Risk Measures, Performance Attribution, and Alpha
Free CAIA Level I lesson in Introduction to Alternative Investments. 37 min read, ~5,594 words.
Seven loss-side measures: semivariance, semistandard deviation, semivolatility, shortfall risk (a probability), target semivariance, TSSD (downside deviation), and tracking error; semivariance uses the mean, target measures use a chosen target. Parametric VaR = Z × σ × √Days × Value, with Z = 2.33 (99%) and 1.65 (95%); risk scales with...
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What this lesson covers
- Content
- Example 1
- Example 2
- Common Mistakes
- Check Your Understanding
- Exam Shortcuts
Learning objectives
- defining alts
- blurred lines
- history us
- history asia
- risk return characteristics
- goals
- buy sell side
- service providers
- legal structures
- fund types
- fund features
- fund terms
- drawdown fees
- waterfall calcs
- hedge fund fees
- fees and behavior
- return math
- irr
- irr problems
- modified irr
- other measures
- j curve
- notional principal
- return distributions
- moments
- covariance correlation
- beta autocorrelation
- std dev variance
- normality testing
- market efficiency
- time value
- forward rates
- arbitrage
- binomial trees
- single factor models
- hypothesis testing
- sampling problems
- forwards vs futures
- forward foundations
- forwards on rates
- carry forwards
- managing long short
- option exposures
- rate options
- rate swaps
- option pricing
- risk measures
- var
- benchmarking
- ratio measures
- risk adjusted
- pricing data
- appraisals smoothing
- alpha beta overview
- estimating alpha
- return attribution
- statistical issues
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