3rd Quarter (2013)

Margaret Stumpp This paper examines the gender distribution of key investment professionals with decision making and oversight authority in institutional equity management. We find that women are heavily underrepresented among almost all key positions not just within portfolio management. We find no evidence that this is attributable to differences in skill, or the consequence of… Read more

Brian Hurst, Yao Hua Ooi and Lasse Heje Pedersen We show that the returns of Managed Futures funds and CTAs can be explained by time series momentum strategies and we discuss the economic intuition behind these strategies. Time series momentum strategies produce large correlations and high R-squares with Managed Futures indices and individual manager returns… Read more

S.P. Kothari, Gitanjali Swamy and Konstantin Danilov This paper provides a new investment methodology for private equity portfolios that applies principles of investment management used in traditional asset classes. We apply Modern Portfolio Theory (MPT) with rational selection of portfolios that are on the efficient frontier of risk-reward optimality, to back-test the performance of private… Read more

John Hull and Alan White Traditionally practitioners have used LIBOR and LIBOR-swap rates as proxies for risk-free rates when valuing derivatives. This practice has been called into question by the credit crisis that started in 2007. Many banks now consider that overnight indexed swap (OIS) rates should be used as the risk-free rate when collateralized… Read more