Practical Risk-Adjusted Performance Measurement - Carl R. Bacon

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M2 SKEW-ADJUSTED M2 OMEGA EXCESS RETURN NOTES

      19  CHAPTER 12: A Periodic Table of Risk Measures PERIODIC TABLE DESIGN FILLING THE PERIODIC TABLE NOTATION NOTES

      20  CHAPTER 13: Risk-Adjusted Performance Fees PERFORMANCE FEES ASYMMETRIC OR SYMMETRIC PERFORMANCE FEES IN PRACTICE NOTES

      21  CHAPTER 14: Performance Dashboards EFFECTIVE DASHBOARDS DATA VISUALISATION TOOLS NOTES

      22  CHAPTER 15: Manager Selection ASSET MANAGER SELECTION MANAGER EVALUATION PORTFOLIO EVALUATION MONITORING AND CONTROL NOTES

      23  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 NOTES

      24  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 NOTES

      25  CHAPTER 18: Risk Control REGULATIONS IN THE INVESTMENT RISK AREA RISK CONTROL STRUCTURE RISK MANAGEMENT

      26  Glossary of Key Terms

      27  APPENDIX A: Composite Internal Risk Measures

      28  Bibliography

      29  Index

      30  End User License Agreement

      List of Tables

      1 Chapter 2TABLE 2.1 Portfolio variabilityTABLE 2.2 Benchmark variabilityTABLE 2.3 Bessel's correctionTABLE 2.4 Portfolio skewness and kurtosisTABLE 2.5 Benchmark skewness and kurtosisTABLE 2.6 Covariance and correlationTABLE 2.7 Autocovariance and autocorrelation

      2 Chapter 3TABLE 3.1 Sharpe ratioTABLE 3.2 Risk free rate variabilityTABLE 3.3 Variability of portfolio excess return above risk free rateTABLE 3.4 Information ratio arithmetic excess returnTABLE 3.5 Information ratio geometric excess returnTABLE 3.6 Arithmetic relative skewness and kurtosisTABLE 3.7 Geometric relative skewness and kurtosis

      3 Chapter 4TABLE 4.1 Portfolio excess return variabilityTABLE 4.2 Benchmark excess return variabilityTABLE 4.3 CAPM covarianceTABLE 4.4 Bull and bear deviationsTABLE 4.5 Bull covarianceTABLE 4.6 Bear covarianceTABLE 4.7 Specific riskTABLE 4.8 Definitions of excess return

      4 Chapter 5TABLE 5.1 Drawdown statisticsTABLE 5.2 Active drawdown statistics

      5 Chapter 6TABLE 6.1 Portfolio downside riskTABLE 6.2 Portfolio downside skew and kurtosis

      6 Chapter 7TABLE 7.1 Prospect ratios

      7 Chapter 8TABLE 8.1 Percentile rank methodologiesTABLE 8.2 Ex-post VaRTABLE 8.3 VaR methodologiesTABLE 8.4 VaR and conditional VaR using daily returnsTABLE 8.5 GaR and tail gain using daily returnsTABLE 8.6 Tail risk

      8 Chapter 9TABLE 9.1 Price, Macaulay,

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