hedge fund screening

b00008361 · June 29th, 2004, 7:37 am

Hi,Does anybody know how to implement the omega ratio ?I would like to settle a method to realize a screening of HF...so if you have any article do not hesitate...Tks

annesophie · June 29th, 2004, 4:20 pm

http://www.ecwmoneymanagers.com/whitepapers.htmlGo to this web site and downoad Levitt's paper ""Skewness, Kurtosis, and Omega: Risk Mitigation Benefits of Ultra-Diversified Hedge Fund Portfolios"That's how I calculated the Omega ratio of our fund of funds.

b00008361 · July 6th, 2004, 2:23 pm

Sorry for delay... thanks a lot Anne-so...but their web site seems to have some pb because I have not succeeded to be registered despite the fact i filled all the fields...so maybe could you attach the article on your next message...Many thanks,Sam.

rajneesh · July 6th, 2004, 4:17 pm

I found this helpful:http://faculty.fuqua.duke.edu/~charvey/ ... ction.pdfI was able to download --- Skewness, Kurtosis, and Omega: Risk Mitigation Benefits of Ultra-Diversified Hedge Fund Portfolios"from http://www.ecwmoneymanagers.com/whitepapers.html without having to register. Looks like they have changed it recently.Let me know what happened.Regards

ppauper · July 6th, 2004, 11:16 pm

b00008361 · July 7th, 2004, 6:57 am

Rajneesh, Your article looks interesting...but it is still impossible to download the other article from www.ecwmoneymanagers.com...so if you could attach it in one of your next message it would be healthy...Sam

rajneesh · July 7th, 2004, 8:49 pm

Dont know if I am alowed do that.... but here it is

b00008361 · July 8th, 2004, 8:21 am

Tks a lot for having taken the risk...your article is going to be very helpfull...

gboop · July 14th, 2004, 12:20 am

QuoteOriginally posted by: ppauperQuoteOriginally posted by: rajneeshfaculty.fuqua.duke.edu/~charvey/Teaching/BA453_2004/Keating_The_omega_function.pdfnothing to do with the post, but I always wondered how "fuqua" was pronounced ?It is pronounced "fue quay" in two syllables.Best Regards,- Greg

Kvadrik · July 19th, 2004, 11:08 am

Omega as a performance measure.

krishnasmiles · March 2nd, 2005, 8:26 am

I was going through the article on “Skewness, Kurtosis, and Omega: Risk Mitigation Benefits of Ultra-Diversified Hedge Fund Portfolios” but was unable to understand how the omega calculations have been done in the examples. Specifically, in Figure 12 (Page 14) of the article, can someone please explain how the calculations for columns “Total Cum Prob below Threshold” and “Total Cum Prob above Threshold” have been done (I guess the omega value in the last column is a division of these two).Many thanks in advance.