Risk Valuation Of Fund Of Funds

This is the 3rd installment of our hedge fund risk management webinars, a continuation of the 'Unique Hedge Fund Problems' tutorial. The tutorial discusses the differences between risk assessment of single hedge funds and multi-manager funds or fund of funds. A straightforward approach of accessing investment risks fund of funds in the same way as single hedge funds may be not always appropriate and could yield misleading results. 

Why Single Fund Risk Assessment Techniques May Not Work For Fund Of Funds

A brief overview of the common pitfalls of fund of funds risk valuation:

• Diversification and cross-correlation problems.
• A low correlation with indices doesn't necessarily mean a good market neutrality.
• Fund of funds liquidity problems and hidden illiquid assets.
• Selecting a right peer group.

Risk Shell: Advanced Risk Analytics For Fund Of Funds

Risk Shell offers a broad choice of analytical tools designed specifically for fund of funds risk assessment, in particular, for hedge fund of funds and multi-asset portfolios. These tools include fund of fund diversification analysis, style analysis capable of analyzing funds low correlated to indices, copula-based stochastic simulation, tools to overcome a short return series problem and so on.

Multi-Manager Funds Risk Assessment - Step-by-step Tutorial

• Fund of funds diversification and correlation analysis.
• What is factor exposure diversification.
• Factor Analysis and Style Analysis models: tips and techniques for multi-manager funds.
• Peer Group Analysis for fund of funds.
• Fund of funds liquidity risks, how to spot illiquid hidden assets

Potential Audience

Institutional portfolio managers, hedge fund investors, hedge fund of funds and multi-asset portfolio managers, CIOs, advanced family offices, advisers, research houses, consultants, pension plans, endowments, family offices.