very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk … design elements of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can …

We measure the loss potential of Hedge Funds by combining three market risk measures: VaR, Draw-Down and Time Under … results clearly state that market risk may be substantially underestimated by those models which assume Normality or, even … considering Non-Normality, neglect to model time- dependence. Moreover, VaR is an incomplete measure of market risk whenever the …