Download or read book Does the Use of Downside Risk Adjusted Measures Lead to Better Future Performance written by Florinda Silva and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates how past performance, as measured by alternative risk-adjusted measures is informative of future performance. Performance results based on the Sharpe Ratio and several downside risk-adjusted performance measures (the Sortino ratio, excess return on Cornish-Fisher VaR, excess return on VaR, and excess return on Expected Shortfall) are compared. VaR and Expected Shortfall are computed using Filtered Historical Simulation (FHS), a hybrid methodology that combines the use of volatility models with bootstrapping techniques and is robust to the stylized facts of time series data on financial asset returns. Recent empirical evidence is somewhat controversial. Some studies suggest that the use of different risk-adjusted performance measures (traditional vs downside risk-adjusted) does not seem to matter for investment fund decisions (Eling & Schuhmacher, 2007; Eling, 2008) while others suggest that it matters at least for some of the measures (Ornelas et al. 2010; Zakamouline, 2010). In most of the cases, the observed level of statistical association between the Sharpe Ratio and the downside risk-adjusted measures of performance is not as low as would be expected. However, even if in empirical research statistical tests are not able to capture significant differences between rankings based on different measures, the economic significance of these differences may be relevant for investors and fund managers. In fact, it is of interest to assess to what extent the ex ante use of each of these measures can lead to better ex post performance results, regardless of the correlation between performance rankings and measures. Our sample includes portfolios of Large Cap US funds over the period 1999 to 2010. In each month, portfolios of funds are created based on the rankings of the funds resulting from the different risk-adjusted performance measures. A estimation window of five years is used. The cumulative return of the top performing funds is then compared with the bottom performing funds.

Download or read book Practical Risk Adjusted Performance Measurement written by Carl R. Bacon and published by John Wiley & Sons. This book was released on 2021-10-22 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Pitfalls of Downside Performance Measures with Arbitrary Targets written by Benedikt Hoechner and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Sharpe ratio has been criticized with regard to the assumptions of mean-volatility portfolio selection. Downside performance measures were developed to resolve this critique; they are consistent with expected utility theory under less restrictive assumptions. The most prominent family of downside performance measures is known as Kappa ratios and puts above target returns into relation to lower partial moments. While the Sharpe ratio of a mutual fund evaluates whether portfolios of mutual fund and risk-free asset dominate risk-adjusted passive portfolios of benchmark and risk-free asset, this characteristic cannot be transferred to downside performance measures with arbitrary targets. We show that Kappa ratios assign different values to passive strategies with varying fractions of benchmark and risk-free asset if the target differs from the risk-free rate. This effect can lead to reverse rankings of inferior and superior performing mutual funds. In addition, even the ratio of excess return and excess downside risk of passive portfolios is not constant in general. Therefore, downside performance measures turn out to be only applicable in asset management if the target is set equal to the risk-free rate.

Download or read book Managing Downside Risk in Financial Markets written by Frank A. Sortino and published by Butterworth-Heinemann. This book was released on 2001-10-02 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative methods have revolutionized the area of trading, regulation, risk management, portfolio construction, asset pricing and treasury activities, and governmental activity such as central banking to name but some of the applications. Downside-risk, as a quantitative method, is an accurate measurement of investment risk, because it captures the risk of not accomplishing the investor's goal. 'Downside Risk in Financial Markets' demonstrates how downside-risk can produce better results in performance measurement and asset allocation than variance modelling. Theory, as well as the practical issues involved in its implementation, is covered and the arguments put forward emphatically show the superiority of downside risk models to variance models in terms of risk measurement and decision making. Variance considers all uncertainty to be risky. Downside-risk only considers returns below that needed to accomplish the investor's goal, to be risky. Risk is one of the biggest issues facing the financial markets today. 'Downside Risk in Financial Markets' outlines the major issues for Investment Managers and focuses on "downside-risk" as a key activity in managing risk in investment/portfolio management. Managing risk is now THE paramount topic within the financial sector and recurring losses through the 1990s has shocked financial institutions into placing much greater emphasis on risk management and control. Free Software Enclosed To help you implement the knowledge you will gain from reading this book, a CD is enclosed that contains free software programs that were previously only available to institutional investors under special licensing agreement to The pension Research Institute. This is our contribution to the advancement of professionalism in portfolio management. The Forsey-Sortino model is an executable program that: 1. Runs on any PC without the need of any additional software. 2. Uses the bootstrap procedure developed by Dr. Bradley Effron at Stanford University to uncover what could have happened, instead of relying only on what did happen in the past. This is the best procedure we know of for describing the nature of uncertainty in financial markets. 3. Fits a three parameter lognormal distribution to the bootstrapped data to allow downside risk to be calculated from a continuous distribution. This improves the efficacy of the downside risk estimates. 4. Calculates upside potential and downside risk from monthly returns on any portfolio manager. 5. Calculates upside potential and downside risk from any user defined distribution. Forsey-Sortino Source Code: 1. The source code, written in Visual Basic 5.0, is provided for institutional investors who want to add these calculations to their existing financial services. 2. No royalties are required for this source code, providing institutions inform clients of the source of these calculations. A growing number of services are now calculating downside risk in a manner that we are not comfortable with. Therefore, we want investors to know when downside risk and upside potential are calculated in accordance with the methodology described in this book. Riddles Spreadsheet: 1. Neil Riddles, former Senior Vice President and Director of Performance Analysis at Templeton Global Advisors, now COO at Hansberger Global Advisors Inc., offers a free spreadsheet in excel format. 2. The spreadsheet calculates downside risk and upside potential relative to the returns on an index Brings together a range of relevant material, not currently available in a single volume source. Provides practical information on how financial organisations can use downside risk techniques and technological developments to effectively manage risk in their portfolio management. Provides a rigorous theoretical underpinning for the use of downside risk techniques. This is important for the long-run acceptance of the methodology, since such arguments justify consultant's recommendations to pension funds and other plan sponsors.

Download or read book Portfolio Optimization in a Downside Risk Framework written by Lars Huelin and published by LAP Lambert Academic Publishing. This book was released on 2011-04 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study examines how downside risk measures perform in an investment management context compared to variance or standard deviation. To our knowledge, this paper is the first to include several acknowledged downside risk measures in a thorough analysis where their different properties are compared with those of variance Risk is an essential factor to consider when investing in the capital markets. The question of how one should define and manage risk is one that has gained a lot of attention and remains a popular topic in both the academic and professional world. This study considers six different downside risk measures and tests their relationship with the cross-section of returns as well as their performance in portfolio optimization compared to variance. The first part of the analysis suggests that the conditional drawdown-at-risk explains the cross-section of returns the best across methodologies and data frequency. Conditional valueat- risk explains the daily returns the best but the worst in monthly returns. Variance, together with semivariance, perform average in both data frequencies. The second part of the analysis concludes that conditional value-at-risk and conditional drawdown-at-risk are the two superior risk measures whereas semivariance is the worst performing risk measure - mainly caused by the poor performance during bull markets. Again, variance performs average compared to the downside risk measures in most aspects of this analysis. Overall, this thesis shows that the choice of risk measure has a significant effect on the portfolio optimization process. The analysis suggests that some downside risk measures outperform variance while others fail to do so. This suggest that downside risk can be a better tool in investment management than variance.

Download or read book Seeing Tomorrow written by Ron S. Dembo and published by John Wiley & Sons. This book was released on 2001-05-18 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: In high-stakes investing and business, success or failure largely depends on how well you play the game of risk-a game in which the rules of competition are constantly being rewritten. Strategies that proved effective in the past are no longer enough to win today. The key to success is not to rely on yesterday's news, but to peer into the future and ask what could happen tomorrow. Presenting a bold new way of thinking about risk, in Seeing Tomorrow Ron Dembo and Andrew Freeman offer a dynamic framework designed to enhance our ability to make important decisions, and consequently change how we manage our investments. By incorporating investors' individual circumstances and tolerances -as well as the unique reasoning behind their decision making-this innovative approach captures much more of how we actually think about risk. From the basic building blocks required for forward-looking risk management, Dembo and Freeman define and explore the roles and significance of such fundamentals as time horizons, risk measures, benchmarks, and scenarios. Once the foundation is laid, these elements are used to construct a solid architecture for risk management and risk-adjusted analysis that is not only general enough to be able to handle a multitude of risks, but also able to present many different measures of risk. With clear-cut explanations and intriguing real-world examples, Seeing Tomorrow leads you step by step through the authors' groundbreaking risk rules. These include: choosing an appropriate time horizon, selecting scenarios, computing Value at Risk (VAR), assessing both the upside and downside of a potential deal, calculating Regret, and compiling a reliable Regret matrix. By combining Regret, Upside, and a measure of our tolerance for risk, the authors demonstrate how these components create a powerful new way of approaching decisions. They offer guidance on very specific real life problems-such as buying a house or suing someone-as well as on broad matters of strategy and investing. Written by two leading authorities in the field, Seeing Tomorrow is a milestone addition to risk literature that will dramatically alter the way you view, identify, and manage risk. It is must reading for investors and decision makers alike. "Seeing Tomorrow is a powerhouse in the understanding of risk. With their ingenious blend of psychology and rigorous quantitative analysis, the authors have created an authoritative and innovative handbook of risk management that is essential for both practitioners and theoreticians." -Peter L. Bernstein author, Against the Gods and Capital Ideas. "This excellent and readable book provides an innovative approach to choosing actions when the outcomes are uncertain. Anyone with an interest in improving their decision-making skills would benefit from reading this. Anyone with a professional interest in risk management must read it." -Stephen A. Ross Fischer Black Visiting Professor of Finance Massachusetts Institute of Technology Sloan School of Management Sterling Professor of Economics and Finance, Yale University. "Ron Dembo and Andrew Freeman have done an excellent job of describing how to think about and measure risk. This will become required reading for businesses and personal investment executives." -Ned C. Lautenbach.

Download or read book Asset Allocation Performance Measurement and Downside Risk written by Alexandra Elisabeth Janovsky and published by diplom.de. This book was released on 2001-03-26 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inhaltsangabe:Abstract: Investors should not and in fact do not hold a single asset, they hold groups or portfolios of assets. An important aspect in portfolio theory is that the risk of a portfolio is more complex than the risk of its components. It depends on how much the assets represented in the portfolio move together, that is, on the correlation between the single assets. In portfolio theory, there are several definitions of risk: First of all, the Capital Asset Pricing Model (CAPM) relies on the beta factor of an asset relative to the market as a measure for the asset s risk. On the other hand, also downside risk can be used in order to determine a portfolio s risk. The kind of risk in question is market risk, which is the risk of losses arising from adverse movements in market prices or rates. Market risk can be subdivided into interest rate risk, equity price risk, exchange rate risk and commodity price risk. For many investment decisions, there is a minimum return that has to be reached in order to meet different criteria. Returns above this minimum acceptable return ensure that these goals are reached and thus are not considered risky. Standard deviation captures the risk associated with achieving the mean, while downside risk assumes that only those returns that fall below the minimal acceptable return incur risk. One has to distinguish between good and bad volatility. Good volatility is dispersion above the minimal acceptable return, the farther above the minimal acceptable return, the better it is. One way of measuring downside risk is to consider the shortfall probability or chances of falling below the minimal acceptable return. Another possibility is measuring downside variance, i.e. variance of the returns falling below the minimal acceptable return. As a consequence, downside variance is very sensitive to the estimate of the mean of the return function, while standard deviation does not suffer from this problem. Thus the calculation of downside deviation is more difficult than the calculation of standard deviation. The quality of the calculation also depends on the choice of differencing interval of the time series. The calculation of downside risk assumes that financial time series follow either a normal or lognormal distribution. Finally, there is no universal risk measure for the many broad categories of risk. For example, standard deviation captures the risk of not achieving the mean, beta captures the risk of investing [...]

Download or read book Finance Essentials written by Scott Moeller and published by Bloomsbury Publishing. This book was released on 2012-04-26 with total page 639 pages. Available in PDF, EPUB and Kindle. Book excerpt: Collated by Scott Moeller of Cass Business School, this collection brings together the informative articles a budding finance practitioner needs to operate effectively in today's corporate environment. Bringing together core finance knowledge and cutting-edge research topics in an engaging and effective way, this text is the ideal companion for all practitioners and students of finance. You will find insights into the practical applications of theory in key areas such as balance sheets and cash flow, financial regulation and compliance, funding and investment, governance and ethics, mergers and acquisitions, and operations and performance. Contributors to this collection include some of the leading experts in their respective fields: Aswath Damodaran, Harold Bierman, Jr, Andreas Jobst, Frank J. Fabozzi, Ian Bremmer, Javier Estrada, Marc J. Epstein, Henrik Cronqvist, Daud Vicary Abdullah, Meziane Lasfer, Dean Karlan, Norman Marks, Seth Armitage, and many others. In this collection you will discover: * Over 80 best-practice articles, providing the best guidance on issues ranging from risk management and capital structure optimization through to market responses to M&A transactions and general corporate governance * Over 65 checklists forming step-by-step guides to essential tasks, from hedging interest rates to calculating your total economic capital * 55 carefully selected calculations and ratios to monitor firms' financial health * A fully featured business and finance dictionary with over 5,000 definitions

Download or read book A Manager s Guide to Strategic Retirement Plan Management written by Daniel Cassidy and published by John Wiley & Sons. This book was released on 2006-05-19 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Daniel Cassidy has written a detailed, comprehensive guide for managers to understand and succeed at the ongoing process of managing a company retirement plan. If motivating your employees is important to you as a manager, this book is an essential key to your success." --Josh Gordon, author of Presentations That Change Minds and Selling 2.0 Written by renowned retirement benefits planning specialist Daniel Cassidy, A Manager's Guide to Strategic Retirement Plan Management focuses on current best practices regarding company-sponsored retirement plans within the United States. Filled with in-depth insights and expert advice, this valuable guide will aid managers in applying strategic thinking to their retirement plan management activities--whether it be a 401(k) plan, investing in company stock, or a traditional defined benefit plan. It will also help you to view retirement plans in a holistic manner--ever more necessary given the unpredictable economy and recent troubles with companies such as Enron and WorldCom. Covering everything from administrative issues to financial and legal responsibilities, A Manager's Guide to Strategic Retirement Plan Management will allow you to make the best decisions possible while managing this ongoing process and help you find solutions that best fit your organization's specific needs.

Download or read book Risk Management written by Walter V. "Bud" Haslett, Jr. and published by John Wiley & Sons. This book was released on 2010-10-05 with total page 790 pages. Available in PDF, EPUB and Kindle. Book excerpt: Key readings in risk management from CFA Institute, the preeminent organization representing financial analysts Risk management may have been the single most important topic in finance over the past two decades. To appreciate its complexity, one must understand the art as well as the science behind it. Risk Management: Foundations for a Changing Financial World provides investment professionals with a solid framework for understanding the theory, philosophy, and development of the practice of risk management by Outlining the evolution of risk management and how the discipline has adapted to address the future of managing risk Covering the full range of risk management issues, including firm, portfolio, and credit risk management Examining the various aspects of measuring risk and the practical aspects of managing risk Including key writings from leading risk management practitioners and academics, such as Andrew Lo, Robert Merton, John Bogle, and Richard Bookstaber For financial analysts, money managers, and others in the finance industry, this book offers an in-depth understanding of the critical topics and issues in risk management that are most important to today’s investment professionals.

Download or read book Encyclopedia of Alternative Investments written by Greg N. Gregoriou and published by CRC Press. This book was released on 2008-08-18 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt: A pioneering reference essential in any financial library, the Encyclopedia of Alternative Investments is the most authoritative source on alternative investments for students, researchers, and practitioners in this area. Containing 545 entries, the encyclopedia focuses on hedge funds, managed futures, commodities, and venture capital. It features

Download or read book Multilateral Wellbeing Comparison in a Many Dimensioned World written by Gordon Anderson and published by Springer Nature. This book was released on 2019-09-12 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book addresses the disparities that arise when measuring and modeling societal behavior and progress across the social sciences. It looks at why and how different disciplines and even researchers can use the same data and yet come to different conclusions about equality of opportunity, economic and social mobility, poverty and polarization, and conflict and segregation. Because societal behavior and progress exist only in the context of other key aspects, modeling becomes exponentially more complex as more of these aspects are factored into considerations. The content of this book transcends disciplinary boundaries, providing valuable information on measuring and modeling to economists, sociologists, and political scientists who are interested in data-based analysis of pressing social issues.

Download or read book OECD Business and Finance Outlook 2020 Sustainable and Resilient Finance written by OECD and published by OECD Publishing. This book was released on 2020-09-29 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: The OECD Business and Finance Outlook is an annual publication that presents unique data and analysis on the trends, both positive and negative, that are shaping tomorrow’s world of business, finance and investment.

Download or read book The Prudent Investor s Guide to Hedge Funds written by James P. Owen and published by John Wiley & Sons. This book was released on 2001-05-02 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge funds are typically thought of as highly risky investments. Not so. In fact, some hedge funds are among the most conservative investments you can make. While speculative, high-flying hedge funds make the headlines, others quietly go about the work of crafting unique investment strategies and hedging portfolios against market risk. This much-needed book shows why affluent investors who want to be financially secure through retirement should know about hedge funds. Its blend of facts, practical tips, and personal insights takes the mystery out of this often misunderstood investment vehicle and reveals the critical questions to ask before you invest. James P. Owen (Santa Barbara, CA) has more than 30 years of experience in the investment management industry and is Senior Vice President of Broadmark Asset Management. Previously he was President of JPO Inc. and a partner with NWQ Investment Management Company. He is co-founder of the Investment Management Consultant s Association (IMCA); author of the financial bestseller, The Prudent Investor: The Definitive Guide to Professional Investment Management; and was associate producer of the PBS television series,Beyond Wall Street: The Art of Investing

Download or read book CFA Program Curriculum 2018 Level III written by CFA Institute and published by John Wiley & Sons. This book was released on 2017-08-01 with total page 2634 pages. Available in PDF, EPUB and Kindle. Book excerpt: Apply CFA Program concepts and skills to real-world wealth and portfolio management for the 2018 exam The same official curricula that CFA Program candidates receive with program registration is now publicly available for purchase. CFA Program Curriculum 2018 Level III, Volumes 1-6 provides complete, authoritative guidance on synthesizing the entire CFA Program Candidate Body of Knowledge (CBOK) into professional practice for the 2018 exam. This book helps you bring together the skills and concepts from Levels I and II to formulate a detailed, professional response to a variety of real-world scenarios. Coverage spans all CFA Program topics and provides a rigorous treatment of portfolio management, all organized into individual study sessions with clearly defined Learning Outcome Statements. Visual aids clarify complex concepts, and practice questions allow you to test your understanding while reinforcing major content areas. Levels I and II equipped you with foundational investment tools and complex analysis skill; now, you'll learn how to effectively synthesize that knowledge to facilitate effective portfolio management and wealth planning. This study set helps you convert your understanding into a professional body of knowledge that will benefit your clients' financial futures. Master essential portfolio management and compliance topics Synthesize your understanding into professional guidance Reinforce your grasp of complex analysis and valuation Apply ethical and professional standards in the context of real-world cases CFA Institute promotes the highest standards of ethics, education, and professional excellence among investment professionals. The CFA Program Curriculum guides you through the breadth of knowledge required to uphold these standards. The three levels of the program build on each other. Level I provides foundational knowledge and teaches the use of investment tools; Level II focuses on application of concepts and analysis, particularly in the valuation of assets; and Level III builds toward synthesis across topics with an emphasis on portfolio management.

Download or read book Advances In Quantitative Analysis Of Finance And Accounting New Series written by Cheng Few Lee and published by World Scientific. This book was released on 2004-04-06 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt: News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). Advances in Quantitative Analysis of Finance and Accounting, New Series (AQAFANS) is a continuation (with new features) of the similarly titled book series that was previously published by JAI Press from 1991. AQAFANS is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. It is a forum for statistical and quantitative analyses of issues in finance and accounting, as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting, applied research in the financial community, and the accounting profession.

Download or read book Advances In Quantitative Analysis Of Finance And Accounting New Series Vol 2 written by Cheng Few Lee and published by World Scientific. This book was released on 2005-05-30 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt: News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University).Advances in Quantitative Analysis of Finance and Accounting, New Series is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. It is a forum for statistical and quantitative analyses of issues in finance and accounting, as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting, applied research in the financial community, and the accounting profession.