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Skew
Unprecedented volatility set to continue into 2013
The world is a volatile place. Sovereign debts, government interference in markets, risk-on/risk-off moments plus a myriad of other factors are combining to keep volatility in place for some time.
Hedge Funds Review | 30 Apr 2012
Market comment: Structural imbalances give hedge fund strategies good trading opportunities
Volatility has come off sharply. Risk/reward of short European vega/volatility is less appealing. Investors need to hedge tail risk with volatility products while imbalances offer trade chances.
Hedge Funds Review | 16 Feb 2012
Cross-sectional variance shown to be good proxy for Idiosyncratic volatility and expected returns
Research shows the cross-sectional variance is a good proxy for the idiosyncratic variance obtained from the CAPM or the Fama-French models and does has a positive relationship with expected returns.
Hedge Funds Review | 06 May 2011
Optimal portfolio selection in the presence of non-normally distributed asset returns
Research by Edhec shows that implementing hedge fund portfolio selection with higher-order moments can be achieved through suitable extensions of various statistical techniques.
Hedge Funds Review | 01 Dec 2010
Calpers suggests different portfolio construction and risk management approach
Ho Ho, a quantitative portfolio manager in the global equity unit at Calpers, believes return distributions exhibit considerable fat tails and negative skew most of the time.
Hedge Funds Review | 05 Oct 2010
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
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