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“Bridging the theory & practice of investment management”
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Third Quarter (2007)

0 comments / 09/03/2015 / Emanuel Derman

A Simple Model for the Expected Premium for Hedge Fund Lockups

Emanuel Derman What excess return should a fund of funds expect to earn for investing in a hedge fund with an extended lockup? In this paper, we present a simple model for estimating the premium for long-term lockups. Because there is a demonstrated statistical persistence to the quality of hedge fund returns within a particular… Read More

0 comments / 13/07/2014 / Jack Treynor

CASE STUDIES: Common Sense Investing

Jack L. Treynor View PDF… Read More

0 comments / 13/07/2014 /

BOOK REVIEWS: Louis Bachelier’s Theory of Speculation

Mark Davis and Alison Etheridge Reviewed by Hans-Christian Luedmann View PDF… Read More

0 comments / 13/07/2014 / DEAM

Performance-Based Fees and Risk Shifting with the Knockout Barrier

Xiaodong Xu and Bernd Scherer Many investment firms reward portfolio managers based on their performance. This article investigates a manager's optimal active risk policy using stochastic programming techniques. Our multiple-period model incorporates the most common incentive-fee structures, and captures the risk that the manager is fired for underperformance. In contrast to single-stage models, the manager… Read More

0 comments / 13/07/2014 / mleibowitz

Active 130/30 Extensions: Alpha Hunting at the Fund Level

Martin L. Leibowitz and Anthony Bova Active equity strategies that are highly benchmark-centric will generally have a minimal impact on fund-level volatility. Since most US institutional portfolios are overwhelmingly dominated by their equity exposure, any incremental tracking error will be submerged by the beta effect. Positive alpha opportunities from tightly beta-targeted strategies can therefore be… Read More

0 comments / 13/07/2014 / Vikas Agarwal

On the Relative Performance of Multi-Strategy and Funds of Hedge Funds

Vikas Agarwal and Jayant R. Kale Recently, there has been explosive growth in two products from the hedge fund industry multi-strategy (MS) funds and funds of hedge funds (FOFs), both of which offer diversification across different hedge fund strategies. In well functioning markets, both investment vehicles should offer similar returns. Over the period 1994-2004, we… Read More

0 comments / 13/07/2014 / Harry Kat

What Every Investor Should Know About Commodities Part II: Multivariate Return Analysis

Harry M. Kat and Roel C. A. Oomen In this paper, we study the multivariate return properties of a large variety of commodity futures. We find that between commodity groupings (such as metals, energy, etc.) correlations are very low and mostly insignificant whereas within groups they tend to be much stronger. In addition, commodity futures… Read More

0 comments / 13/07/2014 / Jack Treynor

INSIGHTS: Will the Phillips Curve Cause WWIII?

Jack L. Treynor View PDF… Read More

0 comments / 08/07/2014 /

PRACTITIONER’S DIGEST

Volume 5, Number 3, (2007) View PDF… Read More

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Third Quarter (2007)

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