Practical Risk-Adjusted Performance Measurement. Carl R. Bacon
8: Extreme Risk EXTREME EVENTS EXTREME VALUE THEORY VALUE AT RISK (VaR) RELATIVE VaR EX-POST VaR POTENTIAL UPSIDE (GAIN AT RISK) PERCENTILE RANK VaR CALCULATION METHODOLOGY PARAMETRIC VaR MODIFIED VaR HISTORICAL SIMULATION (OR NON-PARAMETRIC) MONTE CARLO SIMULATION WHICH METHODOLOGY FOR CALCULATING VaR SHOULD BE USED? VaR INTERPRETATION FREQUENCY AND TIME AGGREGATION TIME HORIZON WINDOW LENGTH REWARD TO VaR REWARD TO RELATIVE VaR DOUBLE VaR RATIO CONDITIONAL VaR (EXPECTED SHORTFALL, TAIL LOSS, TAIL VaR OR AVERAGE VaR) UPPER CVaR OR CVaR+ LOWER CVaR OR CVaR− TAIL GAIN (EXPECTED GAIN OR EXPECTED UPSIDE) CONDITIONAL SHARPE RATIO (STARR RATIO OR REWARD TO CONDITIONAL VaR) MODIFIED SHARPE RATIO (REWARD TO MODIFIED VaR) TAIL RISK TAIL RATIO RACHEV RATIO (OR R RATIO) GENERALISED RACHEV RATIO DRAWDOWN AT RISK CONDITIONAL DRAWDOWN AT RISK REWARD TO CONDITIONAL DRAWDOWN GENERALISED Z RATIO NOTES
16 CHAPTER 9: Fixed Income Risk PRICING FIXED INCOME INSTRUMENTS REDEMPTION YIELD (YIELD TO MATURITY) WEIGHTED AVERAGE CASH FLOW DURATION (EFFECTIVE MEAN TERM, DISCOUNTED MEAN TERM OR VOLATILITY) MACAULAY DURATION MACAULAY–WEIL DURATION MODIFIED DURATION PORTFOLIO DURATION EFFECTIVE DURATION (OR OPTION-ADJUSTED DURATION) DURATION TO WORST CONVEXITY MODIFIED CONVEXITY EFFECTIVE CONVEXITY PORTFOLIO CONVEXITY BOND RETURNS DURATION BETA REWARD TO DURATION NOTES
17 CHAPTER 10: Miscellaneous Risk Measures UPSIDE CAPTURE RATIO (OR UP CAPTURE INDICATOR) DOWNSIDE CAPTURE RATIO (OR DOWN CAPTURE INDICATOR) UP/DOWN CAPTURE (OR CAPTURE RATIO) UP NUMBER RATIO DOWN NUMBER RATIO UP PERCENTAGE RATIO DOWN PERCENTAGE RATIO PERCENTAGE GAIN RATIO BATTING AVERAGE (OR RELATIVE BATTING AVERAGE) HURST INDEX (OR HURST EXPONENT) RELATIVE HURST INDEX (OR ACTIVE HURST) BIAS RATIO ACTIVE SHARE K RATIO NOTES
18 CHAPTER 11: Risk-Adjusted Return M2 M2 EXCESS RETURN DIFFERENTIAL RETURN GH1 (GRAHAM AND HARVEY 1) GH2 (GRAHAM AND HARVEY 2) CORRELATION AND RISK-ADJUSTED RETURN M3 RETURN ADJUSTED FOR DOWNSIDE RISK