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Third Quarter (2007)

0 comments / 09/03/2015 / the JOIM / Archives, Articles, Special Issues

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

0 comments / 13/07/2014 / the JOIM / Archives, Case Studies, Special Issues

CASE STUDIES: Common Sense Investing

Jack L. Treynor Volume 5, Number 1, First Quarter 2007 View PDF… Read more

0 comments / 13/07/2014 / / Archives, Book Reviews, Special Issues

BOOK REVIEWS: Louis Bachelier’s Theory of Speculation

Volume 5, Number 3, Third Quarter 2007 Mark Davis and Alison Etheridge Reviewed by Hans-Christian Luedmann View PDF… Read more

0 comments / 13/07/2014 / the JOIM / Archives, Articles, Special Issues

Performance-Based Fees and Risk Shifting with the Knockout Barrier

Xiaodong Xu and Bernd Scherer Volume 5, Number 3, Third Quarter 2007 Many investment firms reward portfolio managers based on their performance. This article investigates a manager’s optimal active risk policy using stochastic programming techniques. Our multiple-period model incorporates the most common incentive-fee structures, and captures the risk that the manager is fired for underperformance… Read more

0 comments / 13/07/2014 / the JOIM / Archives, Articles, Special Issues

Active 130/30 Extensions: Alpha Hunting at the Fund Level

Martin L. Leibowitz and Anthony Bova Volume 5, Number 3, Third Quarter 2007 Active equity strategies that are highly benchmark-centric will generally have a minimal impact on fund-level volatility. Since most US institutional portfolios are overwhelmingly dominated by their equity exposure, any incremental tracking error will be submerged by the beta effect. Positive alpha opportunities… Read more

0 comments / 13/07/2014 / the JOIM / Archives, Articles, Special Issues

On the Relative Performance of Multi-Strategy and Funds of Hedge Funds

Vikas Agarwal and Jayant R. Kale Volume 5, Number 3, Third Quarter 2007 Recently, there has been explosive growth in two products from the hedge fund industry multi-strategy (MS) funds and funds of hedge funds (FOFs), both of which offer diversification across different hedge fund strategies. In well functioning markets, both investment vehicles should offer… Read more

0 comments / 13/07/2014 / the JOIM / Archives, Articles, Special Issues

What Every Investor Should Know About Commodities Part II: Multivariate Return Analysis

Harry M. Kat and Roel C. A. Oomen Volume 5, Number 3, Third Quarter 2007 In this paper, we study the multivariate return properties of a large variety of commodity futures. We find that between commodity groupings (such as metals, energy, etc.) correlations are very low and mostly insignificant whereas within groups they tend to… Read more

0 comments / 13/07/2014 / the JOIM / Archives, Insight, Special Issues

INSIGHTS: Will the Phillips Curve Cause WWIII?

Jack L. Treynor Volume 5, Number 3, Third Quarter 2007… Read more

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