Hedge Funds

News

Visit my hedge fund blog at www.hedgenet.blogspot.com

Studies

1. Market Inefficiencies

2. Risk Premia

3. Illiquidity

4. Eventful Periods

5. Properties of Returns

6. Performance Measurement

7. Risk Measurement

8. Risk Management

9. Portfolio Context

10. Conditional Performance Evaluation

11. Systematic Risk and Hedge Funds

Excellent book

Derivatives : The Tools That Changed Finance by Phelim P. Boyle and Feidhilm Boyle

Simulations (One Excel file)

· Sortino Ratio (Excel file)

Ref: On the foundation of performance measures under asymmetric returns

CS Pedersen, SE Satchell - Quantitative Finance, 2002

· DrawDown Ratio (Excel file)

· VAR and C-VAR (Excel file)

Case Study

· Lessons from Long-Term Capital Management

Bassam Aoun, Ó 2007

University of Waterloo