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Trading Risk Enhanced Profitability Through Risk Control

ISBN-10: 0471650919

ISBN-13: 9780471650911

Edition: 2004

Authors: Kenneth L. Grant

List price: $90.00
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Description:

In this work, hedge fund risk manager Kenneth Grant shows how to manage a portfolio to minimize risk and increase profits by putting more capital at risk. By illustrating a simple set of statistical and arithmetic tools, this book can help readers enhance their performance in many financial markets.
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Book details

List price: $90.00
Copyright year: 2004
Publisher: John Wiley & Sons, Incorporated
Publication date: 9/16/2004
Binding: Hardcover
Pages: 272
Size: 6.25" wide x 9.00" long x 1.25" tall
Weight: 1.254
Language: English

Preface
Acknowledgments
The Risk Management Investment
Setting Performance Objectives
Optimal Target Return
Nominal Target Return
Stop-Out Level
The Beach
Understanding the Profit/Loss Patterns over Time
And Now to Statistics, but First a Word (or More) about Time Series Construction
Time Units
Time Spans
Graphical Representation of Daily P/L
Histogram of P/L Observations
Statistics
A Tribute to Sir Isaac Newton
Average P/L
Standard Deviation
Sharpe Ratio
Median P/L
Percentage of Winning Days
Performance Ratio, Average P/L, Winning Days versus Losing Days
Drawdown
Correlations
Putting It All Together
The Risk Components of an Individual Portfolio
Historical Volatility
Options Implied Volatility
Correlation
Value at Risk (VaR)
Justification for VaR Calculations
Types of VaR Calculations
Testing VaR Accuracy
Setting VaR Parameters
Use of VaR Calculation in Portfolio Management
Scenario Analysis
Technical Analysis
Setting Appropriate Exposure Levels (Rule 1)
Determining the Appropriate Ranges of Exposure
Inverted Sharpe Ratio
Managing Volatility as a Percentage of Trading Capital
Drawdowns and Netting Risk
Asymmetric Payoff Function
Adjusting Portfolio Exposure (Rule 2)
Size of Individual Positions
Directional Bias
Position Level Volatility
Time Horizon
Diversification
Leverage
Optionality
Nonlinear Pricing Dynamics
Relationship between Strike Price and Underlying Price (Moneyness)
Implied Volatility
Asymmetric Payoff Functions
Leverage Characteristics
Summary
The Risk Components of an Individual Trade
Your Transaction Performance
Key Components of a Transactions-Level Database
Defining a Transaction
Position Snapshot Statistics
Core Transactions-Level Statistics
Trade Level P/L
Holding Period
Average P/L
P/L per Dollar Invested (Weighted Average P/L)
Average Holding Period
P/L by Security (P/L Attribution)
Long Side P/L versus Short Side P/L
Correlation Analysis
Number of Daily Transactions
Capital Invested
Net Market Value (Raw)
Net Market Value (Absolute Value)
Number of Positions
Holding Periods
Volatility/VaR
Other Correlations
Final Word on Correlation
Performance Success Metrics
Methods for Improving Performance Ratios
Performance Ratio Components
Maximizing Your P/L
Profitability Concentration (90/10) Ratio
Putting It All Together
Bringin' It on Home
Make a Plan and Stick to It
If the Plan's Not Working, Change the Plan
Seek to Trade with an "Edge"
Structural Inefficiencies
Methodological Inefficiencies
Play Your P/L
Avoid Surprises--Especially to Yourself
Seek to Maximize Your Performance at the Margin
Seek Nonmonetary Benefits
Apply Liberal Doses of Humility and Humor
Be Healthy/Cultivate Other Interests
Optimal f and Risk of Ruin
Optimal f
Risk of Ruin
Index