HEDGE FUND RISK, TIME SERIES MODELING, WHITE PAPERS

How factor analysis can detect time bombs?

by Raphael Douady, 2007

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If not the Sharpe Ratio, then What and Why? And How factor analysis can detect time bombs?

Table of contents:

  • Risk measures: For what purpose? What do we expect from them?
  • Is risk info strictly in the return series? Or in the portfolio snapshot composition (holdings) only?
  • What about factor analysis? Why traditional linear models fail? Alternative betas, alternative factors, alternative models…
  • What is “Risk Profiling”?
  • How appropriate and well adapted nonlinear factor analysis can help identify risky scenarios and time bombs

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