A practitioner's guide to ex-post performance measurement techniques
Risk within asset management firms has an undeserved reputation for being an overly complex, mathematical subject. This book simplifies the subject and demonstrates with practical examples that risk is perfectly straightforward and not as complicated as it might seem. Unlike most books written on portfolio risk, which generally focus on ex-ante risk from an academic perspective using complicated language and no worked examples, this book focuses on ex-post risk from a buy side, asset management, risk practitioners perspective, including a number of practical worked examples for risk measures and their interpretation.
Risk within asset management firms has an undeserved reputation for being an overly complex, mathematical subject. Focusing on ex-post risk from a buy side, asset management, risk practitioner's perspective, Practical Risk-Adjusted Performance Measurement simplifies the subject and demonstrates with practical examples that risk is not as complicated as it might seem.
The book begins by introducing risk in the context of asset management firms before going on to cover the descriptive statistics required for later chapters. Then, structured according to the type of risk measure being considered, the book covers simple measures, regression measures, drawdown, partial moments, extreme risk, risk measures for fixed income instruments, and risk adjusted returns. The book concludes with a discussion as to which risk measures to use and their application in terms of risk control.
By documenting, with appropriate referencing, many of the ex-post risk measures in a structured format, filling gaps, encouraging consistency, suggesting new measures and highlighting possible areas of confusion or misrepresentation, this book is the ideal practitioners practical guide to ex-post performance measurement techniques. Written by a renowned expert in investment performance, the book includes a number of practical worked examples for risk measures and their interpretation and is also accompanied by a supplementary website, www.wiley.com/go/performancemeasurement, containing excel worked examples.
