Technical papers/Hedge Funds
Funds of hedge funds have a role to play in institutional investor portfolios but they need to adapt their value proposition. Regulation could help the FoHF industry make its voice audible.
Research shows a strong negative association between performance and duration for private equity deals. Quick flips account for 12% of all PE investments with a median internal rate of return of 85%.
An analysis of commodity indexes shows there is some economic value from trading distant contracts beyond a fair compensation for taking liquidity risk.
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Technical papers/Hedge Funds articles
Research shows the cross-sectional variance is a good proxy for the idiosyncratic variance obtained from the CAPM or the Fama-French models and does has a positive relationship with expected returns.
Option pricing and hedging cause problems when a futures contract is written on the underlying asset for the underlying asset. Using the optimal strategy is likely to generate meaningful welfare gains.
Strengthening of capital requirements and better information to evaluate non-financial risks are important for hedge funds. Fund governance needs to be strengthened to manage non-financial risks.
The Ucits directive fails to make adequate allowances for the operational consequences of financial innovation. Non-financial risk has increased and regulations contributed to this rise.
Research by Edhec shows that implementing hedge fund portfolio selection with higher-order moments can be achieved through suitable extensions of various statistical techniques.
Dynamic hedging as an option is a possibility when the underlying asset is not available for trading and some other asset or portfolio is used as a substitute, although this may not always happen.
Research on optimal hedge fund allocation by Edhec Risk Institute and supported Newedge has potential implications for hedge fund and funds of hedge funds managers using portfolio optimisation.
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future