Downside Risk analysis applied to Hedge Funds universe

Details Downside Risk analysis applied to Hedge Funds universe Downside Risk analysis applied to Hedge Funds universe

2006-10-20

arxiv.org/abs/physics/0610162v2

Physica 382 (2007) 213-218

Physics

Physics and Society

25 pages, 8 figures

Scientific paper

10.1016/j.physa.2007.04.079

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 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 revisit most popular Downside Risk indicators and provide new analytical results on them. We compute these measures by taking the Credit Suisse/Tremont Investable Hedge Fund Index Data and with the Gaussian case as a benchmark. In this way an unusual transversal lecture of the existing Downside Risk measures is provided.

Affiliated with

Also associated with

No associations

Rating

Downside Risk analysis applied to Hedge Funds universe does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Downside Risk analysis applied to Hedge Funds universe, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Downside Risk analysis applied to Hedge Funds universe will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-362177