Hersh Shefrin and Meir Statman Volume 7, Number 4, Fourth Quarter 2009 We are in the midst of what might end up as the most significant change to financial regulations since the Great Depression. This is because the financial and economic crisis that continues to engulf us is the most severe crisis since the Great… Read more
Special Issues
The Dynamics of Leveraged and Inverse Exchange-Traded Funds
Minder Cheng and Ananth Madhavan Volume 7, Number 4, Fourth Quarter 2009 Leveraged and inverse Exchange-Traded Funds (ETFs) have attracted significant assets lately. Unlike traditional ETFs, these funds have leverage explicitly embedded as part of their product design. While these funds are primarily used by short-term traders, they are gaining popularity with individual investors placing… Read more
The Risk That Risk Will Change
Robert F. Engle Volume 7, Number 4, Fourth Quarter 2009 Standard approaches to risk management focus on short run risks, yet many positions are held for longer periods. Over such holding periods there is a risk that risks will change. In this note several easily implemented approaches to estimating the term structure of risk are… Read more
INSIGHTS: The 7 Habits of Highly Suspicious Hedge Funds
Richard Bookstaber Volume 7, Number 4, Fourth Quarter 2009… Read more
BOOK REVIEWS: Behavioral Investing: A Practitioners Guide to Applying Behavioral Finance
Volume 6, Number 4, Fourth Quarter 2008 Behavioral Investing: A Practitioners Guide to Applying Behavioral Finance James Montier Reviewed by Bruce Grantier View PDF… Read more
CASE STUDIES: Consolidated Lunch Pail
Jack L. Treynor Volume 6, Number 4, Fourth Quarter 2008 View PDF… Read more
Measuring the Risk of Large Losses
Kay Giesecke, Thorsten Schmidt and Stefan Weber Volume 6, Number 4, Fourth Quarter 2008 Risk management is an important component of the investment process. It requires quantitative measures of risk that provide a metric for the comparison of financial positions. In this expository note we give an overview of risk measures. In particular, we contrast… Read more
Do Funds-of-Funds Deserve Their Fees-on-Fees
Andrew Ang, Matthew Rhodes-Kropf and Rui Zhao Volume 6, Number 4, Fourth Quarter 2008 Since the after-fee returns of funds-of-funds are, on average, lower than hedge fund returns, it is easy to conclude that funds-of-funds do not add value compared to hedge funds. However, funds-of-funds should not be evaluated relative to hedge fund returns in… Read more
Hedge Fund Due Diligence: A Source Of Alpha In A Hedge Fund Portfolio Strategy
Stephen J. Brown, Thomas L. Fraser and Bing Liang Volume 6, Number 4, Fourth Quarter 2008 Due diligence is an important source of alpha in a well designed hedge fund portfolio strategy. It is generally understood that the high returns possible in investing in hedge funds are somewhat offset by the relative lack of transparency… Read more
The Performances of MBS Hedge Funds and Mutual Funds: A Puzzle
Xiaoqing Eleanor Xu and Anthony L. Loviscek Volume 6, Number 4, Fourth Quarter 2008 MBS hedge funds have outperformed the Lehman MBS Index by an average of 210 basis points annually from 1992 through 2003. By comparison, MBS mutual funds have underperformed the Lehman MBS Index by an average of 141 basis points per year… Read more