{"product_id":"practical-riskadjusted-performance-measurement-9781119838845","title":"Practical RiskAdjusted Performance Measurement","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003e\u003cp\u003e\u003cb\u003eExplore different measures ofex-postrisk-adjusted performance measurementand learn to choose the correct one\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIn the newly revised Second Edition of\u003ci\u003ePractical Risk-Adjusted Performance Measurement\u003c\/i\u003e,accomplished riskand investment expert Carl R. Bacon deliversan insightful, accessible, and real-world guide to ex-post risk measurement. The author bridges the gap between theory and practice, showing you how to apply the former to the latter without introducing unnecessary mathematical complexity.\u003c\/p\u003e \u003cp\u003eThe book describes the fundamentals of risk in the asset management context and the descriptive statistics used to describe it.It builds on that foundation with detailed examinations ofconcepts like regression, drawdown, and partial moments, before moving on to topics like fixed income riskand Prospect Theory.\u003c\/p\u003e \u003cp\u003eWithhelpfuladditionsthat includerecently developed measuresof risk,supplementaryexplanatory sections, and sixbrand-new chapters,this book also offers:\u003c\/p\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003e\u003cb\u003eChapter 1 Introduction 15\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDefinition of risk 15\u003c\/p\u003e \u003cp\u003eRisk types 15\u003c\/p\u003e \u003cp\u003eRisk management v Risk control 18\u003c\/p\u003e \u003cp\u003eRisk aversion 19\u003c\/p\u003e \u003cp\u003eEx-post and ex-ante 19\u003c\/p\u003e \u003cp\u003eDispersion 20\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Descriptive statistics 21\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMean (or arithmetic mean) 21\u003c\/p\u003e \u003cp\u003eAnnualised return 22\u003c\/p\u003e \u003cp\u003eContinuously compounded returns (or log returns) 22\u003c\/p\u003e \u003cp\u003eWinsorised mean 23\u003c\/p\u003e \u003cp\u003eMean absolute deviation (or mean deviation) 24\u003c\/p\u003e \u003cp\u003eVariance 25\u003c\/p\u003e \u003cp\u003eMean difference (absolute mean difference or Gini mean difference) 30\u003c\/p\u003e \u003cp\u003eRelative mean difference 31\u003c\/p\u003e \u003cp\u003eBessel’s correction (population or sample, n or n-1) 31\u003c\/p\u003e \u003cp\u003eSample variance 35\u003c\/p\u003e \u003cp\u003eStandard deviation (variability or volatility) 36\u003c\/p\u003e \u003cp\u003eAnnualised risk (or time aggregation) 37\u003c\/p\u003e \u003cp\u003eThe Central Limit Theorem 38\u003c\/p\u003e \u003cp\u003eFrequency and number of data points 38\u003c\/p\u003e \u003cp\u003eAlternative risk annualisation methods 39\u003c\/p\u003e \u003cp\u003eNormal (or Gaussian) distribution 40\u003c\/p\u003e \u003cp\u003eHistograms 42\u003c\/p\u003e \u003cp\u003eSkewness (Fisher’s or moment skewness) 43\u003c\/p\u003e \u003cp\u003eSample skewness 44\u003c\/p\u003e \u003cp\u003eKurtosis (Pearson’s kurtosis) 45\u003c\/p\u003e \u003cp\u003eExcess kurtosis (or Fisher’s kurtosis) 47\u003c\/p\u003e \u003cp\u003eSample kurtosis 47\u003c\/p\u003e \u003cp\u003eBera-Jarque statistic (or Jarque-Bera) 48\u003c\/p\u003e \u003cp\u003eCovariance 53\u003c\/p\u003e \u003cp\u003eSample covariance 54\u003c\/p\u003e \u003cp\u003eCorrelation (𝜌) 54\u003c\/p\u003e \u003cp\u003eSample correlation 55\u003c\/p\u003e \u003cp\u003eAutocovariance 55\u003c\/p\u003e \u003cp\u003eAutocorrelation (or serial correlation) 57\u003c\/p\u003e \u003cp\u003eAnnualised variability if returns are autocorrelated 60\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 APPRAISAL MEASURES 62\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePerformance appraisal 62\u003c\/p\u003e \u003cp\u003eSharpe ratio (reward to variability, Sharpe index) 63\u003c\/p\u003e \u003cp\u003eRoy ratio 65\u003c\/p\u003e \u003cp\u003eRisk-free rate 66\u003c\/p\u003e \u003cp\u003eAlternative Sharpe ratio 66\u003c\/p\u003e \u003cp\u003eRevised Sharpe ratio 67\u003c\/p\u003e \u003cp\u003eAdjusted Sharpe Ratio 68\u003c\/p\u003e \u003cp\u003eSkew-adjusted Sharpe Ratio 69\u003c\/p\u003e \u003cp\u003eSkewness-Kurtosis ratio 74\u003c\/p\u003e \u003cp\u003eAlternative adjusted Sharpe Ratios 74\u003c\/p\u003e \u003cp\u003eSmoothing-adjusted Sharpe Ratio 75\u003c\/p\u003e \u003cp\u003eMAD ratio 76\u003c\/p\u003e \u003cp\u003eGini ratio 76\u003c\/p\u003e \u003cp\u003eRelative risk 77\u003c\/p\u003e \u003cp\u003eTracking error (or tracking risk, relative risk, active risk) 77\u003c\/p\u003e \u003cp\u003eRelative skewness 78\u003c\/p\u003e \u003cp\u003eRelative kurtosis 79\u003c\/p\u003e \u003cp\u003eInformation ratio 79\u003c\/p\u003e \u003cp\u003eGeometric information ratio 80\u003c\/p\u003e \u003cp\u003eModified information ratio 87\u003c\/p\u003e \u003cp\u003eAdjusted information ratio 88\u003c\/p\u003e \u003cp\u003eSkew-adjusted information ratio 88\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4: Regression Analysis 94\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eRegression analysis 94\u003c\/p\u003e \u003cp\u003eRegression equation 95\u003c\/p\u003e \u003cp\u003eRegression alpha 95\u003c\/p\u003e \u003cp\u003eRegression beta 95\u003c\/p\u003e \u003cp\u003eRegression epsilon 95\u003c\/p\u003e \u003cp\u003eCapital Asset Pricing Model (CAPM) 96\u003c\/p\u003e \u003cp\u003eBeta (𝛽) (systematic risk or volatility) 97\u003c\/p\u003e \u003cp\u003eJensen’s alpha (Jensen’s measure or Jensen’s differential return or ex-post alpha) 97\u003c\/p\u003e \u003cp\u003eAnnualised alpha 98\u003c\/p\u003e \u003cp\u003eBull beta (𝛽\u003csup\u003e+\u003c\/sup\u003e) 106\u003c\/p\u003e \u003cp\u003eBear beta (𝛽-) 106\u003c\/p\u003e \u003cp\u003eBeta timing ratio 106\u003c\/p\u003e \u003cp\u003eMarket timing 107\u003c\/p\u003e \u003cp\u003eSystematic risk 115\u003c\/p\u003e \u003cp\u003eCorrelation 115\u003c\/p\u003e \u003cp\u003eR2(or coefficient of determination) 116\u003c\/p\u003e \u003cp\u003eSpecific (or residual) risk 117\u003c\/p\u003e \u003cp\u003eThe Geometry of Risk 120\u003c\/p\u003e \u003cp\u003eTreynor ratio  (Reward to volatility) 124\u003c\/p\u003e \u003cp\u003eModified Treynor ratio 124\u003c\/p\u003e \u003cp\u003eAppraisal ratio (or Treynor-Black ratio) 125\u003c\/p\u003e \u003cp\u003eModified Jensen 126\u003c\/p\u003e \u003cp\u003eFama decomposition 126\u003c\/p\u003e \u003cp\u003eSelectivity 127\u003c\/p\u003e \u003cp\u003eDiversification 127\u003c\/p\u003e \u003cp\u003eNet selectivity 127\u003c\/p\u003e \u003cp\u003eFama-French three factor model 128\u003c\/p\u003e \u003cp\u003eThree factor alpha (or Fama-French alpha) 129\u003c\/p\u003e \u003cp\u003eCarhart four factor model 129\u003c\/p\u003e \u003cp\u003eFour factor alpha (or Carhart’s alpha) 130\u003c\/p\u003e \u003cp\u003eTypes of Alpha 130\u003c\/p\u003e \u003cp\u003eMulti-factor Models 131\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Drawdown 132\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDrawdown 132\u003c\/p\u003e \u003cp\u003eAverage drawdown 132\u003c\/p\u003e \u003cp\u003eMaximum drawdown 133\u003c\/p\u003e \u003cp\u003eLargest individual drawdown 133\u003c\/p\u003e \u003cp\u003eRecovery time (or drawdown duration) 133\u003c\/p\u003e \u003cp\u003eDrawdown deviation 134\u003c\/p\u003e \u003cp\u003eUlcer index 134\u003c\/p\u003e \u003cp\u003ePain index 135\u003c\/p\u003e \u003cp\u003eCalmar ratio (or Drawdown ratio) 136\u003c\/p\u003e \u003cp\u003eMAR ratio 136\u003c\/p\u003e \u003cp\u003eSterling ratio 136\u003c\/p\u003e \u003cp\u003eSterling-Calmar ratio 137\u003c\/p\u003e \u003cp\u003eBurke ratio 138\u003c\/p\u003e \u003cp\u003eModified Burke ratio 138\u003c\/p\u003e \u003cp\u003eMartin ratio (or Ulcer performance index) 138\u003c\/p\u003e \u003cp\u003ePain ratio 138\u003c\/p\u003e \u003cp\u003eActive (or relative) Drawdown 143\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Partial Moments 148\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDownside risk (or semi-standard deviation) 148\u003c\/p\u003e \u003cp\u003eDownside potential 149\u003c\/p\u003e \u003cp\u003ePure downside risk 149\u003c\/p\u003e \u003cp\u003eHalf variance (or semi-variance) 149\u003c\/p\u003e \u003cp\u003eUpside risk (or upside uncertainty) 150\u003c\/p\u003e \u003cp\u003eMean absolute moment 150\u003c\/p\u003e \u003cp\u003eOmega ratio (Ω) 151\u003c\/p\u003e \u003cp\u003eBernardo \u0026amp; Ledoit (or gain–loss) ratio 151\u003c\/p\u003e \u003cp\u003ed ratio 151\u003c\/p\u003e \u003cp\u003eOmega-Sharpe ratio 152\u003c\/p\u003e \u003cp\u003eSortino ratio 153\u003c\/p\u003e \u003cp\u003eReward to half-variance 153\u003c\/p\u003e \u003cp\u003eDownside risk Sharpe ratio 154\u003c\/p\u003e \u003cp\u003eDownside information ratio 154\u003c\/p\u003e \u003cp\u003eSortino-Satchell ratio 155\u003c\/p\u003e \u003cp\u003eKappa ratio 155\u003c\/p\u003e \u003cp\u003eUpside potential ratio 156\u003c\/p\u003e \u003cp\u003eVolatility skewness 156\u003c\/p\u003e \u003cp\u003eVariability skewness 157\u003c\/p\u003e \u003cp\u003eFarinelli- Tibiletti Ratio 160\u003c\/p\u003e \u003cp\u003eGain-loss skewness 160\u003c\/p\u003e \u003cp\u003eDownside Skewness \u0026amp; Kurtosis 161\u003c\/p\u003e \u003cp\u003eSortino Ratio with higher order moments 161\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Prospect Theory 165\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eProspect ratio 165\u003c\/p\u003e \u003cp\u003eNew Prospect ratio 166\u003c\/p\u003e \u003cp\u003eOmega-Prospect ratio 166\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Extreme Risk 170\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eExtreme events 170\u003c\/p\u003e \u003cp\u003eExtreme value theory 170\u003c\/p\u003e \u003cp\u003eValue at Risk (VaR) 170\u003c\/p\u003e \u003cp\u003eRelative VaR 171\u003c\/p\u003e \u003cp\u003eEx-post VaR 171\u003c\/p\u003e \u003cp\u003ePotential upside (gain at risk) 172\u003c\/p\u003e \u003cp\u003ePercentile rank 172\u003c\/p\u003e \u003cp\u003eVaR calculation methodology 175\u003c\/p\u003e \u003cp\u003eParametric VaR 175\u003c\/p\u003e \u003cp\u003eModified VaR 176\u003c\/p\u003e \u003cp\u003eHistorical simulation (or non-parametric) 177\u003c\/p\u003e \u003cp\u003eMonte Carlo simulation 177\u003c\/p\u003e \u003cp\u003eWhich methodology for calculating VaR should be used? 178\u003c\/p\u003e \u003cp\u003eVaR Interpretation 178\u003c\/p\u003e \u003cp\u003eFrequency and time aggregation 180\u003c\/p\u003e \u003cp\u003eTime horizon 180\u003c\/p\u003e \u003cp\u003eWindow length 181\u003c\/p\u003e \u003cp\u003eReward to VaR 181\u003c\/p\u003e \u003cp\u003eReward to relative VaR 182\u003c\/p\u003e \u003cp\u003eDouble VaR ratio 183\u003c\/p\u003e \u003cp\u003eConditional VaR (expected shortfall, tail loss, tail VaR or average VaR) 183\u003c\/p\u003e \u003cp\u003eUpper CVaR or CVaR\u003csup\u003e+\u003c\/sup\u003e 184\u003c\/p\u003e \u003cp\u003eLower CVaR or CVaR\u003csup\u003e-\u003c\/sup\u003e 184\u003c\/p\u003e \u003cp\u003eTail gain (expected gain or expected upside) 186\u003c\/p\u003e \u003cp\u003eConditional Sharpe ratio (STARR ratio or reward to conditional VaR) 191\u003c\/p\u003e \u003cp\u003eModified Sharpe ratio (reward to modified VaR) 191\u003c\/p\u003e \u003cp\u003eTail risk 191\u003c\/p\u003e \u003cp\u003eTail ratio 192\u003c\/p\u003e \u003cp\u003eRachev ratio (or R ratio) 192\u003c\/p\u003e \u003cp\u003eGeneralised Rachev ratio 194\u003c\/p\u003e \u003cp\u003eDrawdown at risk 194\u003c\/p\u003e \u003cp\u003eConditional drawdown at risk 194\u003c\/p\u003e \u003cp\u003eReward to conditional drawdown 195\u003c\/p\u003e \u003cp\u003eGeneralised Z ratio 195\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Fixed Income Risk 197\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePricing fixed income instruments 197\u003c\/p\u003e \u003cp\u003eRedemption yield (yield to maturity) 197\u003c\/p\u003e \u003cp\u003eWeighted average cash flow 197\u003c\/p\u003e \u003cp\u003eDuration (effective mean term, discounted mean term or volatility) 198\u003c\/p\u003e \u003cp\u003eMacaulay duration 198\u003c\/p\u003e \u003cp\u003eMacaulay-Weil duration 199\u003c\/p\u003e \u003cp\u003eModified duration 199\u003c\/p\u003e \u003cp\u003ePortfolio duration 200\u003c\/p\u003e \u003cp\u003eEffective duration (or option-adjusted duration) 202\u003c\/p\u003e \u003cp\u003eDuration to worst 204\u003c\/p\u003e \u003cp\u003eConvexity 204\u003c\/p\u003e \u003cp\u003eModified convexity 205\u003c\/p\u003e \u003cp\u003eEffective convexity 205\u003c\/p\u003e \u003cp\u003ePortfolio convexity 207\u003c\/p\u003e \u003cp\u003eBond returns 207\u003c\/p\u003e \u003cp\u003eDuration beta 209\u003c\/p\u003e \u003cp\u003eReward to duration 209\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 miscellaneous Risk Measures 210\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eUpside Capture Ratio (or up capture indicator) 210\u003c\/p\u003e \u003cp\u003eDownside capture ratio (or down capture indicator) 210\u003c\/p\u003e \u003cp\u003eUp\/down capture (or Capture ratio) 211\u003c\/p\u003e \u003cp\u003eUp number ratio 216\u003c\/p\u003e \u003cp\u003eDown number ratio 216\u003c\/p\u003e \u003cp\u003eUp percentage ratio 217\u003c\/p\u003e \u003cp\u003eDown percentage ratio 217\u003c\/p\u003e \u003cp\u003ePercentage gain ratio 217\u003c\/p\u003e \u003cp\u003eBatting Average (or Relative Batting Average) 217\u003c\/p\u003e \u003cp\u003eHurst index (or Hurst exponent) 218\u003c\/p\u003e \u003cp\u003eRelative Hurst Index (or Active Hurst) 225\u003c\/p\u003e \u003cp\u003eBias ratio 231\u003c\/p\u003e \u003cp\u003eActive Share 237\u003c\/p\u003e \u003cp\u003eK ratio 239\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Risk-adjusted Return 248\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eRisk-adjusted return 248\u003c\/p\u003e \u003cp\u003eM\u003csup\u003e2\u003c\/sup\u003e 248\u003c\/p\u003e \u003cp\u003eM\u003csup\u003e2\u003c\/sup\u003e excess return 250\u003c\/p\u003e \u003cp\u003eDifferential return 250\u003c\/p\u003e \u003cp\u003eGH1 (Graham \u0026amp; Harvey 1) 252\u003c\/p\u003e \u003cp\u003eGH2 (Graham \u0026amp; Harvey 2) 252\u003c\/p\u003e \u003cp\u003eCorrelation and risk-adjusted return M\u003csup\u003e3\u003c\/sup\u003e 253\u003c\/p\u003e \u003cp\u003eReturn adjusted for downside risk 253\u003c\/p\u003e \u003cp\u003eAdjusted M\u003csup\u003e2\u003c\/sup\u003e 257\u003c\/p\u003e \u003cp\u003eSkew-adjusted M\u003csup\u003e2\u003c\/sup\u003e 257\u003c\/p\u003e \u003cp\u003eOmega excess return 258\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12: A Periodic Table of Risk Measures 259\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA Periodic Table of Risk Measures 259\u003c\/p\u003e \u003cp\u003ePeriodic Table Design 260\u003c\/p\u003e \u003cp\u003eFilling the Periodic Table 261\u003c\/p\u003e \u003cp\u003eNotation 264\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13: Risk-adjusted Performance Fees 269\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePerformance Fees 269\u003c\/p\u003e \u003cp\u003eAsymmetric or Symmetric 269\u003c\/p\u003e \u003cp\u003ePerformance Fees in Practice 273\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14: Performance Dashboards 276\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eEffective dashboards 276\u003c\/p\u003e \u003cp\u003eData visualisation tools 277\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 15: Manager Selection 279\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAsset Manager Selection 279\u003c\/p\u003e \u003cp\u003eManager Evaluation 280\u003c\/p\u003e \u003cp\u003ePortfolio Evaluation 281\u003c\/p\u003e \u003cp\u003eMonitoring and Control 282\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 16: The Four Dimensions of Performance 284\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eEx-post Return (The traditional dimension) 285\u003c\/p\u003e \u003cp\u003eEx-post Risk (The neglected dimension) 285\u003c\/p\u003e \u003cp\u003eEx-ante Return (The unknown dimension) 285\u003c\/p\u003e \u003cp\u003eEx-ante Risk (The “sexy” dimension) 286\u003c\/p\u003e \u003cp\u003eRisk efficiency ratio 286\u003c\/p\u003e \u003cp\u003ePerformance efficiency 287\u003c\/p\u003e \u003cp\u003eEx-ante Risk Standards 287\u003c\/p\u003e \u003cp\u003eConsistency in calculations and comparison 288\u003c\/p\u003e \u003cp\u003eDisclosure 288\u003c\/p\u003e \u003cp\u003eRecognition of adherence to best practice 288\u003c\/p\u003e \u003cp\u003eMore robust internal process and control 288\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 17: Which Risk Measure to Use? 291\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhy measure ex-post risk? 291\u003c\/p\u003e \u003cp\u003eWhich risk measures to use? 291\u003c\/p\u003e \u003cp\u003eHedge funds 295\u003c\/p\u003e \u003cp\u003eSmoothing 296\u003c\/p\u003e \u003cp\u003eOutliers 299\u003c\/p\u003e \u003cp\u003eData mining 300\u003c\/p\u003e \u003cp\u003eRisk measures and the Global Investment Performance Standards (GIPS\u003csup\u003e®\u003c\/sup\u003e) 300\u003c\/p\u003e \u003cp\u003eFund rating systems 303\u003c\/p\u003e \u003cp\u003eWhich measures are actually used? 304\u003c\/p\u003e \u003cp\u003eWhich risk measures should really be used? 309\u003c\/p\u003e \u003cp\u003eCommon Errors to avoid 310\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 18: Risk Control 311\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eRegulations in the investment risk area 311\u003c\/p\u003e \u003cp\u003eRisk control structure 312\u003c\/p\u003e \u003cp\u003eRisk management 313\u003c\/p\u003e \u003cp\u003eGlossary of Key Terms 318\u003c\/p\u003e \u003cp\u003eAppendix A – Composite Internal Risk Measures 321\u003c\/p\u003e \u003cp\u003eBibliography 323\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49407167496535,"sku":"9781119838845","price":61.75,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781119838845.jpg?v=1730498408","url":"https:\/\/bookcurl.com\/products\/practical-riskadjusted-performance-measurement-9781119838845","provider":"Book Curl","version":"1.0","type":"link"}