Practical Risk-Adjusted Performance Measurement. Carl R. BaconЧитать онлайн книгу.
ALPHA REGRESSION BETA REGRESSION EPSILON CAPITAL ASSET PRICING MODEL (CAPM) BETA (β) (SYSTEMATIC RISK OR VOLATILITY) JENSEN'S ALPHA (JENSEN'S MEASURE OR JENSEN'S DIFFERENTIAL RETURN OR EX-POST ALPHA) ANNUALISED ALPHA BULL BETA (β+) BEAR BETA (β−) BETA TIMING RATIO MARKET TIMING SYSTEMATIC RISK CORRELATION R2 (OR COEFFICIENT OF DETERMINATION) SPECIFIC (OR RESIDUAL) RISK THE GEOMETRY OF RISK TREYNOR RATIO (REWARD TO VOLATILITY) MODIFIED TREYNOR RATIO APPRAISAL RATIO (OR TREYNOR–BLACK RATIO) MODIFIED JENSEN FAMA DECOMPOSITION SELECTIVITY DIVERSIFICATION NET SELECTIVITY FAMA–FRENCH THREE-FACTOR MODEL THREE-FACTOR ALPHA (OR FAMA–FRENCH ALPHA) CARHART FOUR-FACTOR MODEL FOUR-FACTOR ALPHA (OR CARHART'S ALPHA) TYPES OF ALPHA MULTI-FACTOR MODELS NOTES
12 CHAPTER 5: Drawdown AVERAGE DRAWDOWN MAXIMUM DRAWDOWN LARGEST INDIVIDUAL DRAWDOWN RECOVERY TIME (OR DRAWDOWN DURATION) DRAWDOWN DEVIATION ULCER INDEX PAIN INDEX CALMAR RATIO (OR DRAWDOWN RATIO) MAR RATIO STERLING RATIO STERLING−CALMAR RATIO BURKE RATIO MODIFIED BURKE RATIO MARTIN RATIO (OR ULCER PERFORMANCE INDEX) PAIN RATIO ACTIVE (OR RELATIVE) DRAWDOWN NOTES
13 CHAPTER 6: Partial Moments DOWNSIDE RISK (OR SEMI-STANDARD DEVIATION) DOWNSIDE POTENTIAL PURE DOWNSIDE RISK HALF VARIANCE (OR SEMI-VARIANCE) UPSIDE RISK (OR UPSIDE UNCERTAINTY) MEAN ABSOLUTE MOMENT OMEGA RATIO (Ω) BERNARDO AND LEDOIT (OR GAIN–LOSS) RATIO d RATIO OMEGA–SHARPE RATIO SORTINO RATIO REWARD TO HALF-VARIANCE DOWNSIDE RISK SHARPE RATIO DOWNSIDE INFORMATION RATIO SORTINO–SATCHELL RATIO KAPPA RATIO UPSIDE POTENTIAL RATIO VOLATILITY SKEWNESS VARIABILITY SKEWNESS FARINELLI–TIBILETTI RATIO GAIN–LOSS SKEWNESS DOWNSIDE SKEWNESS AND KURTOSIS SORTINO RATIO WITH HIGHER ORDER MOMENTS NOTES
14 CHAPTER 7: Prospect Theory PROSPECT RATIO NEW PROSPECT RATIO OMEGA–PROSPECT RATIO NOTES