http://allaboutalpha.com/blog/2007/05/20/the-hedge-fund-metric-that-cried-wolf/ Hedge funds, portable alpha, 130/30 and alpha-centric investing Fri, 19 Mar 2010 07:52:26 +0000 http://wordpress.org/?v=abc hourly 1 http://allaboutalpha.com/blog/2007/05/20/the-hedge-fund-metric-that-cried-wolf/comment-page-1/#comment-89658 allaboutalpha.com: AllAboutAlpha.com Mon, 10 Mar 2008 01:43:31 +0000 http://allaboutalpha.com/blog/2007/05/20/the-hedge-fund-metric-that-cried-wolf/#comment-89658 [...] Regular readers may remember the name William Shadwick (see related posting).  Widely known as the developer of the Omega Function and Omega Metrics®, Shadwick won the 2007 Journalism Award of the Investment Management Consultants Association ,jointly with Ana Cascon, for a paper in which they lifted the veil on some of their powerful new statistics for finance.  A prominent mathematician, he was responsible for establishing the Fields Institute for Research in Mathematical Sciences before entering the finance industry in 1998.  He is the founder of Omega Analysis, a quantitative research firm in London. [...] [...] Regular readers may remember the name William Shadwick (see related posting).  Widely known as the developer of the Omega Function and Omega Metrics®, Shadwick won the 2007 Journalism Award of the Investment Management Consultants Association ,jointly with Ana Cascon, for a paper in which they lifted the veil on some of their powerful new statistics for finance.  A prominent mathematician, he was responsible for establishing the Fields Institute for Research in Mathematical Sciences before entering the finance industry in 1998.  He is the founder of Omega Analysis, a quantitative research firm in London. [...]

]]> http://allaboutalpha.com/blog/2007/05/20/the-hedge-fund-metric-that-cried-wolf/comment-page-1/#comment-6617 Michael J Bommarito II Mon, 21 May 2007 17:29:56 +0000 http://allaboutalpha.com/blog/2007/05/20/the-hedge-fund-metric-that-cried-wolf/#comment-6617 I understand the benefits of the Omega - its complete information retention and very smooth theoretical application in decision theory with preferences at return levels - but mean/variance/skew/kurtosis all have very nice and intuitive visualizations, whereas Omega is somewhat harder to explain or target. I <a href="http://www.etf-central.com/how-beat-beaten-market-moments-random-distribution-42" rel="nofollow">recently discussed how you can weight an investor's types of risk preferences with mean/variance/skew/kurtosis/percentile worst loss</a> to determine "best invesments," something that Omega unfortunately cannot do so well. I understand the benefits of the Omega – its complete information retention and very smooth theoretical application in decision theory with preferences at return levels – but mean/variance/skew/kurtosis all have very nice and intuitive visualizations, whereas Omega is somewhat harder to explain or target. I recently discussed how you can weight an investor’s types of risk preferences with mean/variance/skew/kurtosis/percentile worst loss to determine “best invesments,” something that Omega unfortunately cannot do so well.

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