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

See all articles by Hilary Till

Hilary Till

Premia Research LLC; EDHEC-Risk Institute; J.P. Morgan Center for Commodities, University of Colorado Denver Business School; Global Commodities Applied Research Digest

Date Written: November 23, 2003

Abstract

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

Till, Hilary, Risk Measurement of Hedge Funds: Traditional versus Alternative Approaches (November 23, 2003). 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. Available at SSRN: https://ssrn.com/abstract=2601784

Hilary Till (Contact Author)

Premia Research LLC ( email )

United States
312-583-1137 (Phone)
312-873-3914 (Fax)

HOME PAGE: http://customindices.spindices.com/custom-index-calculations/premia/all

EDHEC-Risk Institute

Nice
France

HOME PAGE: http://risk.edhec.edu/

J.P. Morgan Center for Commodities, University of Colorado Denver Business School ( email )

1475 Lawrence St.
Denver, CO 80202
United States

HOME PAGE: http://www.business.ucdenver.edu/commodities

Global Commodities Applied Research Digest ( email )

J.P. Morgan Center for Commodities
1475 Lawrence Street
Denver, CO 80202
United States

HOME PAGE: http://www.jpmcc-gcard.com/hilary-till

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