Practical Risk-Adjusted Performance Measurement

Practical Risk-Adjusted Performance Measurement, Second Edition, is a comprehensive guide to ex-post risk measurement that bridges the gap between theory and practice. It covers fundamentals of risk, regression, drawdown, partial moments, fixed income risk, and Prospect Theory, with helpful additions such as recently developed measures and a practical classification of risk measures. It is an indispensable resource for portfolio managers, asset owners, risk controllers, and investment performance analysts.

Format: Hardback
Length: 320 pages
Publication date: 02 December 2021
Publisher: John Wiley & Sons Inc

In the recently revised Second Edition of  Practical Risk-Adjusted Performance Measurement , accomplished risk and investment expert Carl R. Bacon delivers an insightful, accessible, and real-world guide to ex-post risk measurement. The author bridges the gap between theory and practice, showing you how to apply the former to the latter without introducing unnecessary mathematical complexity. The book describes the fundamentals of risk in the asset management context and the descriptive statistics used to describe it. It builds on that foundation with detailed examinations of concepts like regression, drawdown, and partial moments, before moving on to topics like fixed income risk and Prospect Theory. With helpful additions that include recently developed measures of risk, supplementary explanatory sections, and six brand-new chapters, this book also offers: A practical classification of all ex-post risk measures and how they connect to one another An explanation of how risk-adjusted performance measures impact performance fees A discussion of risk measure dashboard designs Instructions on how appraisal measures should be used for manager selection Perfect for portfolio managers, asset owners, risk controllers, and investment performance analysts, Practical Risk-Adjusted Performance Measurement is an indispensable resource for anyone looking for a hands-on exploration of the buy-side, asset management perspective.

Weight: 724g
Dimension: 180 x 250 x 26 (mm)
ISBN-13: 9781119838845
Edition number: 2nd Edition