Practical Risk-Adjusted Performance Measurement

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.

Table of Contents
Chapter 1. Introduction
Chapter 2. Descriptive Statistics
Chapter 3. Simple Risk Measures
Chapter 4. Regression Analysis
Chapter 5. Drawdown
Chapter 6. Partial Moments
Chapter 7. Extreme Risk
Chapter 8. Fixed Income Risk
Chapter 9. Risk-adjusted Return
Chapter 10. Which Risk Measure to Use?
Chapter 11. Risk Control

Appendix A. Composite Internal Risk Measures
Appendix B. Absolute Risk Dashboard
Appendix C. Relative Risk Dashboard