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Sharpe ratio
Hedging pressure-based long/short commodity strategy used for third generation commodity index
Edhec has constructed a long/short commodity strategy capturing the risk premium in commodity futures markets and that can be used to design a third generation commodity index.
Hedge Funds Review | 20 Jan 2012
Academic analysis supports long/short commodity investing without regulatory intervention
Recent market volatility has revived the debate on the role of commodities in strategic and tactical asset allocation and led to an increasing recognition of the relevance of long/short strategies.
Hedge Funds Review | 04 Jan 2012
Lack of clear 'proprietary traders' definition stymies implementation of Volcker rule
Banks are considering a variety of measures to identify proprietary trading and meet the requirements of the Volcker rule, part of the Dodd-Frank Act, although none are foolproof, say dealers.
Hedge Funds Review | 27 Jul 2011
Option pricing and hedging problems cause basis risk
Option pricing and hedging cause problems when a futures contract is written on the underlying asset for the underlying asset. Using the optimal strategy is likely to generate meaningful welfare gains.......
Hedge Funds Review | 04 Apr 2011
Merlin Securities offers tool to enable hedge funds to scrutinise portfolio performance
Merlin Securities has launched a multi-prime reporting function enabling fund managers to make detailed statistical portfolio analyses and access to detailed analytical performance data.
Hedge Funds Review | 05 Aug 2010
FoHF unveils new hedge fund ranking system
Fund of hedge fund manager Lyster Watson has developed a hedge fund rating and ranking system it claims provides a better indication of a manager’s skill than traditional measures such as Sharpe and......
Hedge Funds Review | 09 Jun 2010
Beyond diversification: absolute return funds of ETFs
In the March article we drew on a recent Edhec-Risk Institute publication on risk control through dynamic core-satellite portfolios of exchange traded funds (ETFs) supported by Amundi (1) to look at the......
Hedge Funds Review | 07 Apr 2010
New approach to risk management
Unencumbered cash is probably “the most important risk management tool at the disposal of a hedge fund,” according to a research paper from Columbia University.
Hedge Funds Review | 07 Apr 2010
Salus Alpha launches special situations Ucits fund
Austrian asset management company Salus Alpha has unveiled its fourth single manager Ucits-compliant hedge fund focusing on special situations.
Hedge Funds Review | 05 Mar 2010
FTSE and EDHEC launch index series
FTSE Group and EDHEC-Risk Institute, a centre for applied asset and risk management research, have launched the FTSE EDHEC-Risk Efficient Indices. The index series uses a risk-adjusted strategy similar......
Hedge Funds Review | 18 Jan 2010
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