Mon, Nov 24, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Two ways to generate alpha with risk management tools

Monday, August 12, 2013

Precy Dumlao, Opalesque Asia:

There are two ways to actively generate alpha with risk management tools, said Damian Handzy, Chief Executive of Investor Analytics, during the latest Opalesque 2013 Connecticut Roundtable.

The Opalesque 2013 Connecticut Roundtable was sponsored by Eurex, Investor Analytics and Taussig Capital and took place in June 2013 in the Stamford office of Federal Street Partner.

Handzy gave two examples, "One is that risk concentrates on the left tail, and we all know that the left tail is asymmetric with the right tail. However, the techniques of analyzing the left tail lend themselves to analyzing the right tail. The result is that firms are now looking at the causal relationships that make the tail fat – and on the flip side examining the causal relationships between the securities that will make the right tail, the gain tail, as fat as it could be."

He said that the second example to generate alpha with a risk management tool is when a hedge fund uses risk analysis techniques to identify the characteristics of trades that generate the most profit. Their intention, he said, is to do more of the trades that increase profitability and fewer of the trades that do not.

......................

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. Regulatory - Stringent rules for hedge funds make the financial system fragile[more]

    From FT.com: …It is one thing to impose a regulatory burden when there is a clear need to do so. Banks are underwritten by taxpayers via deposit insurance as well as the too-big-to-fail safety net; they need to be reined in, and if they shrink as a result, that may be welcome. But it is another thin

  2. Investing - Apple: Hedge funds are crazy about it, Greenlight Capital took stake in Citizens Financial after IPO, Tiger Global added to Hertz, exited Dollar General last quarter, Oberweis sells NQ Mobile stake as Valiant adds shares, Whitney Tilson sticks to losing bet on MagicJack shares, Brigade Capital backs €90m Quinn sale[more]

    Apple: Hedge funds are crazy about it From Techinsider.net: Apple Inc. is still the most popular stocks among hedge funds. According to a recent report by hedge fund tracking site Insider Monkey, more than one out of 5 hedge funds are invested in Apple Inc. At the moment there are

  3. Greenlight Re CEO says hedge fund reinsurance strategy buzz is validating[more]

    From Artemis.bm: The attention being paid to the hedge fund reinsurance business model and the fact that others are now looking to leverage bits of it within their own strategies, is validating for reinsurer Greenlight Capital Re, according to CEO Bart Hedges. There has been an increasing buzz

  4. Legal - Hedge fund manager fights £8m tax tribunal ruling[more]

    From FT.com: A hedge fund manager who may have to repay £8m in tax is trying to overturn a tribunal ruling that found he had attempted to shelter millions in an avoidance scheme. Patrick Degorce, chief investment officer at Theleme Partners, lost a tax tribunal case last year. HM Revenue & Customs c

  5. Europe - Hedge funds face exit tax as Iceland central bank discusses plan[more]

    From Bloomberg.com: Hedge funds and other creditors with claims against Iceland’s failed banks face an exit tax as the island looks for ways to unwind capital controls without hurting the economy. The government targets having a plan it can present by year-end that would map out how Iceland will sca