Risk Measurement of Hedge Funds: Traditional versus Alternative Approaches
Till, H., 2005, Chapter 10, in Core-Satellite Portfolio Management, J.C. Singleton (ed.), McGraw-Hill, NY, pp. 253-296.
Till, H., 2004, "Risk Measurement of Investments in the Satellite Ring of a Core-Satellite Portfolio," Singapore Economic Review, Vol. 49, No. 1, pp. 1-26
31 Pages Posted: 11 May 2015
Date Written: November 23, 2003
This paper provides a risk framework for fiduciaries considering using a core-satellite approach to investing. While the article mainly covers the additional risk measurement techniques, which are needed when investing in hedge funds, its recommendations are also relevant for other investments that have default, devaluation, and/or liquidity risks associated with them. While the article’s focus is on quantitative techniques, we note that a fiduciary must also understand the economic basis for each investment’s returns.
Keywords: Sharpe Ratio, Hedge Funds, Risk Measurement, Asymmetric Risk
JEL Classification: G10, G11, G23, G29
Suggested Citation: Suggested Citation