Practical Risk-Adjusted Performance Measurement (The Wiley Finance Series) - Hardcover

Bacon, Carl R.

Hardcover

ISBN 10: 1119838843 ISBN 13: 9781119838845

Publisher: Wiley, 2021

Synopsis

Explore different measures of ex-post risk-adjusted performance measurement and learn to choose the correct one 

In the newly 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. 

About this title

About the Author

CARL R. BACON, CIPM, is Chief Advisor to Confluence. He is a member of the Advisory Board of the Journal of Performance Measurement and Founder of The Freedom Index Company. He was formerly Chairman of StatPro Plc from 2000 to 2017.

From the Back Cover

PRACTICAL RISK-ADJUSTED PERFORMANCE MEASUREMENT

An indispensable to ex-post risk measurement

While many examinations of risk tend towards mathematical complexity, the latest edition of Practical Risk-adjusted Performance Measurement delivers a practical, insightful, and comprehensive discussion of ex-post risk measurement. Filled with implementable and user-friendly content, this book transforms the subject of risk into a straightforward and immensely useful resource.

The book is written from a buy-side, asset management perspective and includes a companion website that hosts supporting documents, worked examples, and a Periodic Table of Risk. In this new edition, readers will also find the most up-to-date measures accompanied by illustrative explanations. From the fundamentals of risk to regression measures, risk-adjusted returns, and the four dimensions of performance, Carl R. Bacon offers readers a roadmap to the selection and implementation of appropriate risk measures in a wide variety of different investment scenarios.

Practical Risk-adjusted Performance Measurement remains the industry-leading guide to the application of risk measures in the real-world. It is ideal for portfolio managers, investment performance analysts, and others who need a one-stop resource to help build their understanding of risk-adjusted performance.

From the Inside Flap

Many financial professionals find explorations of risk to be unduly complex and mathematically oriented. In the newest edition of Practical Risk-adjusted Performance Measurement, however, Carl R. Bacon provides readers with an insightful and comprehensive examination of ex-post risk measurement that doesn’t get bogged down in the numbers.

Written for risk and performance measurement professionals from a buy-side, asset management perspective, the author bridges the gap between theory and practice, focusing on quantitative and practical ex-post measures instead of the qualitative aspects of risk. Throughout, he provides numerous worked examples of risk measures and their interpretation.

The book consists of a simplified―but sophisticated―approach to risk, showing readers how to use different risk measures in different situations at different times. It offers explanations of how to use these different measures in a concise and easy-to-navigate fashion.

From the fundamentals of the subject of risk to the use of risk-adjusted performance measures in the context of performance fees, Practical Risk-adjusted Performance Measurement explores every critical aspect of the role played by risk in performance measurement. Readers will build on their knowledge of concepts including regression, drawdown, partial moments, fixed income risk, and Prospect Theory, along with the descriptive statistics essential to the work in this field.

Finally, the author explores the interconnection between ex-post risk measures, discusses various risk measure dashboard designs, and examines how appraisal measures should be used for manager selection.

The latest edition of Practical Risk-adjusted Performance Measurement is an indispensable guide for portfolio managers, investment performance analysts, risk controllers, and performance directors. It’s also a must-read guide for any professional seeking an intuitive and evidence-based exploration of the buy-side, asset management perspective.

Edition details

• Publisher: Wiley
• Publication date: 2021
• ISBN 10: 1119838843
• ISBN 13: 9781119838845
• Binding: Hardcover
• Language: English
• Edition number: 2
• Number of pages: 320