Tag Archives: Sharpe Ratio

Does Risk Parity Maximize Risk-adjusted Returns?

While it is well known that risk parity strategies typically allocate more weight or apply leverage to asset classes with lower risk, it is not well understood how higher volatility affects the Sharpe ratios exhibited by the assets that get over- or under- weighted.  We find that in practice the strategy increases an asset’s weight […]

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Making the Mark: How Global Equity Hedge Funds Have Beat the Market

Whether rightly or wrongly[1], hedge funds are often compared to market beta as an indicator of their worth, and their (expensive) fee structure. With 2015 figures now in, the average hedge fund, as measured by HFRI Composite, has trailed the S&P 500 for seven straight years in the wake of the Global Financial Crisis. Source: […]

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When Measuring the Value of Hedge Funds, Don’t Forget Risk

Following the financial media’s reporting on hedge funds over the past few years, one could be mistaken for thinking that frustrating industry-wide returns – along with some high profile winning bets, frauds and serial insider trading – have dominated the industry. And yet money, particularly of the institutional variety, continues to flow towards these expensive […]

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Why Would One Invest in an Outlier? – A Bayou Analysis

Hedge fund blow-ups have garnered significant attention in both the market and in the general media. This study uses recent MPI advances in RBSA to evaluate if data from the Bayou Fund showed clear indications of potential financial improprieties. Click here to download the PDF

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