Estimating Operational Risk for Hedge Funds: The ω-Score
نویسندگان
چکیده
منابع مشابه
Hedge Funds: Risk and Return
ince the early 1990s, hedge funds have become an increasingly popular asset class. The amount invested globally in hedge funds rose from approximately $50 billion in 1990 to approximately $1 trillion by the end of 2004.1 And because these funds characteristically use substantial leverage, they play a far more important role in the global securities markets than the size of their net assets indi...
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We examine whether funds of hedge funds (FoFs) engage in costly fire sales of their hedge fund investments during the 2004–2011 period. We find that FoFs experiencing large outflows tend to liquidate holdings in funds with relatively few redemption restrictions (“liquid funds”), even when these funds perform well. A tracking portfolio that buys liquid funds involved in fire sales over the prior...
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ژورنال
عنوان ژورنال: CFA Digest
سال: 2009
ISSN: 0046-9777,1938-3320
DOI: 10.2469/dig.v39.n2.31