Recognising that mean and variance cannot capture all of the risk and reward features in a financial returns distribution ( except where returns are normally distributed ), a new measure, known as Omega, has been developed to employ all the information contained within a return series.  The authors of this paper, Con Keating and William F. Shadwick , suggest that Omega can be thought of either as a Sharper ratio, or the successor to Jensen's alpha.

This tight, concise critique by David Harding discusses the shortcomings associated with using the Sharpe ratio to measure investment performance.
He notes that "its widespread and often indiscriminate adoption as a quality measure is leading to distortion of proper investment priorities, as investment firms manipulate strategies and data to maximise it"

This article by Premia Capital Management points out the shortcomings inherent in traditional performance measures when applied to alternative investments and outlines other approaches that recognize the non-linear relationship between many alternatives and stock and bond portfolios.

The article starts with the premise that " risk arbitrage is not about making money, it's about not losing money ". A thoughtful and complete discussion of the various sources of risk in risk arbitrage and how best to manage them.

Published by the IMSA Centre, University of Reading, UK, the paper presents several applications of cointegration based trading strategies: a classic index tracking strategy, a long-short equity market neutral strategy and a number of strategies combining index tracking and long-short market neutral. As opposed to other traditional index tracking or long-short equity strategies, the portfolio optimization is based on cointegration rather than correlation.

Research paper by Pavlo Krokhmal, Stanislav Uryasev and Grigory Zrazhevsky from the Risk management and Financial Engineering Lab Center for Applied Optimization at the University of Florida, it applies formal risk management methodologies to optimization of a portfolio of hedge funds. It compares Conditional Value-at-Risk and Conditional Drawdown-at-Risk with more established Mean-Absolute Deviation, Maximum Loss, and Market Neutrality Approaches.

Although meant primarily to assist managers in setting up a new hedge fund, this guide is a very helpful blueprint of issues to consider for institutional investors coming to hedge funds for the first time.

Comprehensive research paper on the debt covenant hypothesis, based upon analysis of almost 1,000 loan agreements.

The benchmark article on fund of funds structures by Deutsche Bank.

Moody's reviews the default, recovery and credit loss experience for 2001 and the historical period since 1970. It establishes the necessary context for an appreciation of the superior credit experience of private debt.

A comprehensive research study by the Society of Actuaries which compares the credit risk loss of private debt to public debt, illustrating the superior performance of private debt.Published May 2002.