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Catégorie :Category: nCreator TI-Nspire
Auteur Author: 2B9877U
Type : Classeur 3.0.1
Page(s) : 1
Taille Size: 2.93 Ko KB
Mis en ligne Uploaded: 07/04/2025 - 15:24:03
Uploadeur Uploader: 2B9877U (Profil)
Téléchargements Downloads: 1
Visibilité Visibility: Archive publique
Shortlink : http://ti-pla.net/a4566838
Type : Classeur 3.0.1
Page(s) : 1
Taille Size: 2.93 Ko KB
Mis en ligne Uploaded: 07/04/2025 - 15:24:03
Uploadeur Uploader: 2B9877U (Profil)
Téléchargements Downloads: 1
Visibilité Visibility: Archive publique
Shortlink : http://ti-pla.net/a4566838
Description
Fichier Nspire généré sur TI-Planet.org.
Compatible OS 3.0 et ultérieurs.
<<
INTRODUCTION: UNDERSTANDING HEDGE FUNDS FROM TWO PERSPECTIVES Varying views (secretive, high-fee pools vs. flexible exposure to standard markets) Common goal: generate uncorrelated returns via hedging or niche inefficiencies COMMON HEDGE FUND STRATEGIES Global Macro : (use derivatives), Equity Market Neutral , Long/Short Equity , Event-Driven : (Risk (Merger) Arbitrage, Distressed,) Arbitrage Strategies : (Fixed Income Arbitrage, Convertible Arbitrage, Credit Arbitrage), Managed Futures / CTAs , Multi-Strategy and Niche Funds , Funds of Hedge Funds HEDGE FUND PERFORMANCE DATA, INDICES, AND BIASES Self-reporting selection bias, survivorship bias Indices (HFRX, Credit Suisse/Tremont) still incomplete Interpretation requires caution BASIC PERFORMANCE CONSIDERATIONS Higher fee structures (1.5%2% + 20% performance over hurdle after loss high watermark) Potential illiquidity (lock-ups, redemption gates) Lower market correlation focus on risk-adjusted returns (Sharpe, volatility, drawdowns) UNDERSTANDING RISK IN HEDGE FUNDS Standard risk metrics may underestimate true exposures Market risk amplified by leverage Liquidity risk and forced selling Derivatives create non-linear payoffs (fat tails) LTCM: A CASE STUDY IN LEVERAGE AND LIQUIDITY Relative-value trades + extreme leverage Market disruption (Russia default) large losses Lessons on tail risks and sudden correlation shifts OTHER HEDGE FUND FAILURES: WARNING SIGNS Excess Size, Excess Leverage, Lack of Transparency, Funding Mismatches, Hubris and Overconfidence OPERATIONAL AND COUNTERPARTY RISKS Strong back office for trade settlement, accounting, compliance Counterparty failures (e.g., Lehman) can harm funds Need for rigorous internal limits, collateral management LIQUIDITY RISK IN DETAIL Illiquid positions vs. investor redemptions gates and forced sales Serial correlation in returns as a potential warning sign MEASURING HEDGE FUND RISK: BEYOND VOLATILITY Skewness and Kurtosis (tail risks) VaR and Conditional VaR (extreme scenarios) Drawdown Analysis (peak-to-trough losses analysis of amounts to know) Advanced Risk-Adjusted Metrics (Sortino sharpe but over downside volatility, adjusted Sharpe penalises negative skewness and high kurtosis, Omega incorporates the price of hedging put) PRACTICAL TAKEAWAYS FOR INVESTORS Look beyond simple Sharpe/beta Match strategy liquidity to redemption terms Watch for suspiciously smooth returns Emphasize operational robustness Recognize hedge funds trade the same markets, but seek skill-based alpha Made with nCreator - tiplanet.org
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Compatible OS 3.0 et ultérieurs.
<<
INTRODUCTION: UNDERSTANDING HEDGE FUNDS FROM TWO PERSPECTIVES Varying views (secretive, high-fee pools vs. flexible exposure to standard markets) Common goal: generate uncorrelated returns via hedging or niche inefficiencies COMMON HEDGE FUND STRATEGIES Global Macro : (use derivatives), Equity Market Neutral , Long/Short Equity , Event-Driven : (Risk (Merger) Arbitrage, Distressed,) Arbitrage Strategies : (Fixed Income Arbitrage, Convertible Arbitrage, Credit Arbitrage), Managed Futures / CTAs , Multi-Strategy and Niche Funds , Funds of Hedge Funds HEDGE FUND PERFORMANCE DATA, INDICES, AND BIASES Self-reporting selection bias, survivorship bias Indices (HFRX, Credit Suisse/Tremont) still incomplete Interpretation requires caution BASIC PERFORMANCE CONSIDERATIONS Higher fee structures (1.5%2% + 20% performance over hurdle after loss high watermark) Potential illiquidity (lock-ups, redemption gates) Lower market correlation focus on risk-adjusted returns (Sharpe, volatility, drawdowns) UNDERSTANDING RISK IN HEDGE FUNDS Standard risk metrics may underestimate true exposures Market risk amplified by leverage Liquidity risk and forced selling Derivatives create non-linear payoffs (fat tails) LTCM: A CASE STUDY IN LEVERAGE AND LIQUIDITY Relative-value trades + extreme leverage Market disruption (Russia default) large losses Lessons on tail risks and sudden correlation shifts OTHER HEDGE FUND FAILURES: WARNING SIGNS Excess Size, Excess Leverage, Lack of Transparency, Funding Mismatches, Hubris and Overconfidence OPERATIONAL AND COUNTERPARTY RISKS Strong back office for trade settlement, accounting, compliance Counterparty failures (e.g., Lehman) can harm funds Need for rigorous internal limits, collateral management LIQUIDITY RISK IN DETAIL Illiquid positions vs. investor redemptions gates and forced sales Serial correlation in returns as a potential warning sign MEASURING HEDGE FUND RISK: BEYOND VOLATILITY Skewness and Kurtosis (tail risks) VaR and Conditional VaR (extreme scenarios) Drawdown Analysis (peak-to-trough losses analysis of amounts to know) Advanced Risk-Adjusted Metrics (Sortino sharpe but over downside volatility, adjusted Sharpe penalises negative skewness and high kurtosis, Omega incorporates the price of hedging put) PRACTICAL TAKEAWAYS FOR INVESTORS Look beyond simple Sharpe/beta Match strategy liquidity to redemption terms Watch for suspiciously smooth returns Emphasize operational robustness Recognize hedge funds trade the same markets, but seek skill-based alpha Made with nCreator - tiplanet.org
>>
