Brian T. Hayes Volume 9, Number 2, Second Quarter 2011 Commodity trading advisors (CTAs) make directional investments in liquid futures and forward markets. Since CTAs generally do not engage in security selection or relative value trades, their performance depends to a large extent on funds ability to time market exposures. We analyze CTA return attribution… Read more
2011
Predicting Financial Distress and the Performance of Distressed Stocks
John Y. Campbell, Jens Hilscher and Jan Szilagyi Volume 9, Number 2, Second Quarter 2011 In this paper, we consider the measurement and pricing of distress risk. We present a model of corporate failure in which accounting and market-based measures forecast the likelihood of future financial distress. Our best model is more accurate than leading… Read more
Efficient Markets in Crisis
Meir Statman Volume 9, Number 2, Second Quarter 2011 A belief that markets are efficient is blamed for instigating the crisis we are in and lulling us into complacency as the crisis was approaching. But the debate about the role of such belief in the crisis is unfocused for two reasons. First, a lack of… Read more
PRACTITIONER’S DIGEST
Volume 9, Number 2, Second Quarter 2011 View PDF… Read more
BOOK REVIEWS: The Big Short – Inside The Doomsday Machine
Volume 9, Number 1, First Quarter 2011 The Big Short-Inside The Doomsday Machine Michael Lewis Reviewed by Javier Estrada View PDF… Read more
CASE STUDIES: Closet Indexing
Jack L. Treynor Volume 9, Number 1, First Quarter 2011 View PDF… Read more
Has Hedge Fund Alpha Disappeared?
Manuel Ammann, Otto Huber and Markus Schmid Volume 9, Number 1, First Quarter 2011 This paper investigates the alpha generation of the hedge fund industry based on a recent sample compiled from the Lipper/TASS database covering the time period from January 1994 to September 2008. We find a positive average hedge fund alpha in the… Read more
The National Transportation Safety Board: A Model for Systemic Risk Management
Eric Fielding, Andrew W. Lo and Jian Helen Yang Volume 9, Number 1, First Quarter 2011 We propose the National Transportation Safety Board (NTSB) as a model organization for addressing systemic risk in industries and contexts other than transportation. When adopted by regulatory agencies and the transportation industry, the safety recommendations of the NTSB have… Read more
The Supply and Demand of Alpha
Harry Markowitz, Robert Snigaroff and David Wroblewski Volume 9, Number 1, First Quarter 2011 This paper analyzes the supply and demand for alpha by institutional investors and the money managers who serve them. A large database of products offered by such managers is used to estimate how the demand for such products increases as a… Read more
Decentralized Downside Risk Management
Andrea Reed, Cristian Tiu and Uzi Yoeli Volume 9, Number 1, First Quarter 2011 The process of risk management for institutional investors faces two challenges. First, since most institutions are decentralized in contrast to being direct investors in assets, it is difficult to separate the risks of the assets in the portfolio from the risks… Read more