Riskdata, in collaboration with Hedge Fund Research, now offers daily value-at-risk indicators for the global hedge fund industry.
Riskdata analyzes the daily HFRX indexes published by Hedge Fund Research using Monte Carlo simulation theory to estimate both traditional VaR and ShockVar. ShockVar indicates the possible overestimate or underestimate of risk during periods of extreme market stress and is more reactive than long-term VaR, Ingmar Adlerberg, Riskdatas CEO, said in a news release.
Riskdata and Hedge Fund Research believe that publishing VaR indicators (daily) can help investors to discern and separate real from imaginary investment threats, according to the news release.
Both VaR calculations are available free on Riskdatas website, http://www.riskdata.com/resources/market.html.