Risk Statistics For Alternative Investments
The Conditional Value-at-Risk (CVaR) is defined as the expected value of the losses assuming that the losses exceed the VaR.
Introduced in 2002 by Keating and Shadwick, Omega ratio is a relatively new addition in a hedge fund metrics library. By employing higher moments and taking into account actual shapes of distributions of returns, this measure is well-suited for hedge fund risk assessment, because of non-normality of their distributions.
Value-at-Risk (VaR) estimates the potential loss in the value of a portfolio or investment over a specific time horizon and under a given level of confidence.
