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Risk Measures in Asset Management

In: Applied Asset and Risk Management

Author

Listed:
  • Marcus Schulmerich

    (State Street Global Advisors (SSgA))

  • Yves-Michel Leporcher

    (Crédit Agricole)

  • Ching-Hwa Eu

    (Deutsche Bank)

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.

Suggested Citation

  • Marcus Schulmerich & Yves-Michel Leporcher & Ching-Hwa Eu, 2015. "Risk Measures in Asset Management," Management for Professionals, in: Applied Asset and Risk Management, edition 127, chapter 1, pages 1-99, Springer.
    • Handle: RePEc:spr:mgmchp:978-3-642-55444-5_1
    DOI: 10.1007/978-3-642-55444-5_1
    as

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