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TO IMPROVE HEDGE FUND TRANSPARENCY, ACHIEVE SELECTIVITY IN INVESTMENT DECISIONS, RISKDATA PUBLISHES VAR FOR HFR INDICES
October 22, 2008
PARIS, LONDON & NEW YORK — Riskdata, the leading developer of risk management solutions, in close collaboration with Hedge Fund Research Inc., a provider of hedge fund performance data and indices, is starting day-to-day publication of Value-at-Risk (VaR) indicators for the global hedge fund industry. The aim of this disclosure is to provide in-depth insight into the levels of risks in the hedge fund industry, thereby increasing overall market transparency and restoring rationality to investor confidence. Riskdata and Hedge Fund Research Inc. believe that publishing VaR indicators can help investors to discern and separate real from imaginary investment threats.
"In the ongoing market crisis, when uncertainty rules the day, maximum insight into the relative risks of various instruments becomes a key for achieving selectivity in redemptions and investments decisions,"
said Ingmar Adblerberg, Riskdata CEO. "The goal of the Riskdata and Hedge Fund Research Inc. collaboration is to help investors better analyze their portfolios in the current market crisis."
To facilitate the understanding risk level fluctuations across the globalized market and asset classes, Riskdata provides global indicators of two risk measures - VaR and ShockVaR. Both estimates are the results of the full overnight revaluation Monte-Carlo simulation. Unlike more traditional VaR measurements, ShockVar indicates the possible over- or under- estimate of risk during periods of extreme market stress. According to Adlerberg, ShockVaR is more reactive than long-term VaR and can increase by a factor of two within a few days following a shock or anticipating a shock. Similarly, it rapidly falls back to its initial value if the market volatility returns to long-term levels. Riskdata uses its own proprietary methodology to determine ShockVaR.
Hedge Fund Research Inc. publishes daily the HFRX indices, which provide returns from eight different strategies representing the entire industry. Riskdata relies on its unique technology - known as RiskTicker - to calculate Shock and long term VaR for HFRX.
"HFR is pleased to collaborate with Riskdata in improving transparency in the market and instilling confidence amongst investors," said Hedge Fund Research Inc. President Kenneth J. Heinz. Riskdata information comprises One-Day Shock VaR, One-Day Long Term VaR and their ratio which is an estimate of the level of abnormality in instrument risk. Value-at-Risk (VaR) is the measure of risk for assessing capital adequacy requirements to market operators.
Both the VaR and ShockVaR calculations for HFRX, market and asset classes are being made available free on the Riskdata's website at Current VaR Across Market and Asset Classes page.
About Riskdata
Riskdata is a leading provider of quantitative risk management tools developed for hedge funds, funds of funds, mutual and pension funds and asset managers. Riskdata is the only risk control developer that manages both systemic and specific risks. Combining the expertise of professional daily market watchers with state-of-the-art software, Riskdata provides solutions for sustainable asset growth. Riskdata tools enable investment professionals to generate detailed and highly customized risk reports, creating comprehensive and decision-oriented risk transparency. Headquartered in Paris with offices in New York, London and Moscow, Riskdata is services more than 150 top financial and investment institutions worldwide.
www.riskdata.com
About HFR
Hedge Fund Research, Inc. (HFR) is a research firm specializing in the aggregation, dissemination and analysis of alternative investment information. The company produces the HFR Database, the industry's most widely used commercial database of hedge fund performance, as well as HFR Industry Report, a comprehensive quarterly offering of the most current information on and analysis of the hedge fund industry. HFR also produces and distributes the HFRX Indices and HFRI Monthly Indices - industry standard benchmarks of hedge fund performance.
www.hedgefundresearch.com
“The challenge for us was to get an aggregated view of the fund risk profile while tracking the specific risk of each underlying strategy. We think Riskdata is able to address both of these issues simultaneously. Moreover, we can monitor the impact of any portfolio allocation on the fund risk profile.”
Philippe Uzan,
CDC IXIS Multi-Strategy Fund
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