Risk Adjusted Performance Measurement (RAPM)

Kepada para pengunjung blog “Hadi Management”, pada kesempatan ini saya menawarkan Layanan Jasa olah data untuk aplikasi beberapa model di bawah ini dengan menggunakan MS. Excel, silakan kontak melalui e-mail: info@efinansial.com  atau di nomor telp: 0812 5031 7450 atau 0819 5139 235.

Introduction
Definition of risk
Risk types
Risk management v risk control
Risk aversion
Ex-post and ex-ante
Dispersion
Descriptive Statistics
Mean (or arithmetic mean)
Annualised return
Continuously compounded returns (or log returns)
Winsorised mean
Mean absolute deviation (or mean deviation)
Variance
Mean difference (absolute mean difference or Gini mean difference)
Relative mean difference
Bessel’s correction (population or sample, n or n−1)
Sample variance
Standard deviation (variability or volatility)
Annualised risk (or time aggregation)
The Central Limit Theorem
Janssen annualisation
Frequency and number of data points
Normal (or Gaussian) distribution
Histograms
Skewness (Fisher’s or moment skewness)
Sample skewness
Kurtosis (Pearson’s kurtosis)
Excess kurtosis (or Fisher’s kurtosis)
Sample kurtosis
Bera-Jarque statistic (or Jarque-Bera)
Covariance
Sample covariance
Correlation (ρ)
Sample correlation
Up capture indicator
Down capture indicator
Up number ratio
Down number ratio
Up percentage ratio
Down percentage ratio
Percentage gain ratio
Hurst index (or Hurst exponent)
Bias ratio
Simple Risk Measures
Performance appraisal
Sharpe ratio (reward to variability, Sharpe index)
Roy ratio
Risk free rate
Alternative Sharpe ratio
Revised Sharpe ratio
Adjusted Sharpe ratio
Skewness-kurtosis ratio
MAD ratio
Gini ratio
Relative risk
Tracking error (or tracking risk, relative risk, active risk)
Relative skewness
Relative kurtosis
Information ratio
Geometric information ratio
Modified information ratio
Adjusted information ratio
Relative Hurst
Regression Analysis
Regression equation
Regression alpha (αR)
Regression beta (βR)
Regression epsilon (εR)
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
R2 (or coefficient of determination)
Specific or residual 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)
K ratio
Drawdown
Drawdown
Average drawdown
Maximum drawdown (or peak to valley 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
Lake ratio
Peak ratio
Partial Moments
Downside risk (or semi-standard deviation)
Pure downside risk
Half variance (or semi-variance)
Upside risk (or upside uncertainty)
Mean absolute moment
Omega ratio
Sortino ratio
Reward to half-variance
Downside risk Sharpe ratio
Downside information ratio
Kappa (or Sortino-Satchell ratio)
Upside potential ratio
Volatility skewness
Variability skewness
Farinelli-Tibiletti ratio
Prospect ratio
Extreme at 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 or parametric
Which methodology for calculating VaR should be used?
Frequency and time aggregation
Time horizon
Window length
Reward to VaR
Reward relative VaR
Double VaR ratio
Conditional VaR (expected shortfall, tail loss, tail VaR or average VaR)
Upper CVaR or CVaR
Lower 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
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
Risk-adjusted Return
Risk-adjusted return
M2
M2 excess return
Differential return
GH1 (Graham & Harvey 1)
GH2 (Graham & Harvey 2)
Correlation and risk-adjusted return M3
Return adjusted for downside risk
Adjusted M2
Omega excess return

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