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Hedge Fund
Scholarly Compositions - All Compositions |
Table of
Contents for I
:
-
Idiosyncratic Risk: An Empirical Analysis, with
Implications for the Risk of Relative-Value Trading Strategies
by Anthony
J. Richards
Reserve Bank of Australia - Economic Research
November, 1999
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Index arbitrage with
heterogeneous investors: A smooth transition error correction
analysis
by Yiuman
Tse
Binghamton University
July, 2000
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INDEX ARBITRAGE WITH THE KOSPI
200 FUTURES
by Jae Ha
Lee
January, 2005
-
Index arbitrage and nonlinear
dynamics between the S&P 500 futures and cash
by GP
Dwyer, Jr, P. Locke, & W. Yu
Department of Economics, Clemson University
1996
-
Information and Index Arbitrage
by Praveen
Kumar & Duane J. Seppi
University of Houston & Carnegie Mellon University
October, 1994
-
The Influence of Political,
Economic and Financial Risk on Expected Fixed Income Returns
by Claude
B. Erb, Campbell R. Harvey, & Tadas E. Viskanta
First Chicago Investment Management Company & Duke University
-
In Search of the Optimal Fund of
Hedge Funds
by Harry M.
Kat
ISMA Centre, University of Reading, UK
October, 2002
-
Inserting Convertible Arbitrage
Funds in a Classical Portfolio: An Empirical Assessment
by Daniel P.J. Capocci
HEC - Université de Liège
-
Institutional Investors, Unstable
Financial Markets, & Monetary Policy
by E. Philip Davis
European Monetary Institute
1995
-
Institutional Real Estate
Investing Processes, Due Diligence Practices and Market
Conditions
by Stephen E. Roulac
The Roulac Group, Inc.
-
Integrating Hedge Funds into the
Traditional Portfolio
by Harry M. Kat
Cass Business School - City University, London
January 5, 2005
-
The Interdependece of Managed
Futures Risk Measures
by Bhaswar
Gupta & Manolis Chatiras
Center for International Securities and Derivatives Market
October, 2003
-
INFERENCE AND ARBITRAGE: THE
IMPACT OF STATISTICAL ARBITRAGE ON STOCK PRICES
by Tobias
Adrian
Massachusetts Institute of Technology
April 28, 2003
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Is Corporate Diversification
Beneficial in Emerging Markets?
by Karl V. Lins and Henri Servaes
-
Is corporate governance ineffective in emerging markets?
by Michael S. Gibson
-
Is Covered Call Investing Wise?
Evaluating the Strategy Using Risk-Adjusted Performance Measures
by Karyl B.
Leggio & Donald Lien
University of Missouri, Kansas City & University of Texas, San
Antonio
-
Is The Efficient Frontier
Efficient?
by William C. Scheel, William J. Blatcher, Gerald S. Kirschner,
& John J. Denman
-
Is mean-variance analysis
applicable to hedge funds?
by William
Fung & David A. Hsieh
Fuqua School of Business, Duke University
-
Is the Sharpe ratio useful in asset allocation?
by Steve
Christie
Macquarie Applied Finance Centre
May 2, 2005
-
Is Technical Analysis in the
Foreign Exchange Market Profitable? A Genetic Programming
Approach
by
Christopher Neely, Paul Weller, & Robert Dittmar
1997
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Idiosyncratic Risk: An Empirical Analysis, with
Implications for the Risk of Relative-Value Trading Strategies
by Anthony
J. Richards
Reserve Bank of Australia - Economic Research
November, 1999
Abstract
This paper models the idiosyncratic or asset-specific return of
an asset as the return on a portfolio that is long in the asset
and short other assets in the same class, thus removing the
common components of returns. This is the type of "hedged"
position that is held by relative-value or market-neutral
investors including many hedge funds. Based on the cross-section
of idiosyncratic returns for all assets in the asset class,
three measures of the average idiosyncratic risk are constructed
and studied...
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Index arbitrage with
heterogeneous investors: A smooth transition error correction
analysis
by Yiuman
Tse
Binghamton University
July, 2000
Abstract
The traditional index arbitrage model assumes a constant
threshold mispricing between the futures and cash prices for all
investors. Allowing for heterogeneity in investors‘ transaction
costs, objectives, and capital constraints, we model the
intraday mispricing of DJIA futures as a smooth transition
autoregressive (STAR) process with the speed of adjustment
toward equilibrium varying directly with the mispricing. We show
that the observed mean reversion in mispricing changes is
induced by heterogeneous arbitrageurs, instead of a statistical
illusionœinfrequent trading of index portfolio stocks...
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INDEX ARBITRAGE WITH THE KOSPI
200 FUTURES
by Jae Ha
Lee
January, 2005
Abstract
This paper explores index arbitrage strategies using the Korea
Stock Price Index (KOSPI) 200 futures and the KOSPI 200 cash. I
examine the ex post arbitrage profitability where arbitrage
positions are taken at the moment that the mispricing between
the futures and cash prices occurs. I also examine the ex ante
arbitrage profitability where arbitrage positions are formed as
suggested by the initial mispricing, but at the following sets
of prices...
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Index arbitrage and nonlinear
dynamics between the S&P 500 futures and cash
by GP
Dwyer, Jr, P. Locke, & W. Yu
Department of Economics, Clemson University
1996
Abstract
We use a cost of carry model with nonzero transaction costs to
motivate estimation of a nonlinear dynamic relationship between
the S&P 500 futures and cash indexes. Discontinuous arbitrage
suggests that a threshold error correction mechanism may
characterize many aspects of the relationship between the
futures and cash indexes. We use minute-by-minute data on the
S&P 500 futures and cash indexes...
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Information and Index Arbitrage
by Praveen
Kumar & Duane J. Seppi
University of Houston & Carnegie Mellon University
October, 1994
Abstract
A random cash/futures basis is derived in a dynamic multimarket
learning game with sequential information shocks and strategic
arbitrageurs who trade to exploit gaps in the basis. Statistical
properties of our theoretical basis are derived both with and
without index arbitrage. We find that basis volatility, a
measure of intermarket mispricing, may initially increase even
as individual prices become more precise and that arbitrage
reduces basis volatility...
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The Influence of Political,
Economic and Financial Risk on Expected Fixed Income Returns
by Claude
B. Erb, Campbell R. Harvey, & Tadas E. Viskanta
First Chicago Investment Management Company & Duke University
Abstract
Is there information in the commonly used indicators of country
risk for expected global fixed income returns and volatility? We
examine the information content in publicly available measures
of political, financial and economic risk. We find that these
ex-ante measures contain important information about the
cross-section of expected fixed income and currency returns.
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In Search of the Optimal Fund of
Hedge Funds
by Harry M.
Kat
ISMA Centre, University of Reading, UK
October, 2002
Abstract
In this paper we investigate whether it is possible for a fund
of hedge funds to not only offer investors access to a
diversified basket of hedge funds but to provide skewness
protection at the same time. We study two different strategies.
The first is for a fund to buy stock index puts and leverage
itself, in the line with the skewness reduction strategy
proposed earlier in Kat (2002)...
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Inserting Convertible Arbitrage
Funds in a Classical Portfolio: An Empirical Assessment
by Daniel P.J. Capocci
HEC - Université de Liège
Abstract
This study precisely analyses how the insertion of convertible
arbitrage funds into a classical portfolio of stocks and bonds
impacts the distribution of returns. We demonstrate that
although convertible arbitrage funds are attractive in
mean-variance terms, results are more controversial when
skewness and kurtosis are taken into account. The efficient
frontier analysis will overestimate the benefits from including
convertible arbitrage funds in an investment portfolio because
it does not take into account the lower skewness and the higher
kurtosis that is obtained in most cases when convertible
arbitrage funds are included...
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Institutional Investors, Unstable
Financial Markets, & Monetary Policy
by E. Philip Davis
European Monetary Institute
1995
Abstract
This article focuses on the issues which may arise for central
banks in the pursuit of monetary stability in the context of
asset price volatility, and the impact thereon of growth of
institutional investors such as pension funds, life insurers and
mutual funds. The evolving pattern of volatility is considered
to have entailed a major shift in the stability of central
banks’ environment and poses difficulties for monetary policy.
The article first seeks to outline the reasons why institutions
may destabilise financial markets, drawing on the economic
literature and the outcome of recent discussions of the author
with major institutional players, and supplemented by
indications of their growing size and activity...
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Institutional Real Estate
Investing Processes, Due Diligence Practices and Market
Conditions
by Stephen E. Roulac
The Roulac Group, Inc.
Executive Summary
The institutionalization of the real estate capital markets has
created a market in
which those who put capital at risk are increasingly separated
from those who make the investment decisions. Investors expect
their investment fiduciaries’ actions to be consistent with the
prudent man standard, employing appropriate due diligence prior
to investing. Effective due diligence can improve the prospects
of investment performance and mitigate loss exposure...
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Integrating Hedge Funds into the
Traditional Portfolio
by Harry M. Kat
Cass Business School - City University, London
January 5, 2005
Abstract
In this summary paper we show how investors can neutralize the
unwanted skewness and kurtosis effects from investing in hedge
funds by (1) purchasing out-of-the-money equity puts, (2)
investing in managed futures, and/or by (3) overweighting equity
market neutral and global macro and avoiding distressed
securities and emerging market funds. We show that all three
alternatives are up to the job but also come with their own
specific price tag...
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The Interdependece of Managed
Futures Risk Measures
by Bhaswar
Gupta & Manolis Chatiras
Center for International Securities and Derivatives Market
October, 2003
Abstract
The managed futures industry has grown from just under one
billion in 1985 to more than forty billion dollars as of June
2003. This growth has led to closer scrutiny of the
diversification properties as well as risk management of managed
futures. The term managed futures represents an industry
comprised of professional money managers known as Commodity
Trading Advisors (CTAs) who manage client assets on a
discretionary basis using global futures and options markets as
an investment medium [CISDM 2003]...
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Is Corporate Diversification
Beneficial in Emerging Markets?
by Karl V. Lins and Henri Servaes
Abstract
Using a sample of over 1000 firms from seven emerging markets in
1995, we find that diversified firms trade at a discount of
approximately 7% compared to single-segment firms. Diversified
firms are also less profitable than single segment firms, but
lower profitability only explains part of the discount. We find
a
discount only for those firms that are part of industrial
groups, and for diversified firms with management ownership
concentration between 10% and 30%...
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Is corporate governance ineffective in emerging markets?
by Michael S. Gibson
Abstract
I test whether
corporate governance is ineffective in emerging markets by
estimating the link between CEO turnover and firm performance
for over 1,200 firms in eight emerging markets. I find two main
results. First, CEOs of emerging market firms are more likely to
lose their jobs when their firm's performance is poor,
suggesting that corporate governance is not ineffective in
emerging markets. Second, for the subset of firms with a large
domestic shareholder, there is no link between CEO turnover and
firm performance. For this subset of emerging market firms,
corporate governance appears to be ineffective.
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Is The Efficient Frontier
Efficient?
by William C. Scheel, William J. Blatcher, Gerald S. Kirschner,
& John J. Denman
Abstract
The paper defines plausible ways to measure sampling error
within efficient frontiers, particularly when they are derived
using dynamic financial analysis (DFA). The properties of an
efficient surface are measured both using historical segments of
data and using bootstrap samples. The surface was found to be
diverse, and the composition of asset portfolios for points on
the efficient surface was highly variable...
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Is mean-variance analysis
applicable to hedge funds?
by William
Fung & David A. Hsieh
Fuqua School of Business, Duke University
Abstract
This paper shows that the mean-variance analysis of hedge funds
approximately preserves the ranking of preferences in standard
utility functions. This extends the results of Levy and
Markowitz (1979) [Levy, H., Markowitz, H.M., 1979.
Approximating expected utility by a function of mean and
variance...
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Is the Sharpe ratio useful in asset allocation?
by Steve
Christie
Macquarie Applied Finance Centre
May 2, 2005
Abstract
Investors often consider Sharpe ratios when making asset
allocation decisions and comparing portfolios. Given sampling
error in estimated means and variances of returns, promoting
Sharpe ratios as useful to help choose between asset allocations
or portfolios may be misleading. Estimators of the Sharpe ratio
have less helpful distributions than estimators of mean and
variance...
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Is Technical Analysis in the
Foreign Exchange Market Profitable? A Genetic Programming
Approach
by
Christopher Neely, Paul Weller, & Robert Dittmar
1997
Abstract
Using genetic programming techniques to find technical trading
rules, we find
strong evidence of economically significant out-of-sample excess
returns to those rules for each of six exchange rates, over the
period 1981-1995. Further, when the dollar/deutschemark rules
are allowed to determine trades in the other markets, there is a
significant improvement in performance in all cases, except for
the deutschemark/yen. Betas calculated for the returns according
to various benchmark portfolios provide no evidence that the
returns to these rules are compensation for bearing systematic
risk...
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A
B
C D
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G
H I
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K
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M N
O P
Q
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X Y Z
| HEDGE FUND RISK AND OTHER
DISCLOSURES |
Hedge funds, including fund of funds (“Hedge
Funds”), are unregistered private investment partnerships, funds or
pools that may invest and trade in many different markets,
strategies and instruments (including securities, non-securities and
derivatives) and are NOT subject to the same regulatory requirements
as mutual funds, including mutual fund requirements to provide
certain periodic and standardized pricing and valuation information
to investors. There are substantial risks in investing in Hedge
Funds. Persons interested in investing in Hedge Funds should
carefully note the following:
- Hedge Funds represent speculative investments and involve a
high degree of risk. An investor could lose all or a substantial
portion of his/her investment. Investors must have the financial
ability, sophistication/experience and willingness to bear the
risks of an investment in a Hedge Fund.
- An investment in a Hedge Fund should be discretionary capital
set aside strictly for speculative purposes.
- An investment in a Hedge Fund is not suitable or desirable for
all investors. Only qualified eligible investors may invest in
Hedge Funds.
- Hedge Fund offering documents are not reviewed or approved by
federal or state regulators
- Hedge Funds may be leveraged (including highly leveraged) and
a Hedge Fund’s performance may be volatile
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significant restrictions on transferring interests in a Hedge
Fund. There is no secondary market for an investor’s investment in
a Hedge Fund and none is expected to develop.
- A Hedge Fund may have little or no operating history or
performance and may use hypothetical or pro forma performance
which may not reflect actual trading done by the manager or
advisor and should be reviewed carefully. Investors should not
place undue reliance on hypothetical or pro forma performance.
- A Hedge Fund’s manager or advisor has total trading authority
over the Hedge Fund.
- A Hedge Fund may use a single advisor or employ a single
strategy, which could mean a lack of diversification and higher
risk.
- A Hedge Fund (for example, a fund of funds) and its managers
or advisors may rely on the trading expertise and experience of
third-party managers or advisors, the identity of which may not be
disclosed to investors
- A Hedge Fund may involve a complex tax structure, which should
be reviewed carefully.
- A Hedge Fund may involve structures or strategies that may
cause delays in important tax information being sent to investors.
- A Hedge Fund may provide no transparency regarding its
underlying investments (including sub-funds in a fund of funds
structure) to investors. If this is the case, there will be no way
for an investor to monitor the specific investments made by the
Hedge Fund or, in a fund of funds structure, to know whether the
sub-fund investments are consistent with the Hedge Fund’s
investment strategy or risk levels.
- A Hedge Fund may execute a substantial portion of trades on
foreign exchanges or over-the-counter markets, which could mean
higher risk.
- A Hedge Fund’s fees and expenses-which may be substantial
regardless of any positive return- will offset the Hedge Fund’s
trading profits. In a fund of funds or similar structure, fees are
generally charged at the fund as well as the sub-fund levels;
therefore fees charged investors will be higher that those charged
if the investor invested directly in the sub-fund(s).
- Hedge Funds are not required to provide periodic pricing or
valuation information to investors.
- Hedge Funds and their managers/advisors may be subject to
various conflicts of interest.
The above general
summary is not a complete list of the risks and other important
disclosures involved in investing in Hedge Funds and, with respect
to any particular Hedge Fund, is subject to the more complete and
specific disclosures contained in such Hedge Fund’s respective
offering documents. Before making any investment, an investor should
thoroughly review a Hedge Fund’s offering documents with the
investor’s financial, legal and tax advisor to determine whether an
investment in the Hedge Fund is suitable for the investor in light
of the investor’s investment objectives, financial circumstances and
tax situation.
All performance information is believed
to be net of applicable fees unless otherwise specifically noted. No
representation is made that any fund will or is likely to achieve
its objectives or that any investor will or is likely to achieve
results comparable to those shown or will make any profit at all or
will be able to avoid incurring substantial losses. Past performance
is not necessarily indicative, and is no guarantee, of future
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The information on the Site is intended for
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an offer, or the solicitation of any offer, to buy or sell any
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Before making any investment, you should thoroughly review the
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The information on this Site is as of the date(s) indicated,
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Any indices and other financial benchmarks
shown are provided for illustrative purposes only, are unmanaged,
reflect reinvestment of income and dividends and do not reflect the
impact of advisory fees. Investors cannot invest directly in an
index. Comparisons to indexes have limitations because indexes have
volatility and other material characteristics that may differ from a
particular hedge fund. For example, a hedge fund may typically hold
substantially fewer securities than are contained in an index.
Indices also may contain securities or types of securities that are
not comparable to those traded by a hedge fund. Therefore, a hedge
fund’s performance may differ substantially from the performance of
an index. Because of these differences, indexes should not be relied
upon as an accurate measure of comparison.
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