Volume 12, Number 2, Second Quarter 2014 Global Macro: Theory & Practice Andrew Razanov Reviewed by Cel Kulasekaran View PDF… Read more
Archives
Does Factor Timing Explain Hedge Fund Alpha?
Hyuna Park Volume 12, Number 2, Second Quarter 2014 This paper empirically decomposes hedge fund excess return into factor timing, security selection, and risk premium. Portfolio-level tests show that security selection explains most of the excess return generated by hedge funds during 1994–2009, and the contribution of factor timing is small. Fund-level tests find significant… Read more
Restoring Value to Minimum Variance
Lisa Goldberg, Ran Leshem and Patrick Geddes Volume 12, Number 2, Second Quarter 2014 A long-only investable minimum variance strategy outperformed the S&P 500 over the four decades from January 1973 to December 2012. Through the lens of a factor model, we show that this outperformance can be largely attributed to implicit style bets. Specifically… Read more
The Shadow Price of Liquidity in Asset Allocation – A Case Study
Bac Van Luu, Yazid Sharaiha, Nikolay Doskov, Chirag Patel and David Turkington Volume 12, Number 2, Second Quarter 2014 We apply a framework for estimating the investor-specific value of liquidity which can be used to inform asset allocation decisions. The shadow price of liquidity is a central concept in this framework. In the case study… Read more
INSIGHTS: Mutual Fund Outperformance and Growth
Gregg S. Fisher, Philip Z. Maymin and Zakhar G. Maymin Volume 12, Number 2, Second Quarter 2014 Does better performance lead to more assets? We examine nearly 30,000 mutual funds to determine the effect that a fund’s outperformance relative to its peers has on the fund’s later asset size. We find that a fund that… Read more
SURVEYS AND CROSSOVERS: Sovereign Credit Default Swap Premia
Patrick Augustin Volume 12, Number 2, Second Quarter 2014 This paper reviews the young but rapidly growing literature on sovereign credit default swap premia. A discussion of current debates in the academic and popular press hopefully raises thought-provoking questions with valuable insights for academics, policymakers and practitioners alike. The main elements of the review relate… Read more
PRACTITIONER’S DIGEST
Volume 12, Number 1, First Quarter 2014 View PDF… Read more
PRACTITIONER’S DIGEST
Volume 10, Number 1, First Quarter 2012 View PDF… Read more
PRACTITIONER’S DIGEST
Volume 9, Number 4, Fourth Quarter 2011 View PDF… Read more
PRACTITIONER’S DIGEST
Volume 9, Number 3, Third Quarter 2011 View PDF… Read more
PRACTITIONER’S DIGEST
Volume 8, Number 3, Third Quarter 2010 View PDF… Read more
PRACTITIONER’S DIGEST
Volume 7, Number 1, First Quarter 2009 View PDF… Read more
PRACTITIONER’S DIGEST
Volume 6, Number 4, Fourth Quarter 2008 View PDF… Read more
PRACTITIONER’S DIGEST
Volume 6, Number 3, Third 2008 View PDF… Read more
A Simple Model for the Expected Premium for Hedge Fund Lockups
Emanuel Derman Volume 5, Number 3, Third Quarter 2007 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… Read more
The Relation Between Fixed Income and Equity Return Factors
Jaime Lee, Terry Marsha, Robert Maxim and Paul Pfleiderer Volume 4, Number 4, Fourth Quarter 2006 This paper provides an analysis of the relation between equity and fixed income returns over time. As measured by realized correlation, this relation has changed substantially over the last decade, from positive to negative through the market collapse and… Read more
Aggregate Idiosyncratic Risk and Market Returns
Turan G. Bali and Nusret Cakici Volume 4, Number 4, Fourth Quarter 2006 This paper tests the empirical performance of a model-independent measure of aggregate idiosyncratic risk introduced by Bali and Cakici (2004) in the intertemporal capital asset pricing framework. The results indicate a significantly positive relation between the equal-weighted average stock volatility and the… Read more
CASE STUDIES: The Worldwide Financier
Jack L. Treynor Volume 4, Number 4, Fourth Quarter 2006 View PDF… Read more
The Stock Market’s Reaction to Unemployment News, Stock-Bond Return Correlations, and the State of the Economy
John H. Boyd, Ravi Jagannathan and Qianqiu Liu Volume 4, Number 4, Fourth Quarter 2006 We confirm Boyd et al.’s (2005) finding that on average a surprise increase in unemployment is “good news” for stocks during economic expansions and “bad news” during economic contractions. Unemployment news bundles information about future interest rates, equity risk premium… Read more
BOOK REVIEWS: Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment / Confession of an Economic Hit Man
Volume 4, Number 4, Fourth Quarter 2006 Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment Kenneth J. Singleton Reviewed by Cel Kulasekaran Confession of an Economic Hit Man John Perkins Reviewed by Tim Adler View PDF… Read more
The Right Answer to the Wrong Question: Identifying Superior Active Portfolio Management
W. V. Harlow and Keith C. Brown Volume 4, Number 4, Fourth Quarter 2006 The debate over the value of active portfolio management has often centered on whether the average active manager is capable of producing returns that exceed expectations. We argue that a more useful way to frame this issue is to focus on… Read more
On the Financial Interpretation of Risk Contribution: Risk Budgets Do Add Up
Edward Qian Volume 4, Number 4, Fourth Quarter 2006 Due to a lack of clear financial interpretation, there are lingering questions in the financial industry regarding the concepts of risk contribution. This paper provides as well as analyzes risk contribution’s financial interpretation that is based on expected contribution to potential losses of a portfolio. We… Read more
TECHNOLOGY REVIEW: Multiple-Core Processors For Finance Applications
Sanjiv R. Das Volume 4, Number 2, Second Quarter View PDF… Read more
SURVEY OF THE RECENT LITERATURE: Venture Capital Syndication
Sanjiv R. Das, Hoje Jo and Yongtae Kim Volume 2, Number 4, Fourth Quarter 2004 View PDF… Read more
SURVEY OF THE LITERATURE: The Progeny of CAPM
Sanjay K. Nawalkha and Christopher Schwarz Volume 2, Number 3, Third Quarter 2004 View PDF… Read more