Tuesday, February 9, 2010

 

Lies of Capital Lines

By Kirill Ilinski, Fusion Asset Management and Alexis Pokrovski, Laboratory of Quantum Networks, Institute for Physics, St-Petersburg State University

In their paper they examine in detail the qualitative effects caused by the investors' sensitivity to mark-to-market and price of liquidity. They find that by chasing returns and prompting investment managers to deliver unsustainable performance, the investment community damages its own chances through a greedy search for yield.

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From the February 2010 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Tuesday, January 12, 2010

 

Detecting Crowded Trades in Currency Funds

By Momtchil Pojarliev, Hathersage Capital Management LLC and Richard M. Levich, Finance Department, New York University's Leonard N. Stern School of Business

In their paper, they propose a methodology to measure crowded trades and apply it to professional currency managers. They also offer useful insights regarding the popularity of certain trades – in currencies, gold, or other assets – among hedge funds.

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From the January 2010 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Tuesday, December 8, 2009

 

Has There Been Excessive Speculation in the US Oil Futures Markets?

By Hilary Till, Research Associate, EDHEC-Risk Institute and Principal, Premia Capital Management, LLC

In her paper she examines whether speculative position-taking has been excessive relative to commercial hedging needs in the exchange-traded oil derivatives markets over the past three years.

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From the December 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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A New Look at Building Teamwork Portfolios

By Galen Burghardt and Lianyan Liu, Alternative Investments Group of Newedge

In their paper, they examine portfolios using metrics that appear to have predictive power – correlations and volatility - and find that these “teamwork” portfolios exhibit less turnover, lower transaction costs and provide an intriguing approach to portfolio construction.

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From the December 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Tuesday, November 10, 2009

 

The End of Emerging Markets?

Everest Capital contributes this month's special report.

In their paper they explore how distinctions between emerging and developing markets are disappearing. Yet, there is one measure by which there is still a distinction, and for that reason, investors should focus more on emerging markets than developed markets.

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From the November 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Do Hedge Fund Managers have Stock-Picking Skills?

By Wesley R. Gray, University of Chicago, Booth School of Business

In his paper he studies novel data, from a confidential website, where a select group of fundamental-based hedge fund managers share investment ideas. Evidence suggests that the managers’ long recommendations earn economic and statically significant long-term abnormal returns.

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From the November 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Tuesday, October 6, 2009

 

On the Consistency of Hedge Fund Indexes Across Providers

By Oliver Dietiker, University of Basel

In his paper, he defines a procedure for analyzing the consistency of hedge fund index returns among hedge fund data providers.

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From the October 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Friday, September 11, 2009

 

Applying a Global Optimization Algorithm to Fund of Hedge Funds Portfolio Optimization

By B. Minsky, International Asset Management Ltd, M. Obradovic, School of Mathematical and Physical Sciences, Sussex University, Q. Tang, School of Mathematical and Physical Sciences, Sussex University, and R. Thapar, International Asset Management Ltd

In their paper they evaluate the value of global search optimization algorithms applied to fund of hedge fund portfolios.

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From the September 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Tuesday, August 11, 2009

 

What is the Optimal Number of Managers in a Fund of Hedge Funds?

By Greg N. Gregoriou, Professor of Finance, State University of New York and Razvan Pascalau, Assistant Professor of Economics, State University of New York

In their paper they investigate the level and the determinants of the optimal number of hedge fund managers in a fund of hedge funds, and analyze its impact on performance.

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From the August 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Thursday, July 9, 2009

 

Investor Irrationality and Closed-End Hedge Funds

By Oliver Dietiker, University of Basel

In his paper, he finds that while investors act rationally most of the time, many acted irrationally when faced with the worsening economic conditions in the second half of 2008.

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From the July 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Friday, June 12, 2009

 

Skill, Luck and the Multi-Product Firm: Evidence from Hedge Funds

By Rui J.P. de Figueiredo, University of California, Berkeley and Evan Rawley, University of Pennsylvania

Their paper finds that both idiosyncratic performance shocks and systematic differences in skill influence diversification decisions.


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From the June 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Wednesday, May 13, 2009

 

Crowded Chickens Farm Fewer Eggs - Capacity Constraints in the Hedge Fund Industry Revisited

By Oliver Weidenmüller, PhD Candidate, Rotterdam School of Management, Erasmus University and Marno Verbeek, Professor of Finance, Rotterdam School of Management, Erasmus University

Their paper examines how performance is impacted by fund size and inflows.


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From the May 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Monday, April 13, 2009

 

The Good, the Bad or the Expensive? Which Mutual Fund Managers Join Hedge Funds?

By Prachi Deuskar, Department of Finance, College of Business, University of Illinois at Urbana; Joshua M. Pollet, Department of Finance, Goizueta Business School, Emory University; Z. Jay Wang, Department of Finance, College of Business, University of Illinois at Urbana; and Lu Zheng, Department of Finance, Paul Merage School of Business, University of California Irvine

Their paper investigates the decisions mutual fund management companies make when facing direct competition for managerial talent from the hedge fund industry.

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From the April 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Tuesday, March 17, 2009

 

Performance Bias from Strategic Asset Allocation: The Case of Funds of Hedge Funds

By Dr. Oliver A. Schwindler, Department of Finance, Bamberg University

The paper examines a possible performance bias which could arise from strategic asset allocation and its impact on the performance of an actively managed portfolio of funds of hedge funds.


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From the March 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Monday, February 9, 2009

 

Selectivity and Timing Performance of Funds of Hedge Funds: A Time-Varying Approach

By Dr. Marco Rummer, Saïd Business School, Oxford University; and Dr. Oliver A. Schwindler, Department of Finance, Bamberg University

Their paper presents evidence that selectivity and timing performance can be regarded as a good discriminating factor for superior funds of hedge funds.

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From the February 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Friday, January 9, 2009

 

Recovering Delisting Returns of Hedge Fund

By James E. Hodder, Professor - Finance, Investment and Banking, University of Wisconsin-Madison; Dr. Jens Jackwerth, Head Dept of Economics, University of Konstanz; and Olga Kolokolova, Research Asst., University of Konstanz

Their paper examines the issue of hedge fund performance estimation when a fund has stopped reporting returns to a commercial database and whether or not a return should be attributed to funds for the period they stop reporting.


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From the January 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Thursday, December 11, 2008

 

The Impact of Hedge Fund Family Membership on Performance and Market Share

By Nicole M. Boyson, Assistant Professor of Finance, Northeastern University

The paper investigates why hedge funds from small fund families outperform those from large fund families.


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From the December 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Wednesday, November 12, 2008

 

How Successful is the G7 in Managing Exchange Rates?

By Marcel Fratzscher, Senior Adviser, European Central Bank, Frankfurt am Main, Germany

The paper assesses the extent to which the Group of Seven (G7) has been successful in its management of major currencies since the 1970s.


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From the November 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Tuesday, September 9, 2008

 

Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers

By Momtchil Pojarliev, Head of Currencies at Hermes Investment Management Limited and Richard M. Levich, Professor of Finance and International Business and Deputy Chair of the Department of Finance at New York University's Leonard N. Stern School of Business

Takes a close look at the returns of professional currency managers and examines the difference in performance between funds that survive and those that do not.

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From the September 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Thursday, August 7, 2008

 

Time Frames, Research Quality and Strategy: The Differentiating Factors for CTAs?

By Elliot Noma, Amal Alibair, and William T. Long of Asset Alliance Corporation

Examines the roles played by factors such as a CTA’s time frame for trades, trading strategy, and quality of in-house research in affecting manager returns.

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From the April 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Tuesday, July 8, 2008

 

Credit Risk Transfer, Hedge Funds, and the Supply of Liquidity

By Heinz Zimmermann, Professor of Economics and Finance, Department of Finance at Wirtschaftswissenschaftliches Zentrum (WWZ), University of Basel, Switzerland

Discusses recent issues related to the transfer of credit risk from the perspective of global liquidity.

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From the July 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Monday, June 9, 2008

 

Crisis and Hedge Fund Risk

By Monica Billio of the University of Venice - Department of Economics, Mila Getmansky of the University of Massachusetts at Amherst - Department of Finance & Operations Management, and Loriana Pelizzon of the University of Venice - Department of Economics

Studies the effect of financial crises on hedge fund risk.

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From the June 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Wednesday, May 7, 2008

 

A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money

By G. Baquer of ESMT European School of Management and Technology and Marno Verbeek of Rotterdam School of Management, Erasmus University

Explores the flow-performance interrelation of hedge funds by separating the investment and divestment decisions of investors.

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From the May 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Monday, March 10, 2008

 

Do Professional Currency Managers Beat the Benchmark?

By Momtchil Pojarliev, Hermes Investment Management Limited
and Richard M. Levich, New York University Stern School of Business, Finance Department

Investigates returns from 34 individual currency fund managers against returns of a professionally managed currency funds index. They examine the relationship of the returns against four factors representing returns based on carry trading, trend-following, value trading and currency volatility.

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From the March 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Wednesday, February 6, 2008

 

Is Managed Futures an Asset Class? The Search for the Beta of Commodity Futures

By Davide Accomazzo, Adjunct Professor of Finance, Pepperdine University, Graziadio School of Business; Principal, Managing Director, Cervino Capital Management, LLC and
Michael Frankfurter, Chief Investment Strategist, Managed Account Research, Inc.; Principal, Managing Director, Cervino Capital Management, LLC

“Is Managed Futures an Asset Class? The Search for the Beta of Commodity Futures” investigates potential sources of return to speculators in the commodity futures market.

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From the February 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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