Welcome to hedge-fund-analysis.net!


‘In the business world, the rearview mirror is always clearer than the windshield’

- Warren Buffett - 

This website offers a broad range of research papers and analysis tools for private investors as well as professionals. Follow the links below to search for Excel- and VBA-templates, or to find some additional information on hedge fund investments and related topics. Below you will find a brief introduction to hedge funds, investment styles and the quantitative assessment of alternative investments. You may also contact me should you have any inquiries or comments. I hope you find this website useful.

Assessing Hedge fund performance

More recently, analysts and investors focused their attention on accurately estimating the inherent risks of hedge funds. Past research suggests that the traditional approach of assessing the risks of investment funds through mean-variance analysis can lead to severe underestimation of left-hand-tail risks for hedge funds. This phenomenon is mainly attributable to the non-normal distribution of monthly hedge fund returns around the mean. In addition, it has been found that skewed return distribution with high excess kurtosis has substantial impact on the reliability of beta as a measure of systemic risk in hedge funds. Other problems when estimating hedge fund risks arise from serial correlation of time series, managerial and survivorship bias, as well as spurious bias when estimating performance from economic time series.

This website includes some advice on how to improve the significance of the aforementioned risk measures. You can also find some information on mean-variance analysis, asset pricing theory, as well as the applicability and reliability of Value at Risk. Furthermore, some guidelines on univariate and multivariate regression models are provided. You may follow the link below to a more detailed framework of asset pricing models for hedge funds. It is the purpose of this website to provide investors and analysts with an introductory framework for the appropriate risk assessment of hedge funds, considering the unique structure and dynamics of these alternative investment funds.


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last updated: May 08 2021 12:47 PM
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