Fourth Quarter (2008)

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

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

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

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