Blog: Our Views on Risk Management and Portfolio Construction

Quantitative Perspectives on Alternative Investments - Why Conventional Approaches Fail

Is the surging interest in crypto ETFs justified from a risk-return perspective? How many crypto ETFs are currently available, and how do they compare against other global exchange-traded funds (ETFs)? Let's delve into these questions.

Are crypto assets in a financial bubble? Can investment risks associated with crypto funds be managed and reduced? Is it possible to determine the intrinsic value of crypto assets? Let's delve into these questions and uncover the answers.

Is Dubai witnessing a notable surge in hedge funds relocating or establishing their base in the region? What are the best hedge funds operating in Dubai? How do these hedge funds stack up against their peers in the emerging market strategies? Let's find out.

Exploring the unique challenges that small family offices face in managing portfolios and assessing investment risks. We will be focusing on two problems: selecting right investment managers to handle highly diversified multi-asset portfolios and choosing a right investment platform.

Is the Sortino Ratio an effective comparative risk measure? Explore its nuances, advantages, and limitations in our latest article. Discover insights from a comprehensive study and learn about Risk Shell's innovative FlexiRank framework, offering a nuanced approach to asset comparison.

Based on the Markowitz’s mean-variance model, the Capital Asset Pricing Model (CAPM) inherits all the shortcomings of the latter in addition to its own assumptions that makes it hardly applicable for hedge funds and non-linear assets. While the CAPM still emerges as the most commonly used approach for both institutional and private investors, using it for hedge funds could be disastrous.

The Markowitz’s mean-variance methodology is hardly applicable for hedge fund risk assessment. Since its introduction, the mean-variance methodology became the primary tool for portfolio diversification used by the majority of pension and mutual funds globally. However, despite its popularity, the mean-variance approach suffers important drawbacks...

Introduced in 2002 by Keating and Shadwick, Omega ratio is a relatively new addition in a hedge fund metrics library. By employing higher moments and taking into account actual shapes of distributions of returns, this measure is well-suited for hedge fund risk assessment, because of non-normality of their distributions.


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