omega

Hedge Fund Performance Template

2013-01-04 08:42:25
Marc Odo
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We’ve recently created a nice little five-pager that is meant to be used with hedge funds and other absolute-return strategies. The template was created with our new report view feature and utilizes many of the new statistics and graphics available in StyleADVISOR.

Omega ratio vs. Omega score

2011-06-09 02:19:33
Marc Odo
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It turns out a couple of academics have come out with a different metric known as the “omega-score” and it is in no way related to the Omega ratio Zephyr has in StyleADVISOR. Confusingly, the “omega score” is also tailored to look at hedge funds, but is an entirely different animal. The Omega ratio we have in the program is meant to describe the distribution of returns and was written by Keating & Shadwick in a 2002 paper.

Omega - Additional Analytics and Resources

Marc Odo
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In the wake of the recent credit crisis there has been a lot of discussion around the idea of tail risk, i.e. rare, but extreme and traumatic events. We believe one of the best ways to analyze tail risk is to use the Omega ratio developed by Con Keating and William Shadwick. Simply put, Omega measures the count and the scale of observations above a minimum accepted return (MAR) and contrasts them with the count and scale of observations below the MAR.

Omega by Marc Odo, CFA, CAIA, CFP

Date: 
Wed, 2011-05-11

With the release of StyleADVISOR 8.1, Zephyr Associates has expanded the toolset used to understand the Omega ratio. Omega captures all four moments of a distribution: return, standard deviation, skewness, and kurtosis. In addition, Omega can be used to help understand any series of return data, whereas some of the traditional return/risk statistics used in finance are only useful if the returns happen to fall into a somewhat normal distribution pattern.

Omega

Omega compares the count and scale of individual return points above a minimum accepted return threshold (MAR) against the count and scale of individual return points below the MAR threshold.

The Omega Statistic Explained by Thomas Becker, Ph.D.

Date: 
Mon, 2010-04-05

The Omega measure was introduced in 2002 by C. Keating and B. Sedgewick ([1]) as a universal performance measure. This article explains the use, the meaning, and the exact mathematical definition of the Omega.

 
 

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