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Hedge Fund
Scholarly Compositions - All Compositions |
Table of
Contents for T
:
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Tactical Asset Allocation on
Market Neutral Hedge Fund
by Juan Ledesma Padilla, & Martin Zebad
University of Lausanne - School of Economics and Business
Administration
October, 2004
-
Takeovers, Freezouts, and Risk
Arbitrage
by Armando Gomes
The Wharton School, University of Pennsylvania
October, 2001
-
Taking a Close Look at the
European Fund of Hedge Funds Industry
by Noel
Amenc, Jean René Giraud, Lionel Martellini, & Mathieu Vaissie
EDHEC RISK AND ASSET MANAGEMENT RESEARCH CENTRE
January 4, 2002
-
Tax Policy for Emerging Markets:
Developing Countries
by Vito Tanzi & Howell H. Zee
International Monetary Fund, Washington, DC
-
Technical analysis and central
bank intervention
by
Christopher J. Neely & Paul A. Weller
Federal Reserve Bank of St. Louis & Henry B. Tippie College of
Business Administration
-
Technical Analysis and Liquidity
Provision
by Kenneth
A. Kavajecz & Elizabeth R. Odders-White
The Wharton School & University of Wisconsin, Madison
February 25, 2002
-
Testing Market Efficiency using
Statistical Arbitrage with Applications to Momentum and Value
Strategies
by S.
Hogan, R. Jarrow, M. Teo, & M. Warachka
Credit Suisse First Boston, Johnson Graduate School of
Management, Singapore Management University
September, 2003
-
The Test of Market Efficiency
and Index Arbitrage
by Jedrzej
Bialkowski & Jacek Jakubowski
February, 2003
-
Thin Markets, Asymmetric
Information, and Mortgage-Backed Securities
by E.L. Glaeser, & H.D. Kallal
January, 1997
-
A 3-factor Valuation Model for
Mortgage-Backed Securities (MBS)
by Takeaki Kariya, Fumiaki
Ushiyama, & Stanley R. Pliska
Kyoto University & University of Illinois at Chicago
September 4, 2002
-
Timing Ability in the Focus
Market of Hedge Funds
by Yong Chen
July 28, 2005
-
Time-Varying Sharpe Ratios and
Market Timing
by Robert F. Whitelaw
NYU, Stern School of Business
November 19, 1997
-
A Two-Factor, Stochastic
Programming Model of Danish Mortgage-Backed Securities
by Soren S. Nielsen & Rolf
Poulsen
June 11, 2002
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Tactical Asset Allocation on
Market Neutral Hedge Fund
by Juan Ledesma Padilla, & Martin Zebad
University of Lausanne - School of Economics and Business
Administration
October, 2004
Abstract
The objective of the thesis is to show through an empirical work
how alpha drivers can be used tactically with beta drivers to
provide solid out-performance compared to a chosen benchmark.
Given the fact that financial theory and empirical research cast
doubt on the alpha generating process based on stock-picking
abilities by Fund Manager, I substitute that methodology with a
quantitative approach. Using a robust econometric process based
on a non-linear multi-factor thick and recursive modeling
approach that takes into account structural breaks in the data
generating process, I found statistically and economically
significant evidence of returns predictability for the DJ Euro
Stoxx 50 excess returns...
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Takeovers, Freezouts, and Risk
Arbitrage
by Armando Gomes
The Wharton School, University of Pennsylvania
October, 2001
Abstract
This paper develops a dynamic model of tender offers in which
there is trading on the target's shares during the takeover, and
the bidders can freeze out target shareholders (compulsorily
acquire remaining shares not tendered at the bid price),
features that prevail on almost all takeovers. We show that
trading allows for the entry of arbitrageurs with large blocks
of shares who can hold out a freezeout-a threat that forces the
bidder to offer a high preemptive bid. There is also a positive
relationship between the takeover premium and arbitrageurs'
accumulation of shares before the takeover announcement, and the
less liquid the target stock, the strong this relationship is...
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Taking a Close Look at the
European Fund of Hedge Funds Industry
by Noel
Amenc, Jean René Giraud, Lionel Martellini, & Mathieu Vaissie
EDHEC RISK AND ASSET MANAGEMENT RESEARCH CENTRE
January 4, 2002
Abstract
Over the last few years institutional investors’ traditional
portfolios have failed to meet their objectives in terms
of risk and performance. Investors have thus shown growing
interest in new forms of diversification, especially
in investment vehicles that offer better protection during
extreme market conditions. This has naturally led them
to consider hedge funds as part of their investment universe.
The massive arrival of institutional investors in an “industry”
that up until then had been reserved to some High Net Worth
Individuals or Endowments/Foundations resulted in a dramatic
capital inflow and entailed a profound diversification of
investors’ risk profile.
Visit www.EDHEC-Risk.com for the full
paper...
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Tax Policy for Emerging Markets:
Developing Countries
by Vito Tanzi & Howell H. Zee
International Monetary Fund, Washington, DC
Abstract
This paper discusses important tax policy issues facing
developing countries today. It views tax policy from both the
mac-roeconomic perspective, which focuses on broad questions
such as the level and composition of tax revenue, and the
microeconomic perspective, which focuses on certain design
aspects of selected major taxes, such as the personal income
tax, the corporate income tax,
the value-added tax, excises, and import tariffs. It provides a
re-view of the role of tax incentives in these countries, and
identifies some policy challenges posed by the globalization of
the world economy...
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Technical analysis and central
bank intervention
by
Christopher J. Neely & Paul A. Weller
Federal Reserve Bank of St. Louis & Henry B. Tippie College of
Business Administration
Abstract
This paper extends genetic programming techniques to show that
US foreign exchange intervention information improves technical
trading rules’ profitability for two of four exchange rates over
part of the out-of-sample period. Rules trade contrary to
intervention and are unusually profitable on days prior to
intervention, indicating that intervention is intended to halt
predictable trends. Intervention seems to be more successful in
checking such trends in the out-of-sample (1981–98) period than
in the in-sample (1975–80) period...
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Technical Analysis and Liquidity
Provision
by Kenneth
A. Kavajecz & Elizabeth R. Odders-White
The Wharton School & University of Wisconsin, Madison
February 25, 2002
Abstract
The apparent conflict between the level of resources dedicated
to technical analysis by practitioners and academic theories of
market efficiency is a long-standing puzzle. We offer an
alternative explanation for the value of technical analysis that
is consistent with market efficiency – specifically, that it
reveals information about limit order book liquidity. We find
evidence consistent with the hypotheses that support and
resistance levels coincide with peaks in depth on the book and
that moving average forecasts reveal information about the
relative position of depth on the limit order book...
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Testing Market Efficiency using
Statistical Arbitrage with Applications to Momentum and Value
Strategies
by S.
Hogan, R. Jarrow, M. Teo, & M. Warachka
Credit Suisse First Boston, Johnson Graduate School of
Management, Singapore Management University
September, 2003
Abstract
This paper introduces the concept of statistical arbitrage, a
long horizon trading opportunity that generates a riskless
profit and is designed to exploit persistent anomalies.
Statistical arbitrage circumvents the joint hypothesis dilemma
of traditional market efficiency tests because its definition is
independent of any equilibrium model and its existence is
incompatible with market efficiency. We provide a methodology to
test for statistical arbitrage and then empirically
investigate whether momentum and value trading strategies
constitute statistical arbitrage opportunities...
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The Test of Market Efficiency and
Index Arbitrage
by Jedrzej
Bialkowski & Jacek Jakubowski
February, 2003
Abstract
The efficiency of the market for stock index futures and
profitability of arbitrage for contracts on the Warsaw Stock
Exchange Index WIG20 is studied in this paper. The Polish market
has unique attributes, namely in relatively short time the
risk-free interest rate decreased significantly, short sale
cannot be used to construct arbitrage position by institutional
investors and the dividends are small and paid in irregular
manner. Previous studies has not presented the examination of
arbitrage on market characterized by mentioned properties...
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Thin Markets, Asymmetric
Information, and Mortgage-Backed Securities
by E.L.
Glaeser, & H.D. Kallal
January, 1997
Abstract
This paper tries to explain why the issuers of an asset would
restrict what information is available about their asset. In a
world where knowledge is valued, market forces should induce
disclosure, but we often see markets (such as the market for
mortgage-backed securities) where assets' issuers refuse to
release valuable information. We present a model of market
liquidity and find that market liquidity can both rise and fall
with the quantity of released information...
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A 3-factor Valuation Model for
Mortgage-Backed Securities (MBS)
by Takeaki
Kariya, Fumiaki Ushiyama, & Stanley R. Pliska
Kyoto University & University of Illinois at Chicago
September 4, 2002
Abstract
In this paper we generalize the one-factor MBS-pricing model
proposed by Kariya and Kobayashi(2000) to a 3-factor model. We
describe prepayment behavior due to refinancing and rising
housing prices by incentive response functions. Our valuation of
an MBS is based on discrete-time, no-arbitrage pricing theory,
making an association between prepayment behavior and cash flow
patterns...
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Timing Ability in the Focus
Market of Hedge Funds
by Yong
Chen
July 28, 2005
Abstract
This paper examines the timing ability of hedge funds covering
various investment categories. We extend Treynor-Mazuy (1966)
and Henriksson-Merton (1981) market timing models to a multiple
market framework, and propose the concept of focus market in
which the fund trades most actively. Concentrating on the focus
market enables us to parsimoniously apply the conditional
multifactor models...
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Time-Varying Sharpe Ratios and
Market Timing
by Robert
F. Whitelaw
NYU, Stern School of Business
November 19, 1997
Abstract
This paper documents predictable time-variation in stock market
Sharpe ratios. Predetermined financial variables are used to
estimate both the conditional mean and volatility of equity
returns, and these moments are combined to estimate the
conditional Sharpe ratio. In sample, estimated conditional
Sharpe ratios show substantial time-variation that coincides
with the variation in ex post Sharpe ratios and with the phases
of the business cycle...
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A Two-Factor, Stochastic
Programming Model of Danish Mortgage-Backed Securities
by Soren S.
Nielsen & Rolf Poulsen
June 11, 2002
Abstract
Danish mortgage loans have several features that make them
interesting: Short-
term revolving adjustable-rate mortgages are available, as well
as fixed-rate, 10-, 20-or 30-year annuities that contain
embedded options (call and delivery options). The decisions
faced by a mortgagor are therefore non-trivial, both in terms of
deciding on an initial mortgage, and in terms of managing
(rebalancing) it optimally. We propose a two-factor,
arbitrage-free interest-rate model, calibrated to observable
security prices, and implement on top of it a multi-stage,
stochastic optimization program with the purpose of optimally
composing and managing a typical mortgage loan...
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A
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| 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
- An investment in a Hedge Fund may be illiquid and there may be
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
results.
The information on the Site is intended for
informational, educational and research purposes only. Nothing on
this Site is intended to be, nor should it be construed or used as,
financial, legal, tax or investment advice, be an opinion of the
appropriateness or suitability of an investment, or intended to be
an offer, or the solicitation of any offer, to buy or sell any
security or an endorsement or inducement to invest with any fund or
fund manager. No such offer or solicitation may be made prior to the
delivery of appropriate offering documents to qualified investors.
Before making any investment, you should thoroughly review the
particular fund’s confidential offering documents with your
financial, legal and tax advisor and conduct such due diligence as
you (and they) deem appropriate. We do not provide investment advice
and no information or material on the Site is to be relied upon for
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or advice, treatment, or services rendered by any investor or any
person or entity mentioned, featured on or linked to the Site.
The information on this Site is as of the date(s) indicated,
is not a complete description of any fund, and is subject to the
more complete disclosures and terms and conditions contained in a
particular fund's offering documents, which may be obtained directly
from the fund. Certain of the information, including investment
returns, valuations, fund targets and strategies, has been supplied
by the funds or their agents, and other third parties, and although
believed to be reliable, has not been independently verified and its
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or implied, representation or guarantee is made as to the accuracy,
validity, timeliness, completeness or suitability of this
information.
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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