Risk Measures in Asset Management

Marcus Schulmerich, Yves-Michel Leporcher and Ching-Hwa Eu
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Marcus Schulmerich: State Street Global Advisors (SSgA)
Yves-Michel Leporcher: Crédit Agricole
Ching-Hwa Eu: Deutsche Bank

Chapter 1 in Applied Asset and Risk Management, 2015, pp 1-99 from Springer

Abstract: Abstract This chapter presents the mathematical prerequisites for measuring risk and return in asset management. It provides basic information together with many exercises and case studies and describes traditional and non-traditional measures: volatility and Sharpe ratio are traditional measures for absolute portfolio management, whereas tracking error, covariance, correlation, beta, bull and bear market beta, information ratio and Treynor ratio apply for relative portfolio management. The non-traditional measures include maximum absolute drawdown for absolute portfolio management and maximum relative drawdown, semi-deviation and -variance, shortfall risk and Sortino ratio for relative portfolio management. The chapter concludes with the calculation of the return and the volatility of a portfolio.

Keywords: Tracking Error; Risk Measure; Hedge Fund; Portfolio Management; Sharpe Ratio (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/978-3-642-55444-5_1

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