Gavin Cassar from The Wharton School at the University of Pennsylvania, and Joseph Gerakos at the Booth School of Business, University of Chicago, investigate the determinants and effectiveness of methods that hedge funds use to manage portfolio risk. They find that levered funds are more likely to use formal models to evaluate portfolio risk.
HowDoHedgeFundsManagePortfolioRisk
The landscape for this kind of trading has changed tremendously. Thirty years ago there was only 200 million professionally managed trading these futures contracts, today there is roughly 200 billion. When the funds ( managed futures ) pull the plug these days there is an avalanche of money hitting the exit door. As a result, volatility has increased. In addition, Commodity Futures Trading Commission growth has not kept up with the growth of the industry and they are consequently understaffed and unequipped to deal with today’s marketplace. Play at your own risk.
Singapore’s two largest asset owners, GIC and Temasek, see attractive opportunities in climate adaptation solutions – a relatively underfunded area compared to decarbonisation. The former has already made selective adaptation investments and said the opportunity set across public and private debt and equity could increase to $9 trillion by 2050.
Part of the mandate given to US regulators by the Dodd Frank Act is to measure and monitor systemic risk, but more than one risk measure is needed to capture the complex and adaptive nature of the financial system. The Office of Financial Research, part of the US Department of Treasury, has put together a
The McKinsey Global Institute has taken a big-picture look at the way the world is changing, with aging populations in the developed world and economic growth shifting towards the fast-growing emerging market economies.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
This paper concludes that the average asset allocation of elite institutions and top‐performing funds is the single most important determinant of their superior returns during the last 20 years. To access the paper click below: Do (Some) University Endowments earn Alphamrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
This study explores which asset classes add value to a traditional portfolio of stocks, bonds and cash. The results suggest that real estate, commodities and high yield add most value to the traditional asset mix. To access the paper click below: Strategic Asset Allocation mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
A group of prominent academics from across the globe have called on governments to substantially reform the world’s banking system and have laid out a plan for dealing with the Euro crisis.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
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