Hedge Fund Performance Measurement


The objective of this course is to give an understanding and review of Hedge Fund performance indicators and quantitative assessment measures using real industry data examples.


This course is also useful for those dealing with normal Mutual Fund performance measures.


No prior knowledge of Performance Measures is assumed but a basic knowledge of statistics is useful (volatility, correlation, regression). The learning process will be reinforced through the use of workshops and case studies using real data. The course has a split of 50% theory/50% practice.




  •         Bankers and Prime Brokers that invest / lend to Hedge Funds
  •         Hedge Fund Managers and Analysts and Marketing executives
  •         Quantitative Analysts and Performance Assessors
  •         Support staff for those dealing in / investing / lending to Hedge Funds
  •         Fund Managers
  •         Institutional Investors
  •         Pension Advisers
  •         Private Bankers considering Hedge Fund investments
  •         IT and other market professionals and advisors who are dealing with hedge funds



Current industry situation with examples

  •          Academic view
  •          Biases
       -    Survivorship bias
       -   Instant return history bias


Classic quantitative tools used in the industry

  •          Descriptive statistics (mean, variance, correlation, etc.)
  •          Geometric v arithmetic averages
  •          Rolling statistics
  •          Ratios (Sharpe, Calmar, MAR, Sortino, etc.) + Information Ratio
  •          Distribution of returns (normal, skewed, kurtotic)

                                     -   Skewness

                                     -    Kurtosis

  •          Stress test
  •          Regression analysis: alpha, beta & R2
  •          Comparison to Peers
  •          Drawdown assessment/negative streak and recovery period
  •          Hedge funds versus classic investments in difficult times


Quantitative techniques currently used in the industry

  •          Style analysis (Sharpe 1992 & the new versions)

                                     -       The concept

                                     -      The theory

                                     -      Practical examples

  •          Fama & French (1993) 3-factor model
  •          Carhart (1997) 4-factor model
  •          Deep correlation analysis

                                 -       Using daily to monthly data

                                 -       Between hedge funds

                                 -       Between hedge funds & classical indices

  •          VaR for hedge funds


New tools and Ratios

  •          New Ratios
  •          Normality triangle
  •          Extended Sharpe ratio
  •     Agreements & Documentation

New techniques (extended multi-factor performance attribution model, omega)

  •         Extended multi-factor performance attribution model

                              -       Performance analysis

                              -       Persistence in performance analysis

  •         Omega
  •         Inserting hedge funds in a portfolio

                           -       Risk-return (volatility)

                          -       Risk- return (alternative measures of risks)

  •        Liquidity risk estimation


The shortcuts of Quantitative Analysis


Todays Date:

Duration 1 day
Available as an in-house tailored course

Investment Education PLC
45 Old Hall Road, Manchester M7 4JF, United Kingdom
Tel:+44 (0)161 832 3800
Email: mail@investmentEducation.net
Registered in England Number 2129160
VAT Registered Number GB 480 2112 85

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