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Methodology for Evaluation of Hedge Fund Decisions

Dealing with the challenges

As the hedge fund industry has grown to about $3 trillion in assets under management (AUM) in the first quarter of 2015 and represents a significant portion of institutional portfolios, academic and industry publications have provided valuable insights into certain aspects of portfolio management, particularly in the area of fund evaluation and portfolio construction. Yet there is an apparent lack of a robust and flexible methodology that is capable of evaluating whether those insights can benefit a specific institutional investor once implemented with real world constraints.

There are several important challenges that need to be carefully dealt with. One – investors have their own objectives that vary substantially depending on the type of institution. For example, a family office or an asset management firm might seek to maximise Sharpe ratio, a university endowment attempts to target returns that exceed the university’s spending rate over a market cycle, and a pension fund pursues maximisation of riskadjusted return within an asset-liability framework.

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About The Hedge Fund Journal

INFORMING THE HEDGE FUND COMMUNITY With access to some of the industry’s biggest names and an astute and talented group of writers and contributors, The Hedge Fund Journal has established itself as a trusted source of information on the hedge fund industry.