Hedge Fund

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.

Hedge Fund Analysis

The issue of analyzing hedge funds has become more and more relevant in recent years. Information about hedge funds is often hard to come by and difficult to evaluate. Statistics like downside deviation and kurtosis are interesting, but don’t necessarily get to the heart of what a manager is doing.

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