Browsing: skewness

Posts Tagged ‘ skewness ’

Options: When Skewness is Not on the To Do List

Aug 29th, 2019 | Filed under: Newly Added, Hedge Fund Strategies, The A.I. Industry, Equity Hedge Funds, Hedge Funds, Structure of the Hedge Funds Industry

Which options do hedge funds employ in their portfolios? A recent paper concludes that hedge funds as a trader/investor class prefer liquid high-embedded leverage options without lottery-like skewness. The paper also finds that they are good at what they do. Their equity options plays “deliver superior performance unobtainable by tradingRead More


Kurtosis Diagnosis: Don’t get Skewed!

Aug 20th, 2018 | Filed under: Newly Added, What about beta?, The A.I. Industry, Risk management, Risk Metrics and Measurement, Risk Management Strategies & Processes

By Bill Kelly, CEO, CAIA Association The quote “what gets measured gets managed” is oft-times attributed to the author and consultant Peter Drucker. The origin is less significant than its modern-day meaning and, while it is most often used in the context of business management, it ports quite well into the management ofRead More


A Word of Caution on the Modified Distribution

Jan 29th, 2012 | Filed under: Performance, Analytics & Metrics, Hedge Fund Operations and Risk Management

Peter Urbani looks at Cornish Fisher and modified VaR as a function of skewness.Read More