Beruflich Dokumente
Kultur Dokumente
Using both the Normal and Cornish Fisher - 'Modified' VaR and CVaR
Fund A
User Inputs in Grey Cells Note they can be the same fund / index if you wish
Fund Name Eurekahedge Fund of Funds Index Eurekahedge Fund of Funds Index
Liquidity (Months) 3
From 31-Jan-00
To 30-Sep-10
First 4 Moments
Mean #VALUE!
Std Dev #VALUE!
Skew #VALUE!
Kurt #VALUE!
n Period Moments
Mean #VALUE!
Std Dev #VALUE!
Skew #VALUE!
Kurt #VALUE!
Common Period
From #VALUE!
To #VALUE!
Data to use
#VALUE! #VALUE!
rvaling effect of higher moments on VaR and CVaR as per Wingen
VaR and CVaR
Fund B #VALUE!
te they can be the same fund / index if you wish
VaR
Fund A
Modified
99% Fund B
36556
40451
#VALUE!
#VALUE!
#VALUE!
#VALUE!
1200.00%
#VALUE!
1000.00%
VaR / CVaR
800.00%
600.00%
400.00%
600.00%
400.00%
200.00%
0.00%
0 1 2 3 4 5
Effective
aR as per Wingender
Number of Months 1 2 3 4 5 6
urekahedge Fund of Funds Index Mean #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Std Dev #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Skew #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Kurt #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
urekahedge Fund of Funds Index Mean #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Std Dev #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Skew #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Kurt #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
VaR / CVaR
1 2 3 4 5 6
99.0% Normal VaR of Eurekahedge Fund of Funds Index #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
9.0% Modified VaR of Eurekahedge Fund of Funds Index #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
of Funds Index
3 4 5 6 7 8 9 10 11 12 13
Effective Liquidity in Months
7 8 9 10 11 12 13 14 15 16
#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
7 8 9 10 11 12 13 14 15 16
#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
17 18 19 20 21 22 23 24
17 18 19 20 21 22 23 24
#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
MCXID FundName Start End 31-Jan-93 28-Feb-93
Eur2 Eurekahedge Arbitrage Hedge Fund Index ### ###
Eur3 Eurekahedge Asia Arbitrage Hedge Fund Index ### ###
Eur4 Eurekahedge Asia CTA Hedge Fund Index ### ###
Eur5 Eurekahedge Asia Distressed Debt Hedge Fund Ind ### ###
Eur6 Eurekahedge Asia Event Driven Hedge Fund Index ### ###
Eur7 Eurekahedge Asia ex Japan Arbitrage Hedge Fund ### ###
Eur8 Eurekahedge Asia ex Japan CTA Hedge Fund Inde ### ###
Eur10 Eurekahedge Asia ex Japan Event Driven Hedge Fu ### ###
Eur12 Eurekahedge Asia ex Japan Hedge Fund Index ### ###
Eur13 Eurekahedge Asia ex Japan Long / Short Equities ### ###
Eur14 Eurekahedge Asia ex Japan Multi-Strategy Hedge F ### ###
Eur16 Eurekahedge Asia Fixed Income Hedge Fund Index ### ###
Eur17 Eurekahedge Asia inc Japan Arbitrage Hedge Fund ### ###
Eur18 Eurekahedge Asia inc Japan CTA Hedge Fund Inde ### ###
Eur19 Eurekahedge Asia inc Japan Distressed Debt Hedg ### ###
Eur20 Eurekahedge Asia inc Japan Event Driven Hedge F ### ###
Eur21 Eurekahedge Asia inc Japan Fixed Income Hedge F ### ###
Eur22 Eurekahedge Asia inc Japan Hedge Fund Index ### ###
Eur23 Eurekahedge Asia inc Japan Long / Short Equities ### ###
Eur24 Eurekahedge Asia inc Japan Macro Hedge Fund In ### ###
Eur25 Eurekahedge Asia inc Japan Multi-Strategy Hedge ### ###
Eur26 Eurekahedge Asia inc Japan Relative Value Hedge ### ###
Eur27 Eurekahedge Asia Long / Short Equities Hedge Fun ### ###
Eur28 Eurekahedge Asia Macro Hedge Fund Index ### ###
Eur29 Eurekahedge Asia Multi-Strategy Hedge Fund Index ### ###
Eur30 Eurekahedge Asia Pacific Absolute Return Fund In ### ###
Eur31 Eurekahedge Asia Pacific Bottom-Up Absolute Retu ### ###
Eur32 Eurekahedge Asia Pacific Dual Approach Absolute ### ###
Eur33 Eurekahedge Asia Pacific Fund of Funds Index ### ###
Eur34 Eurekahedge Asia Pacific Islamic Fund Index ### ###
Eur35 Eurekahedge Asia Pacific Long / Short Equities Fun ### ###
Eur36 Eurekahedge Asia Pacific Multi-Strategy Fund of F ### ###
Eur37 Eurekahedge Asia Pacific Top-Down Absolute Retu ### ###
Eur38 Eurekahedge Asia Pacific Value Absolute Return F ### ###
Eur39 Eurekahedge Asia Relative Value Hedge Fund Inde ### ###
Eur40 Eurekahedge Asian Hedge Fund Index ### ###
Eur41 Eurekahedge Australia / New Zealand CTA Hedge ### ###
Eur42 Eurekahedge Australia / New Zealand Event Drive ### ###
Eur43 Eurekahedge Australia / New Zealand Hedge Fund ### ###
Eur44 Eurekahedge Australia / New Zealand Long / Short ### ###
Eur46 Eurekahedge Bottom-Up Absolute Return Fund Ind ### ###
Eur47 Eurekahedge CTA / Managed Futures Hedge Fund ### ###
Eur48 Eurekahedge CTA Fund of Funds Index ### ###
Eur50 Eurekahedge Distressed Debt Hedge Fund Index ### ###
Eur51 Eurekahedge Diversified Debt Absolute Return Fun ### ###
Eur52 Eurekahedge Dual Approach Absolute Return Fund ### ###
Eur53 Eurekahedge Eastern Europe & Russia Hedge Fund ### ###
Eur54 Eurekahedge Emerging Markets Absolute Return Fu ### ###
Eur55 Eurekahedge Emerging Markets Arbitrage Hedge F ### ###
Eur56 Eurekahedge Emerging Markets Bottom-Up Absolut ### ###
Eur57 Eurekahedge Emerging Markets CTA / Managed Fu ### ###
Eur58 Eurekahedge Emerging Markets Distressed Debt H ### ###
Eur61 Eurekahedge Emerging Markets Event Driven Hedg ### ###
Eur62 Eurekahedge Emerging Markets Fixed Income Hedg ### ###
Eur63 Eurekahedge Emerging Markets Fund of Funds Ind ### ###
Eur64 Eurekahedge Emerging Markets Hedge Fund Index ### ###
Eur65 Eurekahedge Emerging Markets Large Hedge Fund ### ###
Eur66 Eurekahedge Emerging Markets Long / Short Equiti ### ###
Eur67 Eurekahedge Emerging Markets Long / Short Equit ### ###
Eur68 Eurekahedge Emerging Markets Macro Hedge Fund ### ###
Eur69 Eurekahedge Emerging Markets Medium Hedge Fun ### ###
Eur70 Eurekahedge Emerging Markets Multi-Strategy Fund ### ###
Eur71 Eurekahedge Emerging Markets Multi-Strategy Hed ### ###
Eur72 Eurekahedge Emerging Markets Relative Value He ### ###
Eur73 Eurekahedge Emerging Markets Small Hedge Fund ### ###
Eur74 Eurekahedge Europe Absolute Return Fund Index ### ###
Eur75 Eurekahedge Europe Arbitrage Hedge Fund Index ### ###
Eur76 Eurekahedge Europe Bottom-Up Absolute Return F ### ###
Eur77 Eurekahedge Europe CTA / Managed Futures Hedg ### ###
Eur80 Eurekahedge Europe Event Driven Hedge Fund Ind ### ###
Eur81 Eurekahedge Europe Fixed Income Hedge Fund In ### ###
Eur82 Eurekahedge Europe Fund of Funds Index ### ###
Eur83 Eurekahedge Europe Islamic Fund Index ### ###
Eur84 Eurekahedge Europe Long / Short Equities Fund of ### ###
Eur85 Eurekahedge Europe Long / Short Equities Hedge ### ###
Eur86 Eurekahedge Europe Macro Hedge Fund Index ### ###
Eur87 Eurekahedge Europe Multi-Strategy Fund of Funds ### ###
Eur88 Eurekahedge Europe Multi-Strategy Hedge Fund In ### ###
Eur90 Eurekahedge European Hedge Fund Index ### ###
Eur91 Eurekahedge Event Driven Fund of Funds Index ### ###
Eur92 Eurekahedge Event Driven Hedge Fund Index ### ###
Eur93 Eurekahedge Fixed Income Fund of Funds Index ### ###
Eur94 Eurekahedge Fixed Income Hedge Fund Index ### ###
Eur95 Eurekahedge Fund of Funds Index ### ###
Eur96 Eurekahedge Global Absolute Return Fund Index ### ###
Eur98 Eurekahedge Global Bottom-Up Absolute Return Fu ### ###
Eur99 Eurekahedge Global CTA Fund of Funds Index ### ###
Eur101 Eurekahedge Global Dual Approach Absolute Retur ### ###
Eur102 Eurekahedge Global Event Driven Fund of Funds I ### ###
Eur103 Eurekahedge Global Fixed Income Fund of Funds I ### ###
Eur104 Eurekahedge Global Fund of Funds Index ### ###
Eur105 Eurekahedge Global Islamic Fund Index ### ###
Eur106 Eurekahedge Global Long / Short Equities Fund of ### ###
Eur107 Eurekahedge Global Macro Fund of Funds Index ### ###
Eur108 Eurekahedge Global Multi-Strategy Fund of Funds ### ###
Eur109 Eurekahedge Global Relative Value Fund of Funds ### ###
Eur111 Eurekahedge Greater China Event Driven Hedge Fu ### ###
Eur112 Eurekahedge Greater China Hedge Fund Index ### ###
Eur113 Eurekahedge Greater China Long / Short Equities ### ###
Eur114 Eurekahedge Greater China Multi-Strategy Hedge F ### ###
Eur115 Eurekahedge Hedge Fund Index ### ###
Eur116 Eurekahedge India Hedge Fund Index ### ###
Eur117 Eurekahedge India Long / Short Equities Hedge Fu ### ###
Eur118 Eurekahedge India Multi-Strategy Hedge Fund Inde ### ###
Eur119 Eurekahedge Islamic Fund Asia Pacific Balanced In ### ###
Eur120 Eurekahedge Islamic Fund Asia Pacific Equity Inde ### ###
Eur121 Eurekahedge Islamic Fund Asia Pacific Fixed Incom ### ###
Eur122 Eurekahedge Islamic Fund Asia Pacific Money Mark ### ###
Eur123 Eurekahedge Islamic Fund Balanced Index ### ###
Eur124 Eurekahedge Islamic Fund Equity Index ### ###
Eur125 Eurekahedge Islamic Fund Europe Equity Index ### ###
Eur126 Eurekahedge Islamic Fund Fixed Income Index ### ###
Eur127 Eurekahedge Islamic Fund Global Balanced Index ### ### Peter Urbani:
If you are adding data
coppy down the formula in
these two columns
Peter Urbani:
Eur128 Eurekahedge Islamic Fund Global Equity Index ### ### If you are adding data
Eur129 Eurekahedge Islamic Fund Global Fixed Income Ind ### ### coppy down the formula in
these two columns
Eur130 Eurekahedge Islamic Fund Global Money Market In ### ###
Eur131 Eurekahedge Islamic Fund Global Real Estate Inde ### ###
Eur132 Eurekahedge Islamic Fund Index ### ###
Eur133 Eurekahedge Islamic Fund Middle East/Africa Bala ### ###
Eur134 Eurekahedge Islamic Fund Middle East/Africa Equit ### ###
Eur135 Eurekahedge Islamic Fund Middle East/Africa Fixed ### ###
Eur136 Eurekahedge Islamic Fund Middle East/Africa Mone ### ###
Eur138 Eurekahedge Islamic Fund Money Market Index ### ###
Eur139 Eurekahedge Islamic Fund North America Equity In ### ###
Eur140 Eurekahedge Islamic Fund Real Estate Index ### ###
Eur141 Eurekahedge Japan Absolute Return Fund Index ### ###
Eur142 Eurekahedge Japan Bottom-Up Absolute Return Fu ### ###
Eur143 Eurekahedge Japan CTA Hedge Fund Index ### ###
Eur145 Eurekahedge Japan Event Driven Hedge Fund Inde ### ###
Eur146 Eurekahedge Japan Fund of Funds Index ### ###
Eur147 Eurekahedge Japan Hedge Fund Index ### ###
Eur148 Eurekahedge Japan Long / Short Equities Fund of ### ###
Eur149 Eurekahedge Japan Long / Short Equities Hedge F ### ###
Eur150 Eurekahedge Japan Multi-Strategy Fund of Funds I ### ###
Eur151 Eurekahedge Japan Multi-Strategy Hedge Fund Ind ### ###
Eur154 Eurekahedge Large Absolute Return Fund Index ( ### ###
Eur155 Eurekahedge Large Asian Hedge Fund Index ( > U ### ###
Eur156 Eurekahedge Large European Hedge Fund Index ( ### ###
Eur157 Eurekahedge Large Global Fund of Funds Index ( ### ###
Eur158 Eurekahedge Large Hedge Fund Index ( > US$500m ### ###
Eur159 Eurekahedge Large Latin American Hedge Fund Ind ### ###
Eur160 Eurekahedge Large North American Hedge Fund In ### ###
Eur161 Eurekahedge Latin American Arbitrage Hedge Fund ### ###
Eur162 Eurekahedge Latin American Event Driven Hedge F ### ###
Eur163 Eurekahedge Latin American Fixed Income Hedge ### ###
Eur164 Eurekahedge Latin American Hedge Fund Index ### ###
Eur165 Eurekahedge Latin American Long / Short Equities ### ###
Eur166 Eurekahedge Latin American Macro Hedge Fund In ### ###
Eur167 Eurekahedge Latin American Multi-Strategy Hedge ### ###
Eur169 Eurekahedge Latin American Offshore Fixed Incom ### ###
Eur170 Eurekahedge Latin American Offshore Hedge Fund ### ###
Eur171 Eurekahedge Latin American Offshore Long / Short ### ###
Eur172 Eurekahedge Latin American Offshore Macro Hedg ### ###
Eur173 Eurekahedge Latin American Offshore Multi-Strate ### ###
Eur174 Eurekahedge Latin American Onshore Arbitrage He ### ###
Eur175 Eurekahedge Latin American Onshore Event Drive ### ###
Eur176 Eurekahedge Latin American Onshore Fixed Incom ### ###
Eur177 Eurekahedge Latin American Onshore Hedge Fund ### ###
Eur178 Eurekahedge Latin American Onshore Long / Short ### ###
Eur180 Eurekahedge Latin American Onshore Multi-Strate ### ###
Eur181 Eurekahedge Latin American Others Hedge Fund I ### ###
Eur182 Eurekahedge Long / Short Equities Fund of Funds I ### ###
Eur183 Eurekahedge Long / Short Equities Hedge Fund Ind ### ###
Eur184 Eurekahedge Long-Only Absolute Return Fund Inde ### ###
Eur185 Eurekahedge Macro Fund of Funds Index ### ###
Eur186 Eurekahedge Macro Hedge Fund Index ### ###
Eur187 Eurekahedge Medium Absolute Return Fund Index ### ###
Eur188 Eurekahedge Medium Asian Hedge Fund Index ( U ### ###
Eur189 Eurekahedge Medium European Hedge Fund Index ### ###
Eur190 Eurekahedge Medium Global Fund of Funds Index ### ###
Eur191 Eurekahedge Medium Hedge Fund Index ( US$100 ### ###
Eur192 Eurekahedge Medium Latin American Hedge Fund ### ###
Eur193 Eurekahedge Medium North American Hedge Fund ### ###
Eur194 Eurekahedge Middle East/Africa Islamic Fund Index ### ###
Eur195 Eurekahedge Multi-Strategy Fund of Funds Index ### ###
Eur196 Eurekahedge Multi-Strategy Hedge Fund Index ### ###
Eur197 Eurekahedge North America Absolute Return Fund ### ###
Eur198 Eurekahedge North America Arbitrage Hedge Fund ### ###
Eur199 Eurekahedge North America Bottom-Up Absolute Re ### ###
Eur200 Eurekahedge North America CTA / Managed Future ### ###
Eur203 Eurekahedge North America Distressed Debt Hedge ### ###
Eur204 Eurekahedge North America Dual Approach Absolut ### ###
Eur206 Eurekahedge North America Event Driven Hedge F ### ###
Eur207 Eurekahedge North America Fixed Income Hedge F ### ###
Eur208 Eurekahedge North America Fund of Funds Index ### ###
Eur209 Eurekahedge North America Islamic Fund Index ### ###
Eur210 Eurekahedge North America Long / Short Equities ### ###
Eur211 Eurekahedge North America Long / Short Equities ### ###
Eur213 Eurekahedge North America Multi-Strategy Fund of ### ###
Eur214 Eurekahedge North America Multi-Strategy Hedge ### ###
Eur215 Eurekahedge North America Relative Value Hedge ### ###
Eur217 Eurekahedge North American Hedge Fund Index ### ###
Eur218 Eurekahedge Relative Value Fund of Funds Index ### ###
Eur219 Eurekahedge Relative Value Hedge Fund Index ### ###
Eur220 Eurekahedge Small Absolute Return Fund Index ( ### ###
Eur221 Eurekahedge Small Asian Hedge Fund Index ( < U ### ###
Eur222 Eurekahedge Small European Hedge Fund Index ( ### ###
Eur223 Eurekahedge Small Global Fund of Funds Index ( ### ###
Eur224 Eurekahedge Small Hedge Fund Index ( < US$100m ### ###
Eur225 Eurekahedge Small Latin American Hedge Fund Ind ### ###
Eur226 Eurekahedge Small North American Hedge Fund In ### ###
Eur229 Eurekahedge Top-Down Absolute Return Fund Inde ### ###
Eur230 Eurekahedge Value Absolute Return Fund Index ### ###
31-Mar-93 30-Apr-93 31-May-93 30-Jun-93 31-Jul-93 31-Aug-93
30-Sep-93 31-Oct-93 30-Nov-93 31-Dec-93 31-Jan-94 28-Feb-94
31-Mar-94 30-Apr-94 31-May-94 30-Jun-94 31-Jul-94 31-Aug-94 30-Sep-94
31-Oct-94 30-Nov-94 31-Dec-94 31-Jan-95 28-Feb-95 31-Mar-95
30-Apr-95 31-May-95 30-Jun-95 31-Jul-95 31-Aug-95 30-Sep-95
31-Oct-95 30-Nov-95 31-Dec-95 31-Jan-96 29-Feb-96 31-Mar-96
30-Apr-96 31-May-96 30-Jun-96 31-Jul-96 31-Aug-96 30-Sep-96
31-Oct-96 30-Nov-96 31-Dec-96 31-Jan-97 28-Feb-97 31-Mar-97
30-Apr-97 31-May-97 30-Jun-97 31-Jul-97 31-Aug-97 30-Sep-97
31-Oct-97 30-Nov-97 31-Dec-97 31-Jan-98 28-Feb-98 31-Mar-98 30-Apr-98
31-May-98 30-Jun-98 31-Jul-98 31-Aug-98 30-Sep-98 31-Oct-98
30-Nov-98 31-Dec-98 31-Jan-99 28-Feb-99 31-Mar-99 30-Apr-99
31-May-99 30-Jun-99 31-Jul-99 31-Aug-99 30-Sep-99 31-Oct-99
30-Nov-99 31-Dec-99 31-Jan-00 29-Feb-00 31-Mar-00 30-Apr-00 31-May-00
1.70% 2.73% 1.81% 1.29% 1.16%
2.79% 3.14% 3.40% 3.06% 2.66%
58.69% 7.55% -13.21% 4.95% 0.52%
2.42% 2.52% 1.44% 0.46% -1.67%
0.50% 1.70% 2.40% -4.20% 1.10%