Peter Urbani

A presentation along the lines of the PerTrac, HFR and other studies on the performance of Emerging or Early stage Hedge Funds versus their older more established, typically larger, brethren. Unlike PerTrac we do not separate fund size from age and consider both simultaneously which leads to more consistent results and is more realistic to real world conditions.

Various Excel and VBA demonstration projects and models including;
Singular Spectrum Analysis (SSA)
Intra-Horizon VaR and Expected Shortfall
Portfolio Opportunity Distributions
Multivariate Portfolio Skewness, Co-Skewness, Kurtosis and Co-Kurtosis using Tensor Matrices
ETF Database screening tool
Liquidity VaR with correct scaling of higher moments
Four Moment Risk decomposition
Terminal Wealth Horizon Normal and Modified
Incremental and Marginal VaR plus Four Moment… Show more

Various Excel and VBA demonstration projects and models including;
Singular Spectrum Analysis (SSA)
Intra-Horizon VaR and Expected Shortfall
Portfolio Opportunity Distributions
Multivariate Portfolio Skewness, Co-Skewness, Kurtosis and Co-Kurtosis using Tensor Matrices
ETF Database screening tool
Liquidity VaR with correct scaling of higher moments
Four Moment Risk decomposition
Terminal Wealth Horizon Normal and Modified
Incremental and Marginal VaR plus Four Moment version Show less

In this presentation I highlight the deficiencies of the Cornish Fisher expansion to the Normal Distribution ( Also covered by Mina and Ulmer in Delta Gamma - Four Ways http://www.msci.com/resources/research/working_papers/dg4.pdf , Jaschke http://fedc.wiwi.hu-berlin.de/xplore/tutorials/xfghtmlnode8.html and Stoyanov http://discussions.ft.com/alchemy/forums/edhec-risk-forum/hedge-fund-risk-management-models-for-the-return-distribution/ amongst others ) I provide a small VBA test of the bounds… Show more

In this presentation I highlight the deficiencies of the Cornish Fisher expansion to the Normal Distribution ( Also covered by Mina and Ulmer in Delta Gamma - Four Ways http://www.msci.com/resources/research/working_papers/dg4.pdf , Jaschke http://fedc.wiwi.hu-berlin.de/xplore/tutorials/xfghtmlnode8.html and Stoyanov http://discussions.ft.com/alchemy/forums/edhec-risk-forum/hedge-fund-risk-management-models-for-the-return-distribution/ amongst others ) I provide a small VBA test of the bounds of the feasible region within which the expansion is 'well behaved'. I also use some 'best fit' distribution fitting methods to arrive at the bi-variate copula correlation which can be used ,amongst other things, for pair trading. These non-linear 'best fit' methods identify different lowest correlated pairs than the standard product moment or Pearson correlation method approximately 1/3rd of the time. Show less

In this presentation I construct and back-test a dynamically re-balanced fund of Managed Accounts and compare and contrast the out-of-sample (ex-Post) performance to that of the passive equally weighted index using the same funds.

Proofreading and tweaking Aaron's already brilliant prose