Читать книгу Practical Risk-Adjusted Performance Measurement - Carl R. Bacon - Страница 3

1 Chapter 2TABLE 2.1 Portfolio variabilityTABLE 2.2 Benchmark variabilityTABLE 2.3 Bessel's correctionTABLE 2.4 Portfolio skewness and kurtosisTABLE 2.5 Benchmark skewness and kurtosisTABLE 2.6 Covariance and correlationTABLE 2.7 Autocovariance and autocorrelation

2 Chapter 3TABLE 3.1 Sharpe ratioTABLE 3.2 Risk free rate variabilityTABLE 3.3 Variability of portfolio excess return above risk free rateTABLE 3.4 Information ratio arithmetic excess returnTABLE 3.5 Information ratio geometric excess returnTABLE 3.6 Arithmetic relative skewness and kurtosisTABLE 3.7 Geometric relative skewness and kurtosis

3 Chapter 4TABLE 4.1 Portfolio excess return variabilityTABLE 4.2 Benchmark excess return variabilityTABLE 4.3 CAPM covarianceTABLE 4.4 Bull and bear deviationsTABLE 4.5 Bull covarianceTABLE 4.6 Bear covarianceTABLE 4.7 Specific riskTABLE 4.8 Definitions of excess return

4 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...