Xem 1-20 trên 34 kết quả Hedging performance
  • This chapter examines how investors can take advantage of the opportunity to profit from hedge fund investing in the technology sector. Over the years, technology-focused hedge funds have turned in outstanding performance numbers while minimizing risk in the most volatile segment of the market.

    pdf15p transang3 30-09-2012 30 6   Download

  • This chapter examines how investors can take advantage of the opportunity to profit from hedge fund investing in the technology sector. Over the years, technology-focused hedge funds have turned in outstanding performance numbers while minimizing risk in the most volatile segment of the market.

    pdf14p greengrass304 17-09-2012 26 5   Download

  • .Page i Valuation Measuring and Managing the Value of Companies .Page ii WILEY FINANCE Advanced Fixed-Income Valuation Tools, Narasimham Jegadeesh and Bruce Tuckman Beyond Value at Risk, Kevin Dowd Buying and Selling Volatility, Kevin B. Connolly Chaos and Order in the Capital Markets: New View of Cycles, Prices, and Market Volatility, Second Edition, Edgar E. Peters Corporate Financial Distress and Bankruptcy, Second Edition, Edward I.

    pdf508p leetinh 29-10-2012 114 66   Download

  • CHAPTER 10 Long-Short Strategies in the Technology Sector. This chapter examines how investors can take advantage of the opportunity to profit from hedge fund investing in the technology sector. Over the years, technology-focused hedge funds have turned in outstanding performance numbers while minimizing risk in the most volatile segment of the market.

    pdf8p mama15 27-09-2010 113 26   Download

  • CHAPTER 13 Hedge Fund Indices: In Search of a Benchmark. Hedge fund indices are gaining more notoriety than ever as investors seek ways to benefit from the usefulness of an accurate benchmark by which to measure investment performance.

    pdf46p mama15 27-09-2010 113 26   Download

  • CHAPTER 5 Does Size Matter? To what extent does a hedge fund’s growth and size affect its prospects for maximum performance, and how does this affect its investors? Investors need to model their investment portfolio to ensure proper diversification among strategies

    pdf10p mama15 27-09-2010 75 22   Download

  • CHAPTER 1 Managed Futures and Hedge Funds: A Match Made in Heaven. In this chapter we study the possible role of managed futures in portfolios of stocks, bonds, and hedge funds. We find that allocating to managed futures allows investors to achieve a very substantial degree of overall risk reduction at, in terms of expected return, relatively limited costs.

    pdf42p mama15 21-10-2010 64 20   Download

  • Chapter 8 uses a unique data set from the Commodity Futures Trading Commission to investigate the impact of trading by large hedge funds and commodity trading advisors (CTAs) in 13 futures markets. Regression results show there is a small but positive relationship between the trading volume of large hedge funds and CTAs and market volatility.

    pdf34p mama15 21-10-2010 46 10   Download

  • CHAPTER 9 Measuring the Long Volatility Strategies of Managed Futures. Certain hedge fund strategies create investment positions that resemble a long put option. Specifically, managed futures or commodity trading advisors have significant exposure to volatility events.

    pdf20p mama15 21-10-2010 53 10   Download

  • CHAPTER 17 CTAs and Portfolio Diversification: A Study through Time. The standard mean/variance framework and the concept of efficient frontiers are one way of assessing the portfolio added value of a hedge fund strategy such as CTAs. However, even if it provides interesting results

    pdf19p mama15 21-10-2010 54 10   Download

  • CHAPTER 11 Managing Downside Risk in Return Distributions Using Hedge Funds, Managed Futures, and Commodity Indices. This chapter examines how alternative investments can provide downside return protection in a portfolio composed of U.S. stocks and bonds.

    pdf13p mama15 21-10-2010 41 9   Download

  • CHAPTER 21 ARMA Modeling of CTA Returns. In this chapter, we extend previous attempts to model hedge fund returns using ARMA models to the case of CTAs. We show that for the period 1996 to 2003, the return series of the largest CTAs are stationary and that ARMA models in certain cases provide adequate representation of the return series.

    pdf10p mama15 21-10-2010 31 8   Download

  • Member States and thus differences in investor protection. Some Member States apply a so- called 'strict' liability regime, where the depositary has an immediate obligation to return the lost asset to the UCITS, while others take the view that the loss of assets does not always imply an unjustifiable failure to perform its duties on the part of the depositary that should lead to liability for that depositary. As a consequence, the liability standard is not the same in all Member States. ...

    pdf32p khanhchilam 29-03-2013 19 7   Download

  • Neither source of performance is particularly correlated with the four Fama-French benchmarks, indicating that the private skills identified by these predictability-based strategies are based on characteristics of funds that are heretofore undocumented by the mutual fund literature. The remainder of this paper proceeds as follows. Section 2 sets forth an econometric framework for studying investments in mutual funds when business cycle variables may predict future returns. Section 3 describes the data used in the empirical analysis, and Section 4 presents the findings.

    pdf39p quaivatdo 19-11-2012 27 6   Download

  • Equity and fixed income funds play an important role for the impressive Thai mutual fund growth. With an in depth analysis, we found two major facts. Firstly, Thai mutual fund industry is concentrated in fixed income mutual funds especially short-term money market funds. Secondly, approximately 50% of the AUM invested in Thai equity mutual funds are from LTF and RMF or growth in equity mutual funds is affected by tax incentive.

    pdf24p hongphuocidol 04-04-2013 25 6   Download

  • This chapter provides an overview of the classical measures of risk- adjusted portfolio performance. We first describe the general logic that lies behind all of the measures, and then define the individual mea- sures. We then discuss the theoretical properties of the measures in more detail. Finally, we look at empirical estimation of the measures on actual managed portfolios, and review the empirical evidence based on the classical measures. The main idea in most of the classical measures of investment perfor- mance is quite simple.

    pdf40p quaivatdo 19-11-2012 14 4   Download

  • Customers who purchased caps are not included in the scope of the review unless they complain to their bank during the course of the independent review and are non-sophisticated customers. If the customer does complain, it will be considered in the same way as the other interest rate hedging products (except structured collars) category. However, if a customer complains after the independent review, their complaint will be dealt with in accordance with the banks’ usual complaints handling procedures.

    pdf8p taisaocothedung 09-01-2013 24 4   Download

  • Putting some real numbers around this provides more color. A fund with $200 million in AUM and zero or negative performance would generate revenue of $3 million. A return of 5% bumps the total revenue up to $5 million. With a 7.5% return, the fund’s revenues are $6 million: $3 million from the management fee and $3 million from the performance fee. Beyond the 7.5% performance mark, the incentive fee becomes the primary revenue contributor. The performance fee effect is what makes the hedge fund model so appealing and unique.

    pdf28p quaivatdo 18-11-2012 33 3   Download

  • A summary of the different styles of hedge funds and the proportion of the market they occupy is shown in Table 4, based on Hedge Fund Industry Research data. An indication of the broad activity involved in the style is shown on the right hand side. Most of these strategies are long-short in nature: all of the equity hedge (e.g. long a stock and long a put to hedge its fall); most of event driven (e.g. buy the target M&A company and sell the buyer); all of relative value arbitrage (e.g. buy the London listing and sell the...

    pdf16p quaivatdo 18-11-2012 22 3   Download

  • The volume of issuance (sales) and the size of outstanding structured product portfolios have a material impact on derivative pricing and spreads. An investment bank will issue derivatives into the market to construct portfolios for sellers of these products, creating natural opportunities for hedge funds to come in on the other side of the trade. It is common knowledge in investment banks that hedge funds help to reduce their volatility risk, providing liquidity in a very complementary way.

    pdf8p quaivatdo 18-11-2012 17 3   Download

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