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.
The Institute for Quantitative Investment Research (Inquire) Europe has recognised research by Professor Lionel Martellini, scientific director of EDHEC-Risk Institute developed in conjunction with Vincent Milhau, research engineer with EDHEC-Risk Institute. The paper, Dynamic Allocation Decisions in the Presence of Funding Ratio Constraints, can be accessed here. Inquire_Europe_Autumn_2009mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Taking a three-year view of recent company earnings compared with price may be a more logical benchmark for market valuations, according to a paper from Wainwright Economics in the US. Wainright.pdfmrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
This paper by Pantheon Ventures argues there is an excellent case for appropriate global regulatory reform, but warns it must be proportionate and non-discriminatory, and it must acknowledge that the financial system is global.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Terry Arthur and Philip Booth from The Institute of Economic Affairs explore whether Britain actually needs a financial regulator, concluding among other things that the FSA “is simply the wrong model to generate appropriate rules and regulations”.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
The $20 billion prize, provides a blueprint for implementing the Cooper Review-proposed SuperStream concept.
This research insight by MSCI, shows global small caps still exhibit distinct characteristics that provide opportunities for portfolio diversification and active management. mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
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