Comments on: Study finds many hedge funds simply hold back liquidity to power returns http://allaboutalpha.com/blog/2008/11/26/study-finds-many-hedge-funds-simply-hold-back-liquidity-to-power-returns/ A finance blog about hedge funds, portable alpha and alternative investing. Mon, 13 Feb 2012 11:26:54 +0000 http://wordpress.org/?v=abc hourly 1 By: Peter Urbani http://allaboutalpha.com/blog/2008/11/26/study-finds-many-hedge-funds-simply-hold-back-liquidity-to-power-returns/comment-page-1/#comment-144043 Peter Urbani Thu, 27 Nov 2008 06:13:49 +0000 http://allaboutalpha.com/blog/?p=3721#comment-144043 For more on the topic of the impact of (i)Liquidty on risk please see the discussion and associated papers and spreadsheets on the discussion forum for Carol Alexander's new four volume set at http://www.carolalexander.org/phpBB/viewtopic.php?f=6&t=2 This incudes both the normal ('gaussian') and Cornish Fisher ('modified') VaR and CVaR numbers for simple returns at different holding horizons. Whilst it does not directly answer the question of liquidity premium it does give you a better idea of what the drawdown at risk or liquidity VaR you might be exposed to over a longer time horizon, also for the non-normal case, than simply scaling by the square root f time rule. For more on the topic of the impact of (i)Liquidty on risk please see the discussion and associated papers and spreadsheets on the discussion forum for Carol Alexander’s new four volume set at

http://www.carolalexander.org/phpBB/viewtopic.php?f=6&t=2

This incudes both the normal (‘gaussian’) and Cornish Fisher (‘modified’) VaR and CVaR numbers for simple returns at different holding horizons. Whilst it does not directly answer the question of liquidity premium it does give you a better idea of what the drawdown at risk or liquidity VaR you might be exposed to over a longer time horizon, also for the non-normal case, than simply scaling by the square root f time rule.

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