Performance Evaluating - Call-overwriting program

AMC Wrote: > I don’t know what does it mean by “optionality” > here, any one can elaborate ? It means the portfolio use options thus giving lopsided return characteristics

elcfa Wrote: ------------------------------------------------------- > AMC Wrote: > > > I don’t know what does it mean by “optionality” > > here, any one can elaborate ? > > It means the portfolio use options thus giving > lopsided return characteristics elcfa, TKVM !

Thanks elcfa, So do you agree on the followings? and Do you have any idea on the “??” ? Hedge fund: typically* negative skewness and high kurtosis => RoMAD is preferred. Managed fund: positive skewness and ?? kurtosis => ?? is preferred Distressed securities: negative skewness and high kurtosis => RoMAD is preferred. Private equity: negative skewness and high kurtosis => RoMAD is preferred Commodity: ?? skewness and ?? kurtosis => ?? is preferred Real estate: ?? skewness and ?? kurtosis => ?? is preferred * except global macro/equity mkt neutral HF Thanks

B_C Not sure whether we are pushing the envelope way beyond what is required in level 3. In general, funds with updated market value (HF, managed futures), use VaR nowadays. For those with stale prices (PE, distressed, RE,…), use various measurements. It is common to compare the different measures to see an overall picture instead of saying one is absolute better than other. Measurement of alternative investments, HF in particular, is an controversial topic with not enough data or contradictory data. Even books about alternative investments, HF measurements are vague about this so I would not go further than what we have discussed or what the book has stated explicitly.