Unique Hedge-Fund Risk Considerations

7 Pages Posted: 7 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: October 28, 2002

Abstract

As the hedge-fund business expands relative to traditional asset management, researchers are developing risk measures to take into consideration the nonstandard performance characteristics of hedge funds. This article gives three examples of proposals that have been published recently. Each proposal notes that conventional risk measures might understate the risk of hedge-fund strategies.

Researchers are also grappling with how to extract useful risk information from brief and flawed historical data. This article discusses two proposals to address this difficulty.

Keywords: hedge fund, tail-risk, performance, risk measures, value-at-risk, style factors

JEL Classification: G10, G11, G23

Suggested Citation

Till, Hilary, Unique Hedge-Fund Risk Considerations (October 28, 2002). Available at SSRN: https://ssrn.com/abstract=2602852 or http://dx.doi.org/10.2139/ssrn.2602852

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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