A former student (and CIPM certificant) from TSG’s CIPM Prep Courses asked me what risk and risk-adjusted performance measures are now covered in the CIPM curriculum. I thought it was a good question, given the list has grown considerably over the last few years. So… here’s what that list now looks like (2013 examination window).
Note #1: The lighter font is meant to indicate measures covered in the Expert Level curriculum, whereas the black font indicates measures covered in the Principles Level curriculum.
Note #2: The measures are covered in varying degrees. Some are part of the Learning Outcome Statements, some are listed in the required formulas documents and some are discussed or mentioned in readings.
Risk Measures
· Variance
· Mean Absolute Deviation
· Tracking Risk
· Covariance
· Correlation
· Standard deviation
· Beta
· Semi-variance
· Target semi-variance
· Marginal contribution to risk
· Contribution of asset class to portfolio risk
· Marginal contribution to tracking risk
· Drawdown, average drawdown
· Maximum drawdown
· Largest individual drawdown
· Semi-deviation
· Shortfall risk
· Expected downside value
· Downside deviation
· Skewness
· Kurtosis
· Downside potential
· Upside potential
· Upside risk
· Omega ratio
· Bernardo-Ledoit ratio
· Variability skewness
· Ulcer index
· Active share
Risk Adjusted Performance Measures
· Information ratio
· Jensen’s alpha
· M-squared
· Sharpe ratio
· Treynor ratio
· Differential return (w/ standard deviation)
· Differential return (w/ beta)
· Treynor and Mazuy procedure
· Calmar ratio
· Sterling ratio
· Value at Risk (VaR)
· Sortino ratio
· Reward to VaR ratio
· Conditional Sharpe ratio
· Modified Sharpe ratio
· Appraisal ratio
· Adjusted Sharpe ratio
· Omega-Sharpe ratio
· Upside potential ratio
· Prospect ratio
Risk Attribution
· Bottom-up process, absolute returns
· Bottom-up process, excess returns
· Top-down process, excess returns
· Factor exposure, absolute returns
· Factor exposure, excess returns