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This two-part series is excerpted from a presentation given by the author on February 10th, 2014 at a joint meeting in Chicago of the following two professional organizations: the Professional Risk Managers’ International Association (PRMIA) and the Chartered Alternative Investment Analyst (CAIA) Association.
Serge Darolles, Mathieu Vaissié:
We use the regime switching approach introduced in Pelletier (2006), and adapted by Giamouridis and Vrontos (2007) to the context of hedge fund portfolios, to design a new tactical style allocation factor.
Adrian Fernadez-Perez, Ana-Maria Fuertes, Joëlle Miffre:
This paper proposes a commodity-based specification of the Intertemporal CAPM (ICAPM) that uses state variables grounded on the theories of storage and hedging pressure.
Markus Glaser, Florencio Lopez-de-Silanes, Zacharias Sautner:
This paper reports some of the main results of our paper “Opening the Black Box: InternalCapital Markets and Managerial Power, ”Journal of Finance, LXVIII (4), August 2013.
Concerns about systemic credit risk in the financial system due to the OTC derivatives market has encouraged the use of counterparty credit risk mitigation techniques, including the use of compression.
Attilio Meucci, David Ardia, Marcello Colosante:
The Entropy Pooling approach is a versatile theoretical framework to process market views and generalised stress-tests into an optimal “posterior” market distribution, which is then used for risk management and portfolio management.
Lionel Martellini, Vincent Milhau:
This paper proposes an empirical analysis of the opportunity gains (costs) involved in introducing (removing) various assets with attractive inflation-hedging properties for long-term investors
facing inflation-linked liabilities.
Frédéric Blanc-Brude, Omneia R.H. Ismail:
This paper develops a framework to measure the credit risk of unlisted infrastructure debt, including
the first formulation of "distance to default" in infrastructure project finance.
Frédéric Blanc-Brude, Omneia R.H. Ismail:
In this paper, the authors develop a framework to measure the credit risk of unlisted infrastructure debt, including the first formulation of "distance to default" in infrastructure project finance.
Yaacov Kopeliovich, Arcady Novosyolov, Daniel Satchkov, Barry Schachter:
Traditional risk modeling using Value-at-Risk (VaR) is widely viewed as ill equipped for dealing with tail risks. As a result, scenario-based portfolio stress testing is increasingly being promoted as central to the risk management process.
Ana-Maria Fuertes, Joëlle Miffre, Adrian Fernandez-Perez:
This article demonstrates that momentum, term structure and idiosyncratic volatility signals in commodity futures markets are not overlapping, which motivates the design of a new triplescreen strategy.
Frédéric Blanc-Brude, Dejan Makovsek:
Using new data, we show that construction risk in infrastructure project finance is well-managed
and that project sponsors face very little construction risk compared to the well-documented,
systematic and very large costs overruns found in traditional infrastructure project procurement.
Ferhat Akbas, Ekkehart Boehmer, Bilal Erturk, Sorin Sorescu:
This study show that short interest predicts stock returns because short sellers are able to anticipate bad news, negative earnings surprises, and downward revisions in analyst earnings forecasts.
Akindynos-Nikolaos Balta, Robert Kosowski:
In this paper, we rigorously establish a relationship between time-series momentum strategies in futures markets and commodity trading advisors (CTAs) and examine the question of capacity constraints in trend-following investing.
The rising interest of institutional investors for commodities since the early 2000s prompted remarkable financial engineering in the commodity index space which is now in its third generation.
Georgios Angelopoulos, Daniel Giamouridis, Georgios Nikolakakis:
Cross-market deviations in (deep out-of-the-money) equity put option prices and credit defaultswap spreads of the same firm are temporary and predict future movements in the put options and credit default swaps (Carr and Wu, 2011).
Timotheos Angelidis, Daniel Giamouridis, Nikolaos Tessaromatis:
Mutual fund manager excess performance should be measured relative to their self-reported benchmark rather than the return of a passive portfolio with the same risk characteristics.
This study performs a theoretical and empirical analysis of the relationship between the price of Eurozone sovereign-linked credit default swaps (CDS) and the same sovereign bond markets during the Eurozone debt crisis of 2009-2011.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
Whether average idiosyncratic volatility has recently risen, whether it is a good predictor for aggregate market returns and whether it has a positive relationship with expected returns in the cross-section are still matters of active debate.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
On October 16th, 2010, the front page of the Wall Street Journal (WSJ) carried a story entitled, “Flashback to 1870 as Cotton Hits Peak” (Cancryn and Cui, 2010). The newspaper included a graphic of the iconic Edgar Degas’ 1873 painting, “The Cotton Exchange at New Orleans” (See Exhibit 1). The article noted that cotton prices had not been this high since at least 1870.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
This paper addresses the problem of option hedging and pricing when a futures contract, written either on the underlying asset or on some imperfectly correlated substitute for the underlying asset, is used in the dynamic replication of the option payoff.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
In this paper, we study asset prices in a dynamic, continuous-time, general- quilibrium endowment economy where agents have power utility and differ with respect to both beliefs and their preference parameters for time discount and risk aversion.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
Our objective in this paper is to examine whether one can use option-implied information to improve the selection of portfolios with a large number of stocks, and to document which aspects of option-implied information are most useful for improving their out-of-sample performance.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
A decomposition of a sub-class of spectral risk measures is introduced in terms of L-moments accounting for geometric characteristics of the return distribution similar to the ones described by the ordinary moments.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
We examine how the existence of individual equity options, publicly traded corporate bonds and credit default swap (CDS) contracts affects equity market quality for a panel of NYSE-listed firms during 2003-2007.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
This article compares the risk and performance of two traditional commodity indices with enhanced long-only versions that exploit signals based on momentum, term structure and the time-to-maturity of the contracts.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
In the presence of non-normally distributed asset returns, optimal portfolio selection techniques require estimates for variance-covariance parameters, along with estimates for higher-order moments and comoments of the return distribution.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
Recent studies find that a position in at-the-money (ATM) straddles consistently yields losses. This is interpreted as evidence for the non-redundancy of options and as a risk premium for volatility risk.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
Following the 2008 financial crisis, private financial institutions such as hedge funds and private equity funds have been faced with multiple calls for their regulation, both for consumer protection and systemic reasons.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
In September 2008, the U.S. Securities and Exchange Commission (SEC) surprised the investment community by adopting an emergency order that temporarily banned most short sales in nearly 1,000 financial stocks.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
The development of alternative investment has not yet been accompanied by a genuine consideration of the specific characteristics of the risks and returns of hedge funds with regard to the provision of information to investors.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
This paper attemps to determine what fraction a static investor should optimally allocate to investment strategies with convex exposure to stock market returns in a general economy with stochastically time-varying interest rates and stock market excess returns.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
This paper attempts to determine whether exchange-listed hedge funds experience longer lifetimes than non-listed funds, even after factors known to affect survival, such as size and performance, are considered.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
A vast literature has documented the value premium and the small firm effect as pervasive stylized facts in empirical asset pricing and yet research has been largely unable to provide entirely convincing explanations of why these phenomena exist.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
Following recent research on the relevance of idiosyncratic risk in asset pricing models, Lionel Martellini proposes to use total volatility as a model-free estimate of a stock's excess expected return, and analyze the implications in terms of the design of improved equity benchmarks.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
Instead of assuming the distribution of return series, Engle and Manganelli (2004) propose a new Value-at-Risk (VaR) modeling approach, Conditional Autoregressive Value-at-Risk (CAViaR), to directly compute the quantile of an individual asset’s returns which performs better in many cases than those that invert a return distribution.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
Djankov et al. (2003a) propose and measure for 109 countries in the year 2000 an index of formalism of legal procedure for two simple disputes: eviction of a non-paying tenant and collection of a bounced check. For a sub-sample of 40 countries, we compute this index every year starting in 1950, which allows us to study the evolution of legal rules.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
Hedge fund indices have been criticised for a lack of representativity and for their biases, to the point that serious doubts about the usefulness of hedge fund indices have been raised by investors and regulators.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
In the presence of non-normally distributed asset returns, optimal portfolio selection techniques require not only estimates of variance-covariance parameters, but also estimates of higher-order moments and comoments of the return distribution.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
Several studies have put forward that hedge fund returns exhibit a non-linear relationship with equity market returns, captured either through constructed portfolios of traded options or piece-wise linear regressions.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
In the last decade, economists have produced a considerable body of research suggesting that the historical origin of a country's laws is highly correlated with a broad range of its legal rules and regulations, as well as with economic outcomes.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
In this paper, we introduce a suitable extension of the Black-Litterman Bayesian approach to portfolio construction in the presence of non-trivial preferences about higher moments of asset return distributions.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
L'article étudie la performance des stratégies dites " momentum " et " contrarian " dans le contexte des commodités. 13 stratégies momentum s'avèrent rentables : elles génèrent en moyenne une performance ajustée pour le risque de 9,38% par an.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
Response to CESR public consultation on Best Execution under MiFID.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
In this paper, we examine how standard exchange-traded fixed-income derivatives (futures and options on futures contracts) can be included in a sound risk and asset management process so as to improve risk and return performance characteristics of managed portfolios.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
This paper presents evidence of predictability in the time-varying shape of the U.S. term structure of interest rates using a robust recursive modelling approach based on a Bayesian mixture of multi-factor models.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
This paper focuses on the use of market variables that exploit the linkages between spot, futures and derivatives markets, as opposed to the business cycle indicators employed in most of the earlier studies.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
This article will argue that one can indeed intelligently invest in the commodity markets and will briefly touch on three approaches, which in turn are drawn from the Intelligent Commodity Investing book.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
As part of a newly created research programme focusing on Best Execution and Operations Performance', EDHEC's research team has actively contributed to the review of existing approaches to measuring execution quality and recently introduced an innovative framework for analyzing transaction costs and measuring execution performance: EBEX.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
Volatility is an alternative betaa risk premium captured by hedge fund managers and investment bank proprietary tradersthat is today moving closer to the mainstream and should be thought of as a veritable asset class.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
In this paper, we examine how standard exchange-traded fixed-income derivatives (futures and options on futures contracts) can be made part of sound risk and asset management in such a way as to improve the risk and return performance characteristics of managed portfolios.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
The Amaranth case is surprising in many ways. It is definitely a surprise that a well-respected multi-strategy hedge fund could lose about $6-billion in little over a week. It is perhaps an even greater surprise that such a loss would have little knock-on effects on the hedge fund industry and the wider capital markets.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
Most previous tests of hedge fund performance have failed to model the exposure of hedge fund returns to systematic non-normality risks, nor have they taken the tactical asset allocation decisions of hedge funds managers into account.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
When an investor elects to invest in a commodity index product, that investor realizes that he or she will earn the inherent return of the asset class and will be able to do so cheaply, but will not be provided with any downside risk protection.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
Using an original database of 634 market neutral hedge funds, this study formally analyses the market neutrality of market neutral funds which are particular in the hedge fund universe since the only objective of these funds is to provide positive returns completely independent of the market conditions.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
In this paper, we emphasize the need for the hedge fund industry to adopt a consumer (investor)-driven approach, as opposed to the current producer (manager) perspective, and we call for the emergence of new types of offerings with characteristics better suited to the needs of institutional investors.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
Following a growing concern among investors about the quality of hedge fund index return data, and given the lack of capacity and transparency specific to that industry, this paper questions from an academic perspective whether it is feasible or not to design hedge fund benchmarks satisfying all defining properties for a good index.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER
Over the last few years, alternative investment strategies have dramatically gained in popularity. Initially reserved for High Net Worth Individuals (HNWI), they progressively drew the attention of individual and institutional investors, to reach approximately 1 trillion dollars in assets under management today.Télécharger le(s) fichier(s)TYPE DE DOCUMENT : WORKING PAPER