We’ve recently created a nice little five-pager that is meant to be used with hedge funds and other absolute-return strategies. The template was created with our new report view feature and utilizes many of the new statistics and graphics available in...
omega
June 9, 2011
|
Marc Odo
It turns out a couple of academics have come out with a different metric known as the “omega-score” and it is in no way related to the Omega ratio Zephyr has in StyleADVISOR. Confusingly, the “omega score” is also tailored to look at hedge funds, but is an entirely different animal. The Omega ratio we have in the program is meant to describe the distribution of returns and was written by Keating & Shadwick...
May 12, 2011
|
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...