Valuations and risk management: concepts requiring both calibration and evolution


Hedge fund portfolios are diversified either in their strategy, underlying techniques and methodologies or underlying financial instruments.

However, they all have a common distinguishing feature. Hedge funds are chasing absolute return and not performance versus benchmarks. To achieve these returns, the relative judgement in asset selection present in traditional asset management does not exist.

For hedge funds, the main driver is the identification of a market anomaly or the capacity to ex