we would like to thank professors jagannathan and pulvino for their helpful comments risk measurement hedge fund portfolios matt demaray laurent luccioni abstract the purpose of this paper is explore methods better quantify risks associated with investing in a funds more specifically measure systematic idiosyncratic sample portfolio using eight different managers who invest across trading styles strategies employ two techniques including multivariate regression analysis monte carlo value at var account volatility returns tail event respectively our findings suggest that step approach works well follow consistent strategy through time resulted increasing predictive power capturing non linearity manager further research needed confirm these results larger furthermore future identify ways deal switch or multiple industries asset classes 1 industry background has grown dramatically over
