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.
Funds of funds, particularly hedge funds of funds, have suffered outflows in recent years as pension funds reassessed their cost alongside risk and return characteristics. The conventional wisdom is that all types of FoFs are at death’s door.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
The Norwegian government is trying to balance financial returns with sustainable development in regulating the GPFG, and the possibility of applying this model to other sovereign wealth funds (SWFs) and institutional investors in general. In this paper for the University of Oslo, Adjunct Professor Anita Halvorssen argues that sustainable development needs to be included in
This paper by Columbia University’s Ulf Nielsson, empricially investigates the effects of stock exchange consolidation, specifically measuring how it affects stock liquidity and how the effect varies with firm type. mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Following the Fed’s announcement of QE2 and the recent auction of 5-year TIPS that resulted in the first-ever negative yield issuance (-0.55%), AQR has updated its recent research series on inflation. This paper addresses the events which resulted in the first-ever negative yield TIPS issuance, discusses the future impact of government actions, and comments on
Based on a methodology introduced in 1927 to analyse human skulls and later applied to turbulence in financial markets, this study by Mark Kritzman and Yuanzhen Li, published in the Financial Analysts Journal, shows how to use a statistically derived measure of financial turbulence to measure and manage risk and to improve investment performance.mrec4inarticleinline Sponsored
This paper by Anand Iyer and Jennifer Bender from MSCI, acknowledges that the current tug-of-war between inflation and deflation has created considerable confusion for investors, and explores these characteristics of inflation-protected bonds to see if, and to what extent, they have contributed to portfolio diversification and provided investors with protection from inflation and deflation.mrec4inarticleinline Sponsored
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