Ex-Post Risk


DEFINITION of 'Ex-Post Risk'

A type of risk measurement technique that uses historic returns to predict the riskiness of a certain investment in the future. This type of risk measure is the equivalent of the statistical variance of an asset's returns relative to its mean.


Using historic returns as a measure of future risk has been a traditional method used by investors to determine the riskiness of a given asset. Ex-post risk is often used in value at risk analysis - a tool used to give investors a best estimate of the maximum amount of loss that they could expect to incur on any given trading day.

  1. Variance

    The spread between numbers in a data set, measuring Variance ...
  2. Risk

    The chance that an investment's actual return will be different ...
  3. Ex-Post

    Another term for actual returns. Ex-post translated from Latin ...
  4. Value At Risk - VaR

    A statistical technique used to measure and quantify the level ...
  5. Mean

    The simple mathematical average of a set of two or more numbers. ...
  6. Tracking Error

    A divergence between the price behavior of a position or a portfolio ...
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