Bull covarianceTABLE 4.6 Bear covarianceTABLE 4.7 Specific riskTABLE 4.8 Definitions of excess return4 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, modified and Macaulay–Weil durationTABLE 9.2 Effective durationTABLE 9.3 Convexity
9 Chapter 10TABLE 10.1 Upside captureTABLE 10.2 Downside captureTABLE 10.3 Portfolio – Hurst indexTABLE 10.4 Benchmark – Hurst indexTABLE 10.5 Relative Hurst index (arithmetic)TABLE 10.6 Relative Hurst index (geometric)TABLE 10.7 Portfolio bias ratioTABLE 10.8 Benchmark bias ratioTABLE 10.9 Active shareTABLE 10.10 Portfolio cumulative covarianceTABLE 10.11 Period count varianceTABLE 10.12 K ratio error term
10 Chapter 11TABLE 11.1 M2TABLE 11.2 Differential returnTABLE 11.3 Benchmark downside risk
11 Chapter 12TABLE 12.1 Periodic table of risk measuresTABLE 12.2 Periodic table – notation
12 Chapter 17TABLE 17.1 Reward to risk ratiosTABLE 17.2 Risk-adjusted return measuresTABLE 17.3 Descriptive statisticsTABLE 17.4 What measures do managers use to measure absolute performance?TABLE 17.5 What measures do managers use to measure relative performance?TABLE 17.6 Which of the following risk measures do you currently use?TABLE 17.7 Which of the following risk-adjusted return measures do you curre...TABLE 17.8 Hedge funds: which of the following risk-adjusted return measures...
List of Illustrations
1 Chapter 2FIGURE 2.1 Deviation from the meanFIGURE 2.2 Normal distributionFIGURE 2.3 Histogram of portfolio returnsFIGURE 2.4 Positive skewFIGURE 2.5 Negative skewFIGURE 2.6 Kurtosis >3, thin peak with fat tailsFIGURE 2.7 Kurtosis <3, broad peak with thin tails
2 Chapter 3FIGURE 3.1 Sharpe ratioFIGURE 3.2 Alternative Sharpe ratioFIGURE 3.3 Revised Sharpe ratioFIGURE 3.4 Information ratio
3 Chapter 4FIGURE 4.1 Regression analysisFIGURE 4.2 Beta timing ratioFIGURE 4.3 Market timingFIGURE 4.4 The geometry of riskFIGURE 4.5 The risk compassFIGURE 4.6 Risk trianglesFIGURE 4.7 Visual riskFIGURE 4.8 Treynor ratioFIGURE 4.9 Appraisal ratioFIGURE 4.10 Fama decomposition
4 Chapter 5FIGURE 5.1 Drawdown statisticsFIGURE 5.2 Pain indexFIGURE 5.3 DrawdownFIGURE 5.4 Active drawdown
5 Chapter 6FIGURE 6.1 Sortino ratio
6 Chapter 8FIGURE 8.1 VaR backtestingFIGURE 8.2 Reward to VaRFIGURE 8.3 Reward to relative VaRFIGURE 8.4 Calculation of Conditional VaRFIGURE 8.5 Conditional VaR
7 Chapter 9FIGURE 9.1 Macaulay durationFIGURE 9.2 Convexity
8 Chapter 10FIGURE 10.1 Hurst indexFIGURE 10.2 Active shareFIGURE 10.3 K ratio
9 Chapter 11FIGURE 11.1 M2FIGURE 11.2 Differential returnFIGURE 11.3 GH1FIGURE 11.4 GH2FIGURE 11.5 M2 for downside riskFIGURE 11.6 Adjusted M2
10 Chapter 12FIGURE 12.1 Notation – type of risk measureFIGURE 12.2 Notation – gain:loss moment preferenceFIGURE 12.3 Notation – extreme risk measuresFIGURE 12.4 Notation – investor preferenceFIGURE 12.5 Notation – drawdown
11 Chapter 13FIGURE 13.1 Asymmetric performance fees
12 Chapter 16FIGURE 16.1 The four dimensions of performance
13 Chapter 18FIGURE 18.1 Middle office infrastructure
Guide
1 Cover
6 Preface
11 Appendix A: Composite Internal Risk Measures
12 Bibliography
13 Index
Pages
1 ii
2 iii
3 iv
4 v
5 xv
6 xvi
7 xvii
8 xix
9 1
10
