Читать книгу Practical Risk-Adjusted Performance Measurement - Carl R. Bacon - Страница 20

For the most part risk managers and risk controllers use dispersion measures of return as a proxy for their perception of risk.

There are several measures of return dispersion that will be discussed in this book and they all measure some aspect of the range of portfolio returns experienced in a particular time period. They all report on what has actually happened during the time period of interest. Even from an ex-post perspective, one can ask whether the return variability truly represents how much risk the asset manager took during the time period or whether one needs to explore the range of possible returns that might have (realistically) happened during the time period.

This is an interesting question but one that is outside the scope of this book. Primarily this book is focused on historical portfolio return dispersion.