O ct 2 00 6 Downside Risk analysis applied to Hedge Funds universe Josep Perelló
نویسنده
چکیده
Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires a high precision risk evaluation and an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe fail to capture some crucial aspects due to the strong non-Gaussian character of Hedge Funds statistics. A possible way out to this problem while keeping CAPM simplicity is the so-called Downside Risk analysis. One important benefit lies in distinguishing between good and bad returns, that is: returns greater (or lower) than investor’s goal. We study several risk indicators using the Gaussian case as a benchmark and apply them to the Credit Suisse/Tremont Investable Hedge Fund Index Data.
منابع مشابه
2 00 7 Downside Risk analysis applied to the Hedge Funds universe
Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe fail to capture some crucial aspects due to the strong non-Gaussian character of Hedge Funds statistics. A possible way out to this problem while keeping the CA...
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