Risk-Adjusted Performance Measurement. Part 2: Everything But the Kitchen Sink
The risk measures, both ex post and ex ante, that formed the hands-on component of the one-day workshop on risk-adjusted performance measurement at the CFA Society Toronto offices, are covered in greater detail by the book Practical Portfolio Performance Measurement & Attribution. The author (and workshop leader), Carl Bacon, gave the workshop participants a whirlwind tour on September 17, 2012. This continues a recap of the highlights begun in Part 1 of this posting. Simple risk measures are “stand-alone” for a given portfolio (e.g., variability and Sharpe Ratio), or they are calculated in conjunction with another benchmark or portfolio (e.g., […]
Risk-Adjusted Performance Measurement. Part 1: Mind the Expectations
“The guiding principles for risk control,” said Carl Bacon, CIPM, Chairman of Statpro, and former Director of Risk Control and Performance at F&C Investment Management Ltd, “are integration and confidence in data.” Bacon was in Toronto on September 17, 2012 to deliver a one-day workshop on risk-adjusted performance measurement to about a dozen members of the CFA Society Toronto as part of the Society’s continuing education program. He is the author of Practical Portfolio Performance Measurement & Attribution, which went into its second edition in 2008. Performance measurement is the calculation of portfolio return for purposes of comparison against a […]