EDHEC-Risk Institute research associate Hilary Till looks at the risk management of commodity derivatives trading and the lessons that can be learned from recent high profile trading debacles. Till, a principal, at Premia Capital Management, LLC, analysed several case studies and looks at risk management at large institutions, proprietary trading firms and at hedge funds.
Alternative hedge fund beta allows investors to access the returns generated by hedge funds without the pressures of finding alpha, says Fama family professor of finance at the University of Chicago Booth School of Business, Tobias Moskowitz. Moskowitz says there are three components to hedge fund returns: unique alpha, traditional market beta, and “something else”,
US investment consultancy Callan Associates favours fund of fund hedge fund allocations as the need to do comprehensive operational due diligence adds to the growing complexity of hedge fund investment.
EDHEC-Risk Institute has conducted research looking at an application of the improved estimators for higher order co-moment parameters as they apply to the optimisation of hedge fund portfolios.
Hedge fund investors should focus on a few exceptional managers and keep allocations to just 1 or 2 per cent of a diversified portfolio, according to the former head of JP Morgan’s hedge fund seeding operations, Simon Lack.
Large investors with more than $1 billion allocated to hedge funds plan to maintain or increase their exposure in 2012, a Preqin study has found.
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