DOCSLIB.ORG

)WILEY a John Wiley & Sons, Ltd., Publication Contents

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
)WILEY a John Wiley & Sons, Ltd., Publication Contents Practical Risk-Adjusted Performance Measurement Carl R. Bacon )WILEY A John Wiley & Sons, Ltd., Publication Contents Preface xv Acknowledgements xvii 1 Introduction 1 Definition of risk 1 Risk types 1 Risk management v risk control 4 Risk aversion 4 Ex-post and ex-ante 4 Dispersion 5 2 Descriptive Statistics 7 Mean (or arithmetic mean) 7 Annualised return 8 Continuously compounded returns (or log returns) 8 Winsorised mean 9 Mean absolute deviation (or mean deviation) * 9 Variance 10 Mean difference (absolute mean difference or Gini mean difference) 12 Relative mean difference 14 Bessel's correction (population or sample, n or n— 1) 14 Sample variance 17 Standard deviation (variability or volatility) — 17 Annualised risk (or time aggregation) 18 The Central Limit Theorem 19 Contents Janssen annualisation 19 Frequency and number of data points 19 Normal (or Gaussian) distribution 21 Histograms 22 Skewness (Fisher's or moment skewness) 22 Sample skewness 24 Kurtosis (Pearson's kurtosis) 24 Excess kurtosis (or Fisher's kurtosis) 25 Sample kurtosis 25 Bera-Jarque statistic (or Jarque-Bera) 27 Covariance 28 Sample covariance 30 Correlation (p) 30 Sample correlation 32 Up capture indicator 32 Down capture indicator 34 Up number ratio 34 Down number ratio 34 Up percentage ratio 35 Down percentage ratio 35 Percentage gain ratio 35 Hurst index (or Hurst exponent) 35 Bias ratio 37 3 Simple Risk Measures 43 Performance appraisal 43 Sharpe ratio (reward to variability, Sharpe index) 43 Roy ratio 46 Risk free rate 46 Alternative Sharpe ratio 47 Revised Sharpe ratio 48 Adjusted Sharpe ratio 48 Skewness-kurtosis ratio 49 MAD ratio 49 Gini ratio 52 Relative risk 53 Tracking error (or tracking risk, relative risk, active risk) 53 Relative skewness 54 Relative kurtosis 55 Contents ix Information ratio 55 Geometric information ratio 56 Modified information ratio 57 Adjusted information ratio 61 Relative Hurst 61 4 Regression Analysis 69 Regression equation 69 Regression alpha (a/?) 70 Regression beta (/*/?) 70 Regression epsilon (eR) 70 Capital Asset Pricing Model (CAPM) 71 Beta (jS) (systematic risk or volatility) 71 Jensen's alpha (Jensen's measure or Jensen's differential return or ex-post alpha) 72 Annualised alpha 72 Bull beta ($ + ) 73 Bear beta (P~) 73 Beta timing ratio 73 Market timing 78 Systematic risk 81 R2 (or coefficient of determination) 83 Specific or residual risk 83 Treynor ratio (reward to volatility) 84 Modified Treynor ratio 86 Appraisal ratio (or Treynor-B lack ratio) 86 Modified Jensen 87 Fama decomposition 88 Selectivity 88 Diversification 88 Net selectivity 89 Fama-French three factor model 89 Three factor alpha (or Fama-French alpha) 91 Carhart four factor model 91 Four factor alpha (or Carhart's alpha) 91 K ratio 91 5 Drawdown 97 Drawdown 97 Contents Average drawdown 97 Maximum drawdown (or peak to valley drawdown) 98 Largest individual drawdown 98 Recovery time (or drawdown duration) 98 Drawdown deviation 98 Ulcer index 99 Pain index 100 Calmar ratio (or drawdown ratio) 100 MAR ratio 100 Sterling ratio 100 Sterling-Calmar ratio 101 Burke ratio 102 Modified Burke ratio 102 Martin ratio (or Ulcer performance index) 102 Pain ratio 103 Lake ratio 103 Peak ratio 106 6 Partial Moments 107 Downside risk (or semi-standard deviation) 107 Pure downside risk 108 Half variance (or semi-variance) 108 Upside risk (or upside uncertainty) 108 Mean absolute moment 109 Omega ratio (Q) 110 Bernardo and Ledoit (or gain-loss) ratio 110 d ratio 110 Omega-Sharpe ratio 111 Sortino ratio 112 Reward to half-variance 112 Downside risk Sharpe ratio 113 Downside information ratio 113 Kappa (Ki) (or Sortino-Satchell ratio) 113 Upside potential ratio 114 Volatility skewness 114 Variability skewness 115 Farinelli-Tibiletti ratio 115 Prospect ratio 117 Contents 7 Extreme Risk 119 Extreme events 119 Extreme value theory 119 Value at risk (Va/?) 119 Relative Va/? 120 Ex-post Va/? 120 Potential upside (gain at risk) 121 Percentile rank 121 Va/? calculation methodology 122 Parametric Va/? 124 Modified Va/? 125 Historical simulation (or non-parametric) 125 Monte Carlo simulation 126 Which methodology for calculating Va/? should be used? 126 Frequency and time aggregation 127 Time horizon 127 Window length 127 Reward to Va/? 128 Reward to relative Va/? 129 Double Va/? ratio 129 Conditional Va/? (expected shortfall, tail loss, tail Va/? or average Va/?) 130 Upper CVa/? or CVa/? + 131 Lower CVa/? or CVa/?" 131 Tail gain (expected gain or expected upside) 132 Conditional Sharpe ratio (STARR ratio or reward to conditional Va/?) 133 Modified Sharpe ratio (reward to modified Va/?) 136 Tail risk 136 Tail ratio 137 Rachev ratio (or R ratio) 137 Generalised Rachev ratio 137 Drawdown at risk 138 Conditional drawdown at risk 138 Reward to conditional drawdown 138 Generalised Z ratio 138 Contents 8 Fixed Income Risk 141 Pricing fixed income instruments 141 Redemption yield (yield to maturity) 141 Weighted average cash flow 141 Duration (effective mean term, discounted mean term or volatility) 142 Macaulay duration 142 Macaulay-Weil duration 143 Modified duration 143 Portfolio duration 144 Effective duration (or option-adjusted duration) 145 Duration to worst 146 Convexity 147 Modified convexity 147 Effective convexity 148 Portfolio convexity 148 Bond returns 149 Duration beta 150 Reward to duration 151 9 Risk-adjusted Return 153 Risk-adjusted return 153 M2 153 M2 excess return 154 Differential return 155 GH1 (Graham & Harvey 1) 156 GH2 (Graham & Harvey 2) 156 Correlation and risk-adjusted return M3 157 Return adjusted for downside risk 158 Adjusted M2 160 Omega excess return 161 10 Which Risk Measure to Use? 163 Why measure ex-post risk? 163 Which risk measures to use? 164 Hedge funds 164 Smoothing 169 Outliers — 171 Data minine 171 Contents xiii Risk measures and the Global Investment Performance Standards (GIPS®) 172 Fund rating systems 174 Risk efficiency ratio 175 Which measures are actually used? 176 Which risk measures should really be used? 178 11 Risk Control 181 Regulations in the investment risk area 181 Risk control structure 182 Risk management 183 Glossary of Key Terms 189 Appendix A - Composite Internal Risk Measures 193 Appendix B - Absolute Risk Dashboard 195 Appendix C - Relative Risk Dashboard 199 Bibliography 203 Index 209.
Load more

Recommended publications
  • Modern Portfolio Theory
    Modern portfolio theory “Portfolio analysis” redirects here. For theorems about where Rp is the return on the port- the mean-variance efficient frontier, see Mutual fund folio, Ri is the return on asset i and separation theorem. For non-mean-variance portfolio wi is the weighting of component analysis, see Marginal conditional stochastic dominance. asset i (that is, the proportion of as- set “i” in the portfolio). Modern portfolio theory (MPT), or mean-variance • Portfolio return variance: analysis, is a mathematical framework for assembling a P σ2 = w2σ2 + portfolio of assets such that the expected return is maxi- Pp P i i i w w σ σ ρ , mized for a given level of risk, defined as variance. Its key i j=6 i i j i j ij insight is that an asset’s risk and return should not be as- where σ is the (sample) standard sessed by itself, but by how it contributes to a portfolio’s deviation of the periodic returns on overall risk and return. an asset, and ρij is the correlation coefficient between the returns on Economist Harry Markowitz introduced MPT in a 1952 [1] assets i and j. Alternatively the ex- essay, for which he was later awarded a Nobel Prize in pression can be written as: economics. P P 2 σp = i j wiwjσiσjρij , where ρij = 1 for i = j , or P P 1 Mathematical model 2 σp = i j wiwjσij , where σij = σiσjρij is the (sam- 1.1 Risk and expected return ple) covariance of the periodic re- turns on the two assets, or alterna- MPT assumes that investors are risk averse, meaning that tively denoted as σ(i; j) , covij or given two portfolios that offer the same expected return, cov(i; j) .
    [Show full text]
  • 155 Chapter -5 Performance Evaluation of Mutual Funds
    CHAPTER -5 PERFORMANCE EVALUATION OF MUTUAL FUNDS 5.0. Introduction 156 5.A. Theoretical Frame Work 157 5.A.1.Ratios Used to Measure Performance 157 5.A.1.1. Sharpe Ratio 157 5.A.1.2. Treynor Ratio 159 5.A.1.3. Jensen Ratio 160 5.A.1.4. Beta 161 5.A.1.5. R Square 161 5.A.1. 6. Standard deviation 161 5.A.1.7.Compound Annual Growth Rate – CAGR 162 5.B. PERFORMANCE APPRAISAL OF MUTUAL FUNDS IN INDIA 165 5.B.1.Risk and Return Analysis 166 5.B.2. Particulars of Selected Sample Schemes 166 * Analysis of peer group 166 *. Analysis of performance 168 1. Sharpe Analysis 168 2. Treynor Analysis 170 3. Jensen Analysis 172 4. CAGR 174 5. Correlation 176 6. Standard Deviation 178 7. Beta Analysis 180 5.B.3. Balanced Fund Schemes 182 5.B.4. Equity Schemes 185 5.B.5. Floating Rate Income Schemes 188 5..B.6.Gilt Long-Term Schemes 191 5..B.7. Gilt Short-Term Schemes 194 5.B.8. Income Fund Schemes 196 5.B.9. Liquid Funds Schemes 199 5.B.10. Monthly Income Plan(MIP) Schemes 202 5.B.11. Sector Funds –FMCG Schemes 205 5.B.12.Sector Funds-PHARMA Schemes 207 5.B.13. Sector Funds- Infotech Schemes 209 5.B.14. Short-Term Income Schemes 211 5.B.15. Tax Schemes 214 5.C. Findings and Conclusion 217 155 CHAPTER -5 PERFORMANCE EVALUATION OF MUTUAL FUNDS 5.0. Introduction We have examined the trends in resource mobilization and factors influencing it (chapter -3) and investment pattern vis-à-vis investor’s composition(chapter-4).
    [Show full text]
  • L-G-0000674566-0002386385.Pdf
    Practical Risk-Adjusted Performance Measurement For other titles in the Wiley Finance series please see www.wiley.com/finance Practical Risk-Adjusted Performance Measurement Carl R. Bacon A John Wiley & Sons, Ltd., Publication C 2013 John Wiley & Sons, Ltd Registered Office John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex, PO19 8SQ, United Kingdom For details of our global editorial offices, for customer services and for information about how to apply for permission to reuse the copyright material in this book please see our website at www.wiley.com. All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, except as permitted by the UK Copyright, Designs and Patents Act 1988, without the prior permission of the publisher. Wiley publishes in a variety of print and electronic formats and by print-on-demand. Some material included with standard print versions of this book may not be included in e-books or in print-on-demand. If this book refers to media such as a CD or DVD that is not included in the version you purchased, you may download this material at http://booksupport.wiley.com. For more information about Wiley products, visit www.wiley.com. Designations used by companies to distinguish their products are often claimed as trademarks. All brand names and product names used in this book are trade names, service marks, trademarks or registered trademarks of their respective owners. The publisher is not associated with any product or vendor mentioned in this book.
    [Show full text]
  • Alternative Investment Strategies: an Interview with Bob Rice Angel Capital Association Webinar October 23, 2013
    Alternative Investment Strategies: An Interview with Bob Rice Angel Capital Association Webinar October 23, 2013 Bob Rice: Managing Partner, Tangent Capital; Author of The Alternative Answer John Huston: ACA Chairman Emeritus; Founder/Manager, Ohio TechAngel Funds Webinar House Rules for Attendees • Attendees are muted throughout the live presentation • Please provide questions for the speakers via the chat option in the bottom left of your screen • This program is being recorded and will be archived for viewing • We will share the presentation with all attendees 1 • Mission is to fuel the success of angel groups and private investors who actively invest in early-stage companies • 200+ member angel groups • 10,000+ accredited investors • 19 affiliated organizations • 3 accredited platforms • 48 states/5 provinces • Charitable partner: ACA Members Include Most Top Angel Groups 2 Alternative Investment Strategies: An Interview with Bob Rice Angel Capital Association Webinar October 23, 2013 Bob Rice: Managing Partner, Tangent Capital; Author of The Alternative Answer John Huston: ACA Chairman Emeritus; Founder/Manager, Ohio TechAngel Funds • Hundreds of free educational videos at: ALTANSWER.COM • Bob is – Bloomberg TV’s Alternative Investments Editor – Successful tech entrepreneur (founder of Viewpoint, a public 3D graphics company) - Active Angel - ex Partner at Milbank, Tweed - Founder of Tangent Capital, a NYC boutique investment bank 3 Invite here: Rule501.com/bob Invite Code: Rice501 Ohio TechAngel Funds (OTAF) • 117 monthly meetings since 2004 • Added 50 new members via our 4th fund • Total members = >320 across all 4 funds • Made 63 investments in 43 Ohio-based technology ventures 4 Traditional Investment Choices Public Equities • Globally: 63,000 publicly traded stocks; in US, 15,000 • Fed policies have driven up multiples (not earnings!) • An ever-diminishing % of new economic value is captured in these vehicles.
    [Show full text]
  • The Bias Ratio As a Hedge Fund Fraud Indicator
    International Business & Economics Research Journal – July/August 2014 Volume 13, Number 4 The Bias Ratio As A Hedge Fund Fraud Indicator: An Empirical Performance Study Under Different Economic Conditions Francois van Dyk, UNISA, South Africa Gary van Vuuren, North-West University, South Africa André Heymans, North-West University, South Africa ABSTRACT The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only) investment funds as well as less-conventional funds such as hedge funds. Based on mean- variance theory, the Sharpe ratio only considers the first two moments of return distributions, so hedge funds – characterised by complex, asymmetric, highly-skewed returns with non-negligible higher moments – may be misdiagnosed in terms of performance. The Sharpe ratio is also susceptible to manipulation and estimation error. These drawbacks have demonstrated the need for augmented measures, or, in some cases, replacement fund performance metrics. Over the period January 2000 to December 2011 the monthly returns of 184 international long/short (equity) hedge funds with investment mandates that span the geographical areas of North America, Europe, and Asia were examined. This study compares results obtained using the Sharpe ratio (in which returns are assumed to be serially uncorrelated) with those obtained using a technique which does account for serial return correlation. Standard techniques for annualising Sharpe ratios, based on monthly estimators, do not account for serial return correlation – this study compares Sharpe ratio results obtained using a technique which accounts for serial return correlation. In addition, this study assess whether the Bias ratio supplements the Sharpe ratio in the evaluation of hedge fund risk and thus in the investment decision-making process.
    [Show full text]
  • CAIA® Level II Study Guide
    CAIA® Level II Study Guide Learning objectives and keywords to facilitate your exam study MARCH 2021 CAIA Level II Study Guide For the March 2021 Exam Contents Introduction to the CAIA Charter Program .......................................................................1 Preparing for the Level II Examination ................................................................................3 Level II Examination Topic Weights and Question Format .............................................4 Errata Sheet .............................................................................................................................5 Calculator Policy ....................................................................................................................5 Completion of the Level II Program ....................................................................................5 CAIA Level II Outline ..............................................................................................................6 Topic 1: Ethics, Regulations and ESG .......................................................................... 10 Topic 2: Models .............................................................................................................. 21 Topic 3: Institutional Asset Owners and Investment Policies................................. 31 Topic 4: Risk and Risk Management ........................................................................... 41 Topic 5: Methods for Alternative Investments ........................................................
    [Show full text]
  • Alternative Investments: a Primer for Investment Professionals
    ALTERNATIVE INVESTMENTS: A PRIMER FOR INVESTMENT PROFESSIONALS Donald R. Chambers, CAIA Keith H. Black, CFA, CAIA Nelson J. Lacey, CFA ALTERNATIVE INVESTMENTS: A PRIMER FOR INVESTMENT PROFESSIONALS Donald R. Chambers, CAIA Keith H. Black, CFA, CAIA Nelson J. Lacey, CFA Statement of Purpose CFA Institute Research Foundation is a not-for-profit organization established to promote the development and dissemination of relevant research for investment practitioners worldwide. Neither CFA Institute Research Foundation, CFA Institute, nor the publication’s editorial staff is responsible for facts and opinions presented in this publication. This publication reflects the views of the author(s) and does not represent the official views of CFA Institute Research Foundation. CFA®, Chartered Financial Analyst®, and GIPS® are just a few of the trademarks owned by CFA Institute. To view a list of CFA Institute trademarks and the Guide for the Use of CFA Institute Marks, please visit our website at www.cfainstitute.org. © 2018 CAIA Association. All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording, or otherwise, without the prior written permission of the copyright holder. This publication is designed to provide accurate and authoritative information in regard to the subject matter covered. It is sold with the understanding that the publisher is not engaged in rendering legal, accounting, or other professional service. If legal advice or other expert assistance is required, the services of a competent professional should be sought. Cover Image Photo Credit: Juice Images/Getty Images ISBN 978-1-944960-37-7 Editorial Staff Mary-Kate Hines Tracy Dinning Assistant Editor Senior Publishing Technology Specialist Contents 1.
    [Show full text]
  • Csóka, Péter Phd and Pintér, Miklós Phd Rácz
    CORVINUS UNIVERSITY OF BUDAPEST ANOMALIES AROUND REPORTS OF STOCK EARNINGS AND OF FUND MANAGEMENT DOCTORAL DISSERTATION Supervisor: Csóka, Péter PhD and Pintér, Miklós PhD Rácz, Dávid Andor Budapest, 2019 Rácz, Dávid Andor ANOMALIES AROUND REPORTS OF STOCK EARNINGS AND OF FUND MANAGEMENT Department of Finance Supervisor: Csóka, Péter PhD and Pintér, Miklós PhD © Copyright – Rácz, Dávid Andor 2019 CORVINUS UNIVERSITY OF BUDAPEST DOCTORAL SCHOOL OF BUSINESS AND MANAGEMENT ANOMALIES AROUND REPORTS OF STOCK EARNINGS AND OF FUND MANAGEMENT DOCTORAL DISSERTATION Rácz, Dávid Andor Budapest, 2019 TABLE OF CONTENTS 1. LITERATURE AND METHODOLOGY SUMMARY ......................... 12 1.1. THEORY AND CRITIQUES OF MARKET EFFICIENCY ........ 18 1.1.1. The efficient market theory and the random walk of share prices .......................................................................................................... 19 1.1.2. Critiques of efficient markets and test of the semi-strong form of efficient market..................................................................................................... 20 1.1.3. Behavioural economics background of anomalies ...................... 21 1.1.4. Market efficiency and the existence of arbitrage returns .......... 23 1.2. THE METHODOLOGY OF EVENT STUDIES ............................ 25 1.2.1. Modelling of the expected returns ................................................ 26 1.2.2. Length of the event window and the estimation window ........... 27 1.2.3. Measuring and testing abnormal returns ...................................
    [Show full text]
  • CAIA® Level II Workbook
    CAIA® Level II Workbook Practice questions, exercises, and keywords to test your knowledge MARCH 2021 CAIA Level II Workbook, March 2021 CAIA Level II Workbook Table of Contents Preface ................................................................................................................................................. 3 Review Questions and Answers....................................................................................................... 4 Part 1: Ethics Regulations and ESG ............................................................................................. 4 Chapter 3: Global Regulation ................................................................................................. 4 Chapter 4: ESG and Alternative Investments ....................................................................... 8 Chapter 5: ESG Analysis and Application ........................................................................... 11 Part 2: Models ................................................................................................................................ 16 Chapter 6: Modeling Overview and Interest Rate Models.............................................. 16 Chapter 7: Credit Risk Models ................................................................................................ 19 Chapter 8: Multi-Factor Equity Pricing Models ................................................................... 23 Chapter 9: Asset Allocation Processes and the Mean-Variance Model ...................... 26 Chapter
    [Show full text]
  • Advanced Statistics in Rock Creek Analysis
    Confidential Advanced Statistics in Rock Creek Analysis The Rock Creek Group June 22, 2010 This note provides a brief overview of a few of the advanced statistical measures used by The Rock Creek Group in managing hedge fund portfolios. More detailed information on these and other statistical measures are also available. We propose updating this paper on an ongoing basis with information on additional statistical measures. To overcome the subjectivity associated with using decay factors, the Rock Creek Group uses the Generalized Auto Regression Conditional Heteroskedasticity (GARCH) model to estimate volatility. The GARCH model calculates current volatility as a Contents function of an estimated volatility and the error of the estimated Risk Measures .......................................................... 1 volatility in past periods. In brief, the GARCH model automatically learns from its volatility predictions in past periods and uses this GARCH Volatility ..................................................... 1 to improve its current estimations. In the process it accounts for changes in the volatility of the return series. Consequently, Value at Risk and Expected Shortfall ...................... 1 GARCH volatility is a useful measure for monitoring the monthly changes in the volatility (or risk) of fund managers. Extreme Value Theory ............................................ 2 Besides volatility, the GARCH model is also used to estimate Bias Ratio ................................................................ 2 the other measures of a return distribution, such as its mean, Performance Measures .............................................. 2 skewness, shape factor etc. These parameters may be preset to improve the robustness of the GARCH model. However, RCG Performance Ratio .......................................... 2 presetting parameters tends to reduce the efficacy of the GARCH model to monitor changes in the volatility. Marginal Utility and Marginal Risk ......................... 2 At Rock Creek we use GARCH (1, 1) model.
    [Show full text]
  • Downloadable Return Series, Are Available in the French Factor Commodities, Fixed Income, and Economic Indices
    Alternative Investment Analyst Review EDITOR’S LETTER You Could be Wrong Even When You are Right! Hossein Kazemi WHAT A CAIA MEMBER SHOULD KNOW Introductory Guide to Investing in Private Equity Secondaries Jochen Mende, Joseph B. Marks, Kairat Perembetov, Capital Dynamics RESEARCH REVIEW The Persistence of Smart Beta Hamish Preston, Tim Edwards, Craig Lazzara, S&P Down Jones Indices New Evidence on Whether Gold Mining Stocks Are More Like Gold or Like Stocks Mark A. Johnson, Douglas J. Lamdin, Loyola University Maryland, University of Maryland CAIA MEMBER CONTRIBUTION Assessing Risk of Private Equity: What’s the Proxy? Alexandra Coupe, PAAMCO INVESTMENT STRATEGIES Understanding the Kelly Capital Growth Investment Strategy Dr. William T. Ziemba FEATURED INTERVIEW Hedge Fund Investing: A Conversation with Kevin Mirabile Barbara J. Mack, CAIA Association PERSPECTIVES Dynamic Asset Allocation as a Response to the Limitations of Diversification Thomas Zimmerer, Ph.D, Taylor Carrington, Allianz Global Investors VC-PE INDEX Mike Nugent and Mike Roth, Bison THE MSCI GLOBAL INTEL REPORT Max Arkey, MSCI Real Estate Q3 2016, Volume 5, Issue 2 Chartered Alternative Investment Analyst Association® Call for Articles Article submissions for future issues of Alternative Investment Analyst Review (AIAR) are always welcome. Articles should cover a topic of interest to CAIA members and should be single-spaced. Additional information on submissions can be found at the end of this issue. Please e-mail your submission or any questions to: [email protected]. Chosen pieces will be featured in future issues of AIAR, archived on CAIA.org, and promoted throughout the CAIA community. Editor’s Letter You Could be Wrong Even When You are Right! Suppose you discover an asset that has been losing money since inception (e.g., a mutual fund run by an incompetent manager).
    [Show full text]
  • Copyrighted Material
    JWBK558-bind JWBK558-Bacon Printer: Yet to Come September 5, 2012 17:27 Trim: 229mm × 152mm Index 9/11 terrorist attacks 186 appendices 193–202 appraisal ratio 86–7, 165 Abdulali, Adil 37 arbitrage 181–2 absolute mean difference 12, 14 arithmetic information ratio 55–61 absolute risk dashboard 180, 195–8 arithmetic mean 7–8, 45–6, 191 active risk see tracking error arithmetic tracking error 53–4, 55–67 adjusted information ratio 61–3 asset allocation decisions, portfolio adjusted M2 160–1, 168, 179–80 managers 73, 78 adjusted Sharpe ratio (ASR) 48–9, 52, asset managers 2, 3, 57, 164, 183–7 160–1, 167, 179–80, 183, 196 Association for Investment Management AIMR see Association for Investment and Research (AIMR) 16–17 Management and Research see also CFA-Institute alpha 71–3, 74–5, 81, 83, 86–7, 90–6, asymmetrical distributions 23–4, 49, 52, 165, 168, 177–9, 189, 200–1 179–80 see also Fama-French alpha;Jensen’s see also skewness alpha; regression alpha audit 183 alternative investmentshttp://www.pbookshop.com 42, 164, 169, average drawdown 97, 100–1, 105, 165, 173–4 171, 178 alternative modified Jensen 88 average VaR see conditional VaR alternative Sharpe ratio 47–9, 52 averages 7–8 analytical VaR 122, 124 see also mean; median; mode annual arithmetic mean 8 annualised alpha COPYRIGHTED72–3, 200–1 back-tests, MATERIAL VaR 182 annualised returns 7, 8, 12, 19, 44–9, Bacon, Francis 1 56–61, 155–6, 172–4, 189, 193–4, banks 181–2 196, 197, 200 bear beta 73, 78–81 annualised risk 18, 44–9, 56–61, 127, bell curves see normal distributions 155–6,
    [Show full text]