosis expected shortfall expost risk FamaFrench Figure geometric excess returns Gini GIPS hedge funds Hurst index information ratio inthe Investment Performance investors Jensen's alpha Lake ratio Macaulay duration maximum drawdown mean difference monthly negative normal distribution number of observations ofreturns ofthe Pain index Parametric percentile Performance Measurement period portfolio and benchmark portfolio manager Portfolio Performance portfolio returns portfolio risk potential upside prefer rank portfolios regression equation relative mean difference return distribution risk control risk free rate risk management risk measures riskadjusted return sample Sharpe ratio skewness and kurtosis Sortino ratio standard deviation strategies suggested systematic risk Table tail tothe tracking error Treynor ratio UCITS underperformance value at risk variability volatility