RISK-ADJUSTED PERFORMANCE MEASUREMENT
An intensive masterclass for Investment Professionals and other key players in the
investment decision process who wish to increase their technical knowledge and
gain a broader understanding of the complete range of risk-adjusted performance
measures.
PRE-REQUISITES
Participants will be required to have a basic knowledge of how to use Excel spreadsheets
If possible participants should bring their own laptop with excel loaded. Attendees will be asked to
work in teams of two or three on excel based practical exercises.
RISK
- Risk types in Asset Management
- Compliance Risk
- Operational Risk
- Liquidity Risk
- Counterparty Risk
- Portfolio Risk
Guidelines for effective risk control in an asset management firm.
What is the ideal control infrastructure?
RISK-ADJUSTED PERFORMANCE MEASUREMENT
Ex-post, Ex-ante
Common Risk Measures (Absolute, relative & regression measures)
- Sharpe
- Information Ratio (original &modified)
- M2
- Jensen’s alpha, Beta, Co-variance, Correlation and R2
- Appraisal ratio
- Fama Decomposition
- GH1 and GH2
Practical session– Performance Evaluation, Calculate a range of risk measures for five portfolios and rank in order of preference
DESCRIPTIVE STATISTICS
- Skewness
- Kurtosis
- Excess Kurtosis
- Hurst Index
- Bias Ratio
- Bera- Jacque Test
- Adjusted Sharpe Ratio
DRAWDOWN
- Sterling ratio
- Calmar ratio
- Burke ratio
- Sterling-Calmar ratio
- MAR ratio
- Pain index
- Ulcer index
- Pain ratio
- Martin ratio
HIGHER & LOWER PARTIAL MOMENTS
- Downside risk
- Sortino ratio
- Omega
- Upside Potential ratio
- Kappa (Sortino-Satchell ratio)
- Volatility skewness
- Farinelli-Tibiletti Ratio
VALUE AT RISK
- Historical simulation, Monte Carlo simulation or parametric
- Modified VaR
- Conditional VaR, Expected Shortfall, Tail loss, Average VaR
- Tail risk
- Return to VaR
- Modified Sharpe Ratio
- Conditional Sharpe Ratio
- Tail ratio
- Upside Potential
- Rachev ratio