‘New age’ quants might not like it, but speed can be traded for accuracy in spotting investment opportunities
This paper proposes two methods for attributing the risk of a portfolio or system to its components.
CEO of the Cern Pension Fund Theodore Economou says pension funds should use the techniques of the best global macro hedge fund managers to control risk and volatility while producing absolute returns
Rethinking risk and return
The ability to infer daily performance from less frequently observed returns data can help hedge fund investors understand intra-month gains and losses
Hedge funds are under pressure to differentiate and explain their worth concludes a survey by SEI. Managers need to work with investors to find portfolio solutions rather than offer products
Institutional investors are set to allocate 11% more to hedge funds this year, according to a Deutsche Bank survey. Less money is flowing to FoHFs while emerging managers are in favour.
Hedge funds remain the single largest allocation for US university endowments but an extended period of lacklustre returns is leading some in the endowment community to question their value.
Non-linear mixture of asset return models
Hubert Keller, managing partner, asset management, at Lombard Odier Investment Managers says investors are making fundamental changes in the way they approach portfolio and hedge fund allocations.
Will bond investors strike out?
Tobam's analysis of financial markets diversification suggests that eurozone indexes might not be as diversified as investors believe
Stoxx launches Eurostoxx 50 volatility index
Coping with correlation
Analysing correlations under stress
Linear factor models are commonly used by portfolio managers to capture sources of risk, traditionally split between systematic and idiosyncratic types. By using the conditional link between flexible bottom-up estimation, and top-down attribution, factor...
Of all asset classes, fixed income has been one of the slowest to embrace ethical investment. Thanks in part to the growing influence of sovereign wealth funds, this may be set to change. But for many, lingering questions about whether constraining your...
New regime needs macro diversification, says Vineer Bhansali
Attilio Meucci introduces a multi-asset-class return decomposition framework that extends beyond the standard systematic-plus-idiosyncratic approach. This framework, which rests on the conditional link between flexible bottom-up estimation factor models...
The credit bull run of 2009 is a footnote in history. But discerning fund managers are finding there is still value to be had in credit; the challenge is picking the right names.