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The Journal of Alternative Investments

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A Best Practice Protocol for the Risk Measurement of a Portfolio of Hedge Funds

Shubeur Rahman and Ranjan Bhaduri
The Journal of Alternative Investments Winter 2019, 21 (3) 45-51; DOI: https://doi.org/10.3905/jai.2018.21.3.045
Shubeur Rahman
is an ordinary member of Darwin College at the University of Cambridge in Cambridge, UK
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Ranjan Bhaduri
is president and CEO of Bodhi Research Group in Toronto, Ontario, Canada
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Abstract

The authors review, refine, and attempt to formalize the emerging best-practice approach for the measurement of the market risk of a multi-asset-class, multi-strategy, fund of hedge funds portfolio. The approach involves a good level of transparency from the manager and the active participation of an independent fund administrator, an independent risk aggregator, the investor, and the manager. The approach is increasingly being adopted in the industry but there are challenges, such as obtaining timely, granular, and verified transparency from managers. Although the discussions in this article are in the context of traditional hedge funds (i.e., those that invest in publicly listed securities), the authors suggest steps that could be taken so as to expand the protocol to include more nontraditional hedge funds, such as those that invest in illiquid assets and carry idiosyncratic risks. Many of the elements outlined in this article are already well known in the industry but are underutilized, perhaps as a result of a lack of awareness or understanding between manager and investor.

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The Journal of Alternative Investments: 21 (3)
The Journal of Alternative Investments
Vol. 21, Issue 3
Winter 2019
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A Best Practice Protocol for the Risk Measurement of a Portfolio of Hedge Funds
Shubeur Rahman, Ranjan Bhaduri
The Journal of Alternative Investments Dec 2018, 21 (3) 45-51; DOI: 10.3905/jai.2018.21.3.045

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A Best Practice Protocol for the Risk Measurement of a Portfolio of Hedge Funds
Shubeur Rahman, Ranjan Bhaduri
The Journal of Alternative Investments Dec 2018, 21 (3) 45-51; DOI: 10.3905/jai.2018.21.3.045
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  • Article
    • Abstract
    • LIMITATIONS OF CURRENT PRACTICES
    • A SOLUTION
    • BETTER GOVERNANCE
    • ENHANCEMENTS TO PORTFOLIO RISK MANAGEMENT
    • SUMMARY
    • ACKNOWLEDGMENT
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