Practical Risk-Adjusted Performance Measurement. Carl R. Bacon
Чтение книги онлайн.
Читать онлайн книгу Practical Risk-Adjusted Performance Measurement - Carl R. Bacon страница 9
295 297
296 298
297 299
298 300
299 301
For other titles in the Wiley Finance series please see www.wiley.com/finance
Practical Risk-Adjusted Performance Measurement
CARL R. BACON
Second Edition
This second edition first published 2022
Copyright © 2022 John Wiley & Sons, Ltd
Edition History John Wiley & Sons Ltd (1e, 2013)
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 law. Advice on how to obtain permission to reuse material from this title is available at http://www.wiley.com/go/permissions.
The right of Carl R Bacon to be identified as the author of this work has been asserted in accordance with law.
Registered Office John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex, PO19 8SQ, United Kingdom
Editorial Office The Atrium, Southern Gate, Chichester, West Sussex, PO19 8SQ, UK
For details of our global editorial offices, customer services, and more information about Wiley products visit us at www.wiley.com.
Wiley also publishes its books in a variety of electronic formats and by print-on-demand. Some content that appears in standard print versions of this book may not be available in other formats.
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.
Limit of Liability/Disclaimer of Warranty While the publisher and authors have used their best efforts in preparing this work, they make no representations or warranties with respect to the accuracy or completeness of the contents of this work and specifically disclaim all warranties, including without limitation any implied warranties of merchantability or fitness for a particular purpose. No warranty may be created or extended by sales representatives, written sales materials or promotional statements for this work. The fact that an organization, website, or product is referred to in this work as a citation and/or potential source of further information does not mean that the publisher and authors endorse the information or services the organization, website, or product may provide or recommendations it may make. This work is sold with the understanding that the publisher is not engaged in rendering professional services. The advice and strategies contained herein may not be suitable for your situation. You should consult with a specialist where appropriate. Further, readers should be aware that websites listed in this work may have changed or disappeared between when this work was written and when it is read. Neither the publisher nor authors shall be liable for any loss of profit or any other commercial damages, including but not limited to special, incidental, consequential, or other damages.
Library of Congress Cataloging-in-Publication Data
Names: Bacon, Carl R., author.
Title: Practical risk-adjusted performance measurement / Carl R. Bacon.
Description: Second edition. | Hoboken, NJ : Wiley, 2022. | Series: Wiley finance series | Includes bibliographical references and index.
Identifiers: LCCN 2021028308 (print) | LCCN 2021028309 (ebook) | ISBN 9781119838845 (cloth) | ISBN 9781119838869 (adobe pdf) | ISBN 9781119838876 (epub) | ISBN 9781119838883 (obook)
Subjects: LCSH: Financial risk management. | Performance standards. | Risk management.
Classification: LCC HD61 .B33 2022 (print) | LCC HD61 (ebook) | DDC 658.15/5—dc23
LC record available at https://lccn.loc.gov/2021028308
LC ebook record available at https://lccn.loc.gov/2021028309
Cover Image: © oxygen/Moment
Cover Design: Wiley
This book is dedicated to the staff of Frederick Gent School,
South Normanton, Derbyshire. They set me on my way.
Preface
“Beauty is in the eye of the beholder.”
Margaret Wolfe Hungerford (1855–1897), Molly Bawn 1878
There are many books and articles, perhaps hundreds, written on the subject of portfolio risk, but for the most part they focus on ex-ante risk, tend to be highly academic with authors seemingly in a competition to present the material in as complex a language as possible, prone to mathiness1 and are typically devoid of worked examples. The first edition of this book attempted to fill the gap between practice and theory, written for risk and performance measurement practitioners from a buy side, asset management perspective, focusing on quantitative ex-post measures rather than the qualitative aspects of risk. The first edition provided the material I would have wanted to read, so why a second edition? Well, I've received many useful comments, suggestions and yes, accepted a few corrections or met the need for further clarification. I thank everyone who has contributed, even the innocent question in a training session causing my mind to wander, eventually generating that spark that leads to an epiphany. I've taken the opportunity to add a few new measures, provide additional explanations where the original clearly was not sufficient, corrected a few annoying errors and added six entirely new chapters.
Risk has an undeserved reputation within asset management for being an overly complex, mathematical subject. The purpose of this edition is to simplify the subject and demonstrate with many practical examples that risk is perfectly straightforward and not as complicated as it might seem.
In addition, I wanted to document, with appropriate referencing, as many discrete ex-post risk measures as possible in a structured format, filling gaps, encouraging consistency, suggesting new measures and highlighting possible areas of confusion or misrepresentation. In truth many of these measures are rarely used in