Читать книгу Practical Risk-Adjusted Performance Measurement - Carl R. Bacon - Страница 4

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