Читать книгу Practical Risk-Adjusted Performance Measurement - Carl R. Bacon - Страница 19

Risk is calculated in two fundamentally different ways: ex post and ex ante. Ex-post or historical risk is the analysis of risk after the event; it answers the question how risky the portfolio has been in the past.

On the other hand, ex-ante risk or prospective risk is forward looking, based on a snapshot of the current securities and instruments within the portfolio and their historical relationship with each other; it is an estimate or forecast of the future risk of the portfolio. Obviously, the use of historical returns and correlations to forecast future risk is problematic, particularly for extreme, low probability events. Increasing the length of the historical track record or increasing the frequency of observations does not always result in an improvement because of the changing nature of markets and underlying securities. Older returns may be less reliable for future predictions, but on the other hand more recent observations may not include the more extreme results.

Ex-post risk calculations and ex-ante risk forecasts are substantially different and therefore can lead to completely different results and conclusions. Differences between ex-post risk calculations and ex-ante risk forecasts provide significant additional information which should be monitored continuously.