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.
This research paper examines the differences in the equity risk premium between developed and emerging markets. It observes the time varying nature of the equity risk premium in emerging economies, relates mainly to economic cycles, shocks and other macro phenomena (ie global financial market integration). Basic statistics also show that during the last decade the
This study provides new empirical evidence on the impact of board structure, as an internal governance mechanism, on defined-contribution pension fund performance. It shows the composition of the board and the motivation of the board members are important in explaining pension fund performance.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
MSCI has constructed a new index, based on client-specified customised ESG screening criteria, which aims to exclude companies directly implicated in certain serious human rights violations. This paper outlines the index methodology.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Bond indices’ risk exposures are very unstable measures over time, and further this instability is accentuated in the indices with the smallest number of bonds, according to research by EDHEC-Risk Institute which examines two sets of four corporate investment-grade bond indices in the US and Europe. It concludes that the more investable the index is
This Paul Woolley Centre Working paper, analyses credit default swap settlement auctions, showing the current auction design many not result in the fair bond price, and suggests modifications to the auction design to minimise mispricing. In particular it finds that an auction undervalues bonds by 10 per cent on average, on the day of the
This IMF working paper makes an assessment of the progress made in developing local debt markets in emerging Asia. Market development has been limited by hurdles confronting borrowers and lenders, current and potential liquidity providers, and insufficient support from government policies and regulations. The papers says, with rapid economic growth in Asia, a key challenge
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