Is volatility management a key statistic to pay attention to above absolute returns? When making allocation decisions there is a definite disadvantage to filtering hedge fund performance from the standpoint of highest absolute returns, which is often the criteria for many of the “best” performer lists compiled by brokerage and industry award programs. Sophisticated algorithmic methods to determine hedge fund allocation decisions, however, often don’t consider absolute return as the top factor. Some methods are based on a fund’s noncorrelation to several strategic and market factors such as the fund’s upside and downside deviation levels measured as different values, the fund’s…
Absolute Returns Not Always Above Volatility Management In Hedge Fund Allocation Decisions
Mark Melin
Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.