Hedge fund performance measurement

Content
Current industry situation with examples
Academic view
Biases
- Survivorship bias
- Instant return history bias
Classic quantitative tools used in the industry
Descriptive statistics (mean, variance, correlation, etc.)
Geometric v arithmetic averages
Rolling statistics
Ratios (Sharpe, Calmar, MAR, Sortino, etc.) + Information Ratio
Distribution of returns (normal, skewed, kurtotic)
- Skewness
- Kurtosis
Stress test
Regression analysis: alpha, beta & R2
Comparison to Peers
Drawdown assessment/negative streak and recovery period
Hedge funds versus classic investments in difficult times
Quantitative techniques currently used in the industry
Style analysis (Sharpe 1992 & the new versions)
- The concept
- The theory
- Practical examples
Fama & French (1993) 3-factor model
Carhart (1997) 4-factor model
Deep correlation analysis
- Using daily to monthly data
- Between hedge funds
- Between hedge funds & classical indices
VaR for hedge funds
New tools and Ratios
New Ratios
Normality triangle
Extended Sharpe ratio
Agreements & Documentation
New techniques (extended multi-factor performance attribution model, omega)
Extended multi-factor performance attribution model
- Performance analysis
- Persistence in performance analysis
Omega
Inserting hedge funds in a portfolio
- Risk-return (volatility)
- Risk- return (alternative measures of risks)
Liquidity risk estimation
The shortcuts of Quantitative Analysis



Todays Date: 8 September 2017
Duration 1 day