2007 Archives
Volume 5, Number 1, First Quarter
What Every Investor Should Know About Commodities Part I: Univariate Return Analysis
Harry M. Kat and Roel C. A. Oomen
Measuring the True Cost of Active Management by Mutual Funds
Ross M. Miller
Industry Concentration and Mutual Fund Performance
Marcin Kacperczyk, Clemens Sialm and Lu Zheng
The Value of Transaction Cost Forecasts: Another Source of Alpha
Mark Coppejans and Ananth Madhavan
Proxy Voting Brand Competition
Mark Latham
CASE STUDIES: Reifen AG
Jack L. Treynor
Volume 5, Number 2, Second Quarter
Can Hedge-Fund Returns Be Replicated?: The Linear Case
Jasmina Hasanhodzic and Andrew W. Lo
Will Hedge Funds Regress Towards Index-Like Products?
William Fung and David A. Hsieh
Timing Ability in the Focus Market of Hedge Funds
Yong Chen
Hedge Fund Mergers
Nusret Cakicia and Sris Chatterjee
How Hedge Funds Beat the Market
Craig French and Damian Ko
CASE STUDIES: Rivalry at Appleton-Pearson
Jack L. Treynor
BOOK REVIEWS: Financial Modeling of the Equity Market: From CAPM to Cointegration
Volume 5, Number 3, Third Quarter
A Simple Model for the Expected Premium for Hedge Fund Lockups
Emanuel Derman
What Every Investor Should Know about Commodities Part II: Multivariate Return Analysis
Harry M. Kat and Roel C. A. Oomen
On the Relative Performance of Multi-Strategy and Funds of Hedge Funds
Vikas Agarwal and Jayant R. Kale
INSIGHTS: Will the Phillips Curve Cause WWIII?
Jack L. Treynor
Active 130/30 Extensions: Alpha Hunting at the Fund Level
Martin L. Leibowitz and Anthony Bova
Performance-Based Fees and Risk Shifting with Knockout Barrier
Xiaodong Xu and Bernd Scherer
CASE STUDIES: Common Sense Investing
Jack L. Treynor
BOOK REVIEW: Louis Bachelier’s Theory of Speculation (by Mark Davis and Alison Etheridge)
Volume 5, Number 4, Fourth Quarter
Contingent Claims Approach to Measuring and Managing Sovereign Credit Risk
Dale F. Gray, Robert C. Merton and Zvi Bodie
What Happened to the Quants in August 2007?
Amir E. Khandani and Andrew W. Lo
The Pricing of Credit Default Swaps During Distress
Jochen R. Andritzky and Manmohan Singh
Interest Rate Models’ Implied Volatility Function Stochastic Movements
Thomas S. Y. Ho and Blessing Mudavanhu
INSIGHTS: A Brief Review Of “The Basis”
Jack L. Treynor
CASE STUDIES: Dependable Trust
Jack L. Treynor