Fri, Jul 21, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

EDHEC-Risk paper finds that hedge fund alpha is a form of fair reward

Monday, October 01, 2012

Beverly Chandler, Opalesque London: A new paper from the Newedge research chair on advanced modelling for alternative investments at EDHEC-Risk evaluates hedge fund performance through a new non linear risk adjustment of returns.

'Robust assessment of Hedge Fund Performance through Nonparametric Discounting’ by Caio Almeida and René Garcia prices exactly the usual set of risk factors considered in the hedge fund literature. The pair writes: "This nonlinear risk adjustment goes beyond the usual linear regression methodology used in many hedge fund performance papers, including nonlinear exposures based on option-like features."

The new approach proposed in this paper is designed to overcome two limitations of the linear methodology: it captures the nonlinear exposure of a hedge fund strategy to several risk factors, and it is not limited to nonlinear shapes resembling standard option payoff patterns. "We apply this methodology to various hedge fund indices as well as to individual hedge funds, considering a set of risk factors including equities, bonds, credit, currencies and commodities" the authors write.

The main result that emerges from their analysis is that exposure to higher-moment risks on the various factors matters. "Analysing the performance of HFRI indices on primary strategies and......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Little-known cryptocurrency hedge fund seeks $200m in SEC filing[more]

    From Coindesk.com: A little-known, newly established hedge fund is seeking to raise $200m to invest in cryptocurrencies, according to regulatory filings. The bid by Cryptocurrency Fund LP to raise the money was revealed in a Form D submission to the US Securities and Exchange Commission (SEC), dated

  2. FinTech - Bitcoin hedge fund director: ICOs are having a 'eureka' moment, Big data and analytics: Not just for quants anymore, Data breach of a single firm impacts systematic risk (and cost of capital) for the firm's entire sector[more]

    Bitcoin hedge fund director: ICOs are having a 'eureka' moment From Coindesk.com: The director of one of the first bitcoin hedge funds offered praise for initial coin offerings (ICOs) today, arguing in an investor note that the novel fundraising method is already showing signs of

  3. Already above average, Singapore high-networth investors add hedge funds and alternative investments[more]

    Komfie Manalo, Opalesque Asia: An above-average proportion of Singaporean HNW wealth is allocated to alternative investments - the majority of which is held in hedge funds, according to the latest research by ReportLinker. In its report entitled, Wealth in Singapore: HNW Investors 2017

  4. Launches - Crypto boom: 15 new hedge funds want in on 84,000% returns, Crypto madness is striking VCs as Union Square analyst leaves to start new fund[more]

    Crypto boom: 15 new hedge funds want in on 84,000% returns From Forbes.com: With 43 projects raising $1.2 billion in initial coin offerings since May 1, according to Nick Tomaino's The Control, and with stratospheric returns for so many ICOs -- 82,000% for Ethereum, 56,000% for IOTA, 44,

  5. FinTech - The machines are coming... Elon Musk's grim warning, Tezos' $232 million ICO may just be the beginning, A gentle introduction to Initial Coin Offerings (ICOs), Billion dollar tokens, ICOS & crazy market swings WTF is going on!?, How AI is changing the way we invest, How the tech revolution is bringing flip-flops and beanbags to Wall Street, A 'machine-learning' approach to venture capital[more]

    The machines are coming... Elon Musk's grim warning From Tenplay.com.au: Tesla chief Elon Musk has called on US Governors to take 'decisive' action to curtail "the greatest risk we face as a civilization": Artificial Intelligence, or AI. Speaking at a meeting of the National Governor Ass