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hedge fund screening
Posted: June 29th, 2004, 7:37 am
by b00008361
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
hedge fund screening
Posted: June 29th, 2004, 4:20 pm
by annesophie
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.
hedge fund screening
Posted: July 6th, 2004, 2:23 pm
by b00008361
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.
hedge fund screening
Posted: July 6th, 2004, 4:17 pm
by rajneesh
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
hedge fund screening
Posted: July 6th, 2004, 11:16 pm
by ppauper
hedge fund screening
Posted: July 7th, 2004, 6:57 am
by b00008361
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
hedge fund screening
Posted: July 7th, 2004, 8:49 pm
by rajneesh
Dont know if I am alowed do that.... but here it is
hedge fund screening
Posted: July 8th, 2004, 8:21 am
by b00008361
Tks a lot for having taken the risk...your article is going to be very helpfull...
hedge fund screening
Posted: July 14th, 2004, 12:20 am
by gboop
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
hedge fund screening
Posted: July 19th, 2004, 11:08 am
by Kvadrik
Omega as a performance measure.
hedge fund screening
Posted: March 2nd, 2005, 8:26 am
by krishnasmiles
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.