Tuesday, February 9, 2010
Lies of Capital Lines
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund performance, hedge funds
Tuesday, January 12, 2010
Detecting Crowded Trades in Currency Funds
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, currency funds
Tuesday, December 8, 2009
Has There Been Excessive Speculation in the US Oil Futures Markets?
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, commodities, commodity trading advisor, CTA, managed futures
A New Look at Building Teamwork Portfolios
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge funds
Tuesday, November 10, 2009
The End of Emerging Markets?
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund research, hedge funds
Do Hedge Fund Managers have Stock-Picking Skills?
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund research, hedge funds
Tuesday, October 6, 2009
On the Consistency of Hedge Fund Indexes Across Providers
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund research, hedge funds
Friday, September 11, 2009
Applying a Global Optimization Algorithm to Fund of Hedge Funds Portfolio Optimization
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, FoF, hedge fund research
Tuesday, August 11, 2009
What is the Optimal Number of Managers in a Fund of Hedge Funds?
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund performance, hedge fund research, hedge funds
Thursday, July 9, 2009
Investor Irrationality and Closed-End Hedge Funds
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund research, hedge funds
Friday, June 12, 2009
Skill, Luck and the Multi-Product Firm: Evidence from Hedge Funds
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge funds
Wednesday, May 13, 2009
Crowded Chickens Farm Fewer Eggs - Capacity Constraints in the Hedge Fund Industry Revisited
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund performance, hedge fund risk analysis, hedge funds
Monday, April 13, 2009
The Good, the Bad or the Expensive? Which Mutual Fund Managers Join Hedge Funds?
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article
Tuesday, March 17, 2009
Performance Bias from Strategic Asset Allocation: The Case of Funds of Hedge Funds
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article
Monday, February 9, 2009
Selectivity and Timing Performance of Funds of Hedge Funds: A Time-Varying Approach
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, FoF, funds of hedge funds, hedge fund performance, hedge fund research
Friday, January 9, 2009
Recovering Delisting Returns of Hedge Fund
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, currency funds, funds of hedge funds, hedge fund performance, hedge fund research, hedge fund risk, hedge funds
Thursday, December 11, 2008
The Impact of Hedge Fund Family Membership on Performance and Market Share
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund performance, hedge funds
Wednesday, November 12, 2008
How Successful is the G7 in Managing Exchange Rates?
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, currency funds
Tuesday, September 9, 2008
Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, currency funds
Thursday, August 7, 2008
Time Frames, Research Quality and Strategy: The Differentiating Factors for CTAs?
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, CTA
Tuesday, July 8, 2008
Credit Risk Transfer, Hedge Funds, and the Supply of Liquidity
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, credit risk
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund risk
Wednesday, May 7, 2008
A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge funds
Monday, March 10, 2008
Do Professional Currency Managers Beat the Benchmark?
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.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, foreign exchange, hedge funds
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.
From the February 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund research
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