Performance Measurement of Hedge Funds Portfolios in a Downside Risk Framework

2008 ◽  
Author(s):  
Chokri Mamoghli ◽  
Sami Daboussi
Keyword(s):  
Performance Measurement ◽  
Hedge Funds ◽  
Downside Risk ◽  
Risk Framework

Performance Measurement in a Downside Risk Framework

1994 ◽  
Vol 3 (3) ◽  
pp. 59-64 ◽  
Author(s):  
Frank A. Sortino ◽  
Lee N. Price
Keyword(s):  
Performance Measurement ◽  
Downside Risk ◽  
Risk Framework

RISK MEASUREMENT OF INVESTMENTS IN THE SATELLITE RING OF A CORE-SATELLITE PORTFOLIO: TRADITIONAL VERSUS ALTERNATIVE APPROACHES

2004 ◽  
Vol 49 (01) ◽  
pp. 105-130 ◽  
Author(s):  
HILARY TILL
Keyword(s):  
Hedge Funds ◽  
Measurement Techniques ◽  
Risk Measurement ◽  
Additional Risk ◽  
Economic Basis ◽  
Risk Framework ◽  
Alternative Approaches

This paper provides a risk framework for fiduciaries by considering using a core-satellite approach to investing. While the article mainly covers the additional risk measurement techniques, which are needed when investing in hedge funds, its recommendations are also relevant for other investments that have default, devaluation, and/or liquidity risks associated with them. Also, while the article's focus is on quantitative techniques, we note that a fiduciary must also understand the economic basis for each investment's returns.

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