Practical risk-adjusted performance measurement /

• Κύριος συγγραφέας: Bacon, Carl R.
• Μορφή: Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: West Sussex : Wiley, 2012.
• Σειρά: Wiley finance
• Θέματα: Financial risk management.; Performance standards.; Risk management.; BUSINESS & ECONOMICS > Finance.; Electronic books.

A 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 straightforwar...

Πίνακας περιεχομένων:

• Cover; Series Page; Title Page; Copyright; Dedication; Preface; Acknowledgements; Chapter 1: Introduction; DEFINITION OF RISK; 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{u2212}1); Sample variance; Standard deviation (variability or volatility); Annualised risk (or time aggregation).
• Three factor alpha (or Fama-French alpha)Carhart four factor model; Four factor alpha (or Carhart's alpha); K ratio; Chapter 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; Chapter 6: Partial Moments; Downside risk (or semi-standard deviation).