Unique Hedge-Fund Risk Considerations
7 Pages Posted: 7 May 2015
Date Written: October 28, 2002
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: Suggested Citation