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4

Both approaches have drawbacks, so if one must choose among the two then one shall compare those drawbacks in the specific case. Or another way would be devising a hybrid of the two (e.g. adding statistics of historical deviations of the fund portfolio from the (1) view etc...). Among the drawbacks of (1): trading costs, rebalancings, management fees etc ...


3

No matter how you calculate the VaR (historical simulation, covariance approach, MC) I assume that you work on historical data or data derived from the history of assets, risk factors and theresuch. If this assumption is correct then I would use approach (1). If you know the exact positions today of the (sub-)funds, then (except from some technicalities) ...


3

Here couple ETFs that may satisfy what you are looking for: http://www.quant-shares.com/etf-list/ http://www.etc.db.com/GBR/ENG/Institutional/Downloads/ISIN/Factsheets/GB00B4N0QN94 http://guggenheiminvestments.com/products/etf/wmcr http://etfdb.com/type/investment-style/high-beta/ Those include ETFs with a momentum approach, mean-reversion approach, ...


3

In effect, you are wondering whether to price this option on risk-free probability distributions (B-S drift $r_f$), or real-world ones (B-S drift $\mu$, however calibrated) One cannot short the mutual fund, so the argument for using risk-free is weakened. But, there are various economic equilibrium arguments why using it may still be OK. If you use the ...


2

You won't find this data for free anywhere. Some data-feeds have it. For example, DTN's NxCore product includes CUSIP in their data files.


2

There is a service on the cusip homepage, but I suspect it will cost you money: https://www.isin.cusip.com/isin/IsinServiceLogin.jsp


1

The single most important fact to keep in mind when reviewing a fund is that there is no single most important fact. Left tail risk in a fund investment exists for a huge number of reasons. This could range from back office compliance, risk management/derivative use policies to the possibility that the strategies they're running are negatively skewed which ...


1

You can get monthly performance for all of the Eurekahedge indices for free from Quandl: http://www.quandl.com/EUREKA-Eurekahedge


1

Is the management fee deducted daily or annually? Or perhaps are you trying to quantify the difference between the two? If annually, are fees in this example deducted based on average daily balance, or ending balance? I think you are also confusing yourself regarding economic vs. accounting cost. Look at how much money is left in the fund after fees ...


1

I believe a nice way to discuss this is to set up a questionnaire which would put them in a situation where they have to make choices between different types of investments (which are abstract) in order to estimate their risk aversion. For example, you ask the people whether they prefer an investment making +10% (80% of the time) and -25% the rest of the ...



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