A hedge fund is commonly defined today as "an aggressively managed portfolio of investments that uses advanced investment strategies", according to Investopedia. But before this general definition took hold, hedge funds, or "hedged funds", were vehicles that focused on hedging, or providing some protection and diversification when markets went down or otherwise didn...
post-MPT
May 12, 2011
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Marc Odo
In the wake of the recent credit crisis there has been a lot of discussion around the idea of tail risk, i.e. rare, but extreme and traumatic events. We believe one of the best ways to analyze tail risk is to use the Omega ratio developed by Con Keating and William Shadwick. Simply put, Omega measures the count and the scale of observations above a minimum accepted return (MAR) and contrasts them with the count and scale of...