RISK MANAGEMENT FOR HEDGE FUNDS

Saad Rathore
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Saad Rathore: Algorithmic Capital Markets, USA

Chapter 12 in Hedge Fund Alpha:A Framework for Generating and Understanding Investment Performance, 2009, pp 193-219 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:OverviewRisk Management as a Source of Superior ReturnsDistinction Between Trading and InvestingTrading Risk ManagementRisk Management and Conventional Wall Street WisdomRisk Management and Profit and Loss (P&L) AnalysisImpact RatioKelly Formula for Position SizingDrawdown AnalysisCorrelation AnalysisInvestment Risk ManagementSharpe RatioTreynor MeasureJensen's AlphaSortino RatioOmega RatioDownside Risk MeasurementExposuresLong Market Value (LMV)Short Market ValueGross Market ValueNet Market ValueProduct ExposuresSector and Industry ExposuresCountry ExposuresLiquidity ExposuresPortfolio Quality ExposureBeta Adjusting the PortfolioDelta Adjusting the PortfolioValue at Risk (VAR) Variance-Covariance Value at Risk (VCV VAR)Historical Simulation Method of VARMonte Carlo Simulation Method of VAROther RisksCounterparty RiskCurrency or Exchange Rate RiskLegal & Regulatory RiskHedge Fund Alpha Tear Sheet — Chapter 12References

Keywords: Hedge Funds; Alpha; Investment Strategy; Stock Market; Investing; Emerging Markets; Fund of Funds; Investment Management; Brazil; Russia; India; China (search for similar items in EconPapers)
Date: 2009
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