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Strategi Perdagangan Kota Depok Saturday, 26 August 2017
About Me
Dynamic trading strategy in the presence of market friction Diperbaharui pada 30 November 2016 pada pukul 8:00 pagi New York EST Makalah berikut telah diterima untuk dipresentasikan dalam konferensi IBIMA ke 28 tentang Visi 2020: Manajemen Inovasi, Keberlanjutan Pembangunan, dan Pertumbuhan Ekonomi yang Kompetitif dan untuk dimasukkan dalam proses konferensi. Kami masih memiliki banyak makalah yang sedang dikaji. Dengan demikian daftar ini diperbarui secara berkala. Pendidikan Proyek di Universitas Wirausaha: Analisis Eksplorasi Abstrak Sebuah Catatan Kuliah Centric Student Centric dan Pengembangan Aplikasi Mobile Android di Uni Emirat Arab: Kasus Abu Dhabi abstrak Merumuskan Proses Seleksi Investasi Bank Pembangunan Kazakhstan abstrak Peningkatan Sistem Manajemen Distribusi Melalui Program Transfer Pengetahuan Berbasis Kinerja Fundamental abstrak di Universitas Umum Malaysia abstrak Persepsi Akademisi dan Praktisi tentang Adopsi IFRS di Nigeria Studi dan Penilaian abstrak Efek Synergetic dalam Struktur Industri Terintegrasi abstrak Pergeseran Berikutnya yang Mendasari Pemodelan Organisasi Masalah Privasi dan Keamanan abstrak Dalam Penggunaan Awan dalam Kesehatan e-commerce di Kerajaan Arab Saudi Muatan Perdagangan MCommerce untuk Negara Berkembang - Kesempatan Menuju Keberlanjutan yang Tidak Harus Dilewatkan: Studi Kasus Pertanyaan Abstraksi Pertanyaan Pakistan Berdasarkan Inferensi Temporal E abstrak Menuju Solusi Umum untuk Perpanjangan Model Proses Bisnis dengan Perspektif Biaya berdasarkan Faktor Abstraksi Proses yang Mempengaruhi Sumbangan Alumni di Universitas Negeri Malaysia abstrak Efisiensi Penyedia Layanan Kesehatan melalui Analisis Data Envelopment. Bukti dari abstrak Kolombia Peningkatan Manajemen Operasional dalam e Administrasi Dampak abstrak Kepemilikan Manajerial terhadap Keputusan Finansial: Bukti dari Perusahaan Terdaftar Non-Keuangan Perangkat Lunak Disesuaikan PSX abstrak Penerapan Model Kurva Yield Dinamis di R sebagai Alat Pendukung Keputusan abstrak Pertanian dan Ekonomi Pertumbuhan di Nigeria (1981 2014) abstrak Menjelajahi Simpul Modal Intelektual di Universitas Kinerja: Memoderasi Peran Kemampuan Inovatif abstrak Analisis Profitabilitas dan Penggunaan Perusahaan Keluarga: Pendiri, Kemitraan Sibling, dan Konsorsium Sepupu Hubungan kausal antara Volume Perdagangan, Pengembalian Dan Volatilitas Saham: Bukti dari Dampak Pasar yang Muncul Akibat Dampak Corporate Social Responsibilty terhadap Kinerja Keuangan Perusahaan: Studi Kasus Sektor Kimia Pakistan abstrak Mengukur Inovasi dan Memprediksi Kinerja Perusahaan (Bagian 2) Nilai Berkelanjutan abstrak dan Perannya di Develo Daerah Pment abstrak RoaML untuk Integrasi Data abstrak Analisis Statistik Pensiun dan Pendapatan Generasi Tua di Rusia dan Tomsk Region abstrak Kerangka Lima Dimensi untuk Hubungan Bisnis Internasional. Pendekatan B2B Abstrak Meneliti Faktor-faktor Sosial Commerce Efektivitas Dampak abstrak Industri Minyak dan Gas di Wilayah Pantai Timur Malaysia: Perspektif Ekonomi Konsep Ruang Perang abstrak dalam Konteks Distribusi Logistik Tinjauan Kritis mengenai Model Pengukuran Kompetensi ICT Petugas Pengadaan di Sektor Publik Abstrak Penggunaan Kecerdasan Buatan dalam Ilmu Kesehatan: Studi Kasus Pengaruh abstrak Manajemen Rantai Pasokan Terhadap Kualitas Produk dan Dampaknya Terhadap Kinerja Usaha pada Perusahaan Manufaktur di Indonesia Analisis Rasio Unta yang Lucu Analisis Harga Saham Sektor Perbankan di Bursa Efek Indonesia Abstrak Metode Pemrograman DE NOVO Aplikasi untuk Perencanaan Produksi abstrak Dampak Audit SDM terhadap Efektivitas Organisasi Studi Empiris pada Industri Kendaraan Bermotor Pakistan Strategi Hubungan Masyarakat abstrak: Alat untuk Membangun Citra Korporasi Organisasi Manajemen yang Efisien dan Klasifikasi Cerdas o F Sejarah Browsing Web Menggunakan Mesin Belajar abstrak Meningkatkan Akuntabilitas dan Pertunjukan di UKM melalui Praktik Akuntansi Manajemen abstrak Kualitas Generasi Sandwich Hidup: Tinjauan Literatur Abstrak Memprediksi Kinerja Siswa Menggunakan Klasifikasi Mutli-Kriteria abstrak Prerogatif Manajerial: Analisis Kebijakan Meta-Legal Pensiun dan Pendapatan abstrak Daerah Lokal di Rusia: Faktor Diferensiasi dan Faktor-faktor yang Mempengaruhinya abstrak Berinvestasi di Farmland di Republik Ceko sebagai Faktor Pertumbuhan dalam Pengukuran Rantai Pasokan Rantai Pasokannya dengan menggunakan Model SKOR di Perusahaan Distributor di Indonesia secara abstrak Perencanaan Strategis berdasarkan Metode SOAR Di Perusahaan Properti untuk Meningkatkan Penjualan Abstrak Ontologi Game Video Dunia Virtual abstrak Mengapa Orang Menggunakan Facebook: Analisis Faktor-faktor yang Mempengaruhi Pengguna di Republik Ceko abstrak Dampak Inovasi dan Kemajuan Teknis pada Ekonomi abstrak Prospek Baru dalam Manajemen Pengetahuan Processe S: Validasi Empiris dari Teori KMLC 5c abstrak Sistem Manajemen Pengetahuan di Perusahaan Tunisia Studi Perbandingan abstrak mengenai Enkripsi dan Non-Enkripsi Database MySQL Pengembangan dan Manajemen Program Bisnis Indonesia di Daerah Khusus Ibukota Jakarta, Indonesia Keberlanjutan Usaha Keluarga Miskin di Kamerun: Studi Empiris di Wilayah Barat Laut dan Barat Daya Kamerun abstrak Perbandingan Indeks Kekiskinan Air dan Kerentanan Pangan abstrak Sikap et Komportasi Logistik: Cashing dune PME Marocaine du Secteur Agroalimentaire abstrak Dapatkah Buruh dan Perdagangan Merangsang Prestasi Nigerias Vision 20: 2020 Mengendarai abstrak Model Pengayaan Kerja dan Keluarga Kerja dan Kepuasan Kerja Diversifikasi dan Kinerja abstrak: Bukti dari Perusahaan Emiten Publik Malaysia Hubungan antara Kebijakan Moneter dan Investasi Langsung Asing di Romania Abstrak Pengaruh Citra Merek dan Br Dan Kepribadian pada Kata Mulut Pemasaran dengan Brand Love sebagai Intervening Variable dan Costumer Trust sebagai Moderating Variable (Kasus Brand Hijup Fashion di kalangan Pelanggan di Jakarta) abstrak Penggunaan Manajemen Menurut Aktivitas abstrak Pendidikan Profesi Lebih Lanjut Mencerminkan Kebutuhan Pasar dalam Gastro - Layanan di Republik Ceko abstrak Risiko Psikososial dan Kesejahteraan: Pendekatan Berbasis Varian abstrak La PME Marocaine Face la Concurrence Studi Kasus abstrak Menggunakan HACCP oleh Manajer FampB dan Pentingnya Asuransi abstrak Sumber Daya Manusia Pendidikan: Pendekatan dan Isi abstrak Karyawan Sikap terhadap Perubahan Organisasi dan Pengaruh Komitmen Karyawan abstrak Implementasi Basel dan Pengembangan Sektor Perbankan Pakistan selama 2004-2014 Tekanan Regulasi dan Capital Capital dan Perilaku Resiko di Pakistan abstrak Dterminants de lActivit et du Chmage des Imigran au Canada: Analisis Perbandingan entre le Qubec et lOntario abstrak Imm Igran Human Capital Return dan Hubungan antara Risiko dan Pengembalian: Kasus Kanada abstrak Pratiques de Dveloppement des Comptences et Turnover des Ingnieurs. Implikasi Petunjuk UE Baru untuk Mengungkapkan Informasi Non Keuangan mengenai Aspek Keberlanjutan, Lingkungan dan Sosial abstrak Zona Ekonomi Khusus sebagai Instrumen Kebijakan Industri. Klasifikasi Farmasi di Rusia abstrak Kewirausahaan Sosial: Definisi dan Spesifik Abstrak Studi Dampak Tata Kelola Perusahaan Eselon Atas terhadap Nilai Perusahaan Fokus pada Gender Dewan dan Dewan Pengawas Studi abstrak Pengaruh Analisis ESG Nilai Ekonomi Perusahaan Abstrak Mengembangkan Paradigma Baru untuk Menemukan Ekonomi Abad 21 Perubahan abstrak dan Hubungan Masyarakat sebagai Engine untuk Pertumbuhan Organisasi abstrak Pilihan Solusi Model E-shop abstrak Faktor Pengembangan Terpilih dari Usaha Kecil dan Menengah abstrak Melek Informasi Tingkat Manajer Slovak abstrak Riset Pemasaran Kualitatif pada Opini Manajer dan Opini Mures mengenai Hubungan kausal antara Kinerja pada Model Keputusan dan Tindakan Strategis dan Kinerja Ekonomi Perusahaan Pendekatan abstrak terhadap Dukungan Informasi dan Memastikan Implementasi PR - Kegiatan Negara Industri Kebijakan abstrak Faktor Konfirmatori Analisis Instruktur Penerimaan h-Learning abstrak Peran Teknologi Informasi dalam Meningkatkan Kemampuan UKM melalui Knowledge Management abstrak Penelitian mengenai tren pasar global saat ini dalam proses bisnis industri outsourcing abstrak Sosial Ekonomi dan Tanggung Jawab Sosial Perusahaan Joint Venture Antara Demokrasi dan Kapitalisme Kemampuan Teknologi Informasi yang abstrak dan Keunggulan Kompetitif Usaha Kecil dan Menengah (UKM) dan Usaha Besar Soft TQM abstrak dan Inovasi Organisasi: Peran Misioner Kepuasan Karyawan Abstrak Perantara Keuangan dan Pertumbuhan Ekonomi di Nigeria: Analisis Koordinasi Integrasi Analisis Komparatif (Romania Spain) tentang Investasi Modal Manusia dan Pemulihannya. Pendekatan Perspektif Investasi dalam Pendidikan Dinamika abstrak Penggunaan Tanah Pertanian, Potensi Produksi dan Pertanian, dan Prospek Pembangunan Ekonomi di Pegunungan Trascu, Standar abstrak untuk Manajemen Risiko abstrak Investasi Langsung Asing dan Daya Saing Sektor Otomotif di Romania abstrak Menilai Kepemimpinan Model Inovasi abstrak Masalah Perkembangan Inovasi di Rusia Abstrak Konsep Paradoks Keuangan: Asal Usul, Esensi, Potensi untuk Pengembangan Faktor Prediktif Abstrak dari Jumlah Kecelakaan Industri yang Sangat Tinggi di Tempat Kerja di Yunani: Analisis Statistik Hasil Survei Sampel Simulasi abstrak Model untuk Pengelolaan Sumber Daya Keuangan Perusahaan abstrak Mengapa Pasar Tenaga Kerja Negaranegara V4 Dikembangkan Berbeda Dibanding Negara-negara Barat abstrak Permintaan Uang dalam Ekonomi Dollarsed abstrak Pengaruh Sistem Tumpukan yang Berbeda terhadap Hasil Butir Kedelai, (Glycine Max L. (Merrill), Di bawah Kondisi Konektor Logistik Kompleks Rumania Bagian Selatan yang Ramah di Unified Modeling Bahasa abstrak Penerapan Metode Statistik Terpilih dalam Isu Kinerja Keuangan Perusahaan Faktor Sosial abstrak dan Pengusaha Teknologi Wanita di Arab Saudi Penelitian Kemajuan Strategi Komunikasi abstrak untuk Inovasi Difusi Green Baru Teknologi Pupuk abstrak Ontologi dan Manajemen Pengetahuan abstrak Mengukur Efektivitas Metrik HR pada Return on Investment-Studi Empiris pada Organisasi Pakistan abstrak Hambatan Utama Mengakses Dana Struktural UE di Romania abstrak Nilai Dampak Manajemen dan Kebijakan Ekonomi Negara pada Stakeholders abstrak Pengaruh Reformasi Pensiun Slovakia pada Pilar Kedua selama Krisis Keuangan abstrak Faktor Penentu Pembayaran Dividen: Studi Empiris Perusahaan Farmasi PSA Abstrak Peningkatan Mekanisme Memastikan Pengembangan Inovatif Sektor Minyak di Ti Pengambilan Keputusan Pengambilan Keputusan Manajerial Krisis secara abstrak dalam Usaha Kecil Berukuran Menengah Abstrak Praktik Tertentu dalam Manajemen Risiko Produksi Biogas abstrak Penggunaan Sistem Multiagen untuk Masalah Manajemen yang Dipecahkan di Perusahaan Manufaktur abstrak Audit Energi dan Peningkatan Efisiensi Energi di Republik Kazakhstan Pemetaan abstrak Dinamika Industri abstrak Mengurangi Biaya Produk dengan Meresepkan Presisi Geometrik berdasarkan Toleransi Ukuran - Dependensi Manajemen Personalia abstrak pada Contoh Taman Nasional Terpilih di Jerman Kepuasan abstrak Profil Siswa di Universitas abstrak Regulatory Reforms and OTC Derivatives A Look at Some Changes Membentuk kembali Pasar abstrak Metode Penilaian Efektivitas Manajemen Bisnis Kecil di Industri Telekomunikasi Permintaan abstrak untuk Siswa TI di Pasar Tenaga Kerja Latvia: Sudut Pengusaha Efek Motivasi abstrak pada Kinerja Kerja Karyawan Studi Exxon Mobil Nigeria Unl Tiruan abstrak Persepsi Pengalaman E-Teaching di Institusi Pendidikan Tinggi Latvia Analisis Perbandingan Komparatif Kelompok Pemangku Kepentingan dalam Sektor yang Dipilih Tantangan abstrak yang dihadapi oleh Manajer Merek di Industri Mewah: Sikap dan Motivasi Busana Mewah Konsumen Regresi abstrak dan Elastisitas Harga Pengiriman Rata-rata dan Produksi Madu di Romania abstrak Isu Kesehatan dan Keselamatan Kerja di Ghana: Studi kasus Pengepakan Minyak Tema (TOR) abstrak Interpenetrasi Aset Teknologi dan Sumber Daya Manusia dalam Konteks Paradigma Modernisasi Abstrak Analisis Disparitas Daerah di Republik Slowakia abstrak Le Rle des Ressources Immatrielles dans la Cration de Valeur dans une PME Exportatrice Marocaine abstrak Komoditi Emas sebagai Pemegang Nilai dan Instrumen Investasi abstrak Konsumen Perilaku Layanan Perbankan Online abstrak Perilaku Konsumen Etis di Rumania dan Bulgaria: Lab Penelitian Eksperimental abstrak Atau Sumber Daya dari Wilayah Utara yang Jauh: Masalah dan Prospek abstrak Le Traitement des Phobies par la Ralit Virtuelle abstrak Kepemimpinan Gaya dan Presentasi: Studi tentang Profesional Perawatan Kesehatan di Karachi abstrak Implikasi Respons Manajerial terhadap Ketidakpuasan Pelanggan terhadap Loyalitas Pelanggan Analisis Perbandingan abstrak Fitur Khas dari Perekonomian Negara-negara di sekitar Periode Krisis 2005-2011 abstrak Kurangnya Kepercayaan dan Kerugian Tantangan Uang dalam Perdagangan Eceran Perdagangan Online abstrak Mengelola Sumber Daya Alam untuk Mendapatkan Pertumbuhan Ekonomi di Negara-negara Berkembang abstrak Pendekatan Novel Berdasarkan Penguatan Belajar untuk Anaphora Resolusi abstrak Mengusulkan Kerangka Integratif Konsensus Strategis Pengandar abstrak Informasi Aktif dan Pasif Berbagi Perilaku di Internet: Peran Pola Penggunaan Internet dan Demografi Pengguna Identifikasi abstrak Faktor Sukses Kritis Perusahaan. Studi Kasus Penerapan abstrak Google Praktik Manajemen Proyek dalam Sistem Pembelian Langsung Perusahaan Informasi Produk abstrak dan Dampaknya terhadap Persepsi Merek Konsumen Membuat Sambungan abstrak: Kemampuan Manajemen Pengetahuan dan Inovasi Proposal Proses Teoritis abstrak Pentingnya dan Mempengaruhi Negara - seperti pada Consumer Brand Perception Perangkat Lunak Resiko abstrak sebagai Alat Pendukung Keputusan abstrak Perlunya Perubahan dalam Peran Universitas sebagai Peserta dalam Sistem Inovasi abstrak Peran Percakapan amp Hubungan Bisnis dalam Manajemen Proyek yang Sukses: Kasus Konstruksi Sektor Timur Tengah Abstrak Persepsi Kualitas Pelayanan di Pasar Pariwisata Senior abstrak Konsumen Membeli Niat Produk Kosmetik Ramah Lingkungan: Perspektif Teori Aktivasi Norma abstrak Analisis Ketergantungan Pasar Saham Ceko di Pasar Saham Eropa dan G-20 Utama Abstrak Apakah Migra? Pengusaha Peluang untuk Industri Ekspor Analisis Inventarisasi abstrak Burgenland Wilayah Austria dan Siklus Ekonomi di Republik Ceko abstrak Retensi Karyawan - Kunci Kinerja Organisasi yang Efektif abstrak Kualitas Kelembagaan UE dan Negara-negara OECD abstrak Perizinan Internasional - Royalti Model Perhitungan Kemampuan Inovasi abstrak dalam Organisasi Birokrasi: Perspektif Rasionalisasi Tujuan Wirausaha abstrak Antecedents and Educational Level: Kasus Lembaga Pendidikan Tinggi Badan Intelijen Indonesia abstrak Analisis Ketersediaan Makanan Organik Fisik di Toko Ritel di Republik Ceko Perundingan abstrak dan due diligence in Aplikasi Sistem Abstraksi Ceko dari Dekomposisi Oaxaca dalam R. Studi kasus: Roma Minority in Romania Informasi Peringatan Dini secara abstrak Tersebar dengan Aspek Eksklusivitas selama Peristiwa Darurat abstrak Sikap Siswa terhadap Kuliah Streaming D Unsur-Unsur Baru Portal Elearning abstrak Keimanan Perkembangan Inovatif Sektoral dari Ekonomi Rusia Ringkasan: Data Mining dan Text Mining Tools di Domain Biologis Implikasi abstrak dari Peraturan dan Pajak atas Investasi Inbound di Kelas Aset Alternatif di Jerman abstrak Competitive Kekuatan Model Integrasi Konsesi Pasar Tenaga Kerja terhadap Interaksi Pasar Pendidikan Sistem abstrak Pola dasar dalam Time Banking: Langkah pertama Faktor abstrak Mempengaruhi Partisipasi Keuangan Mikro Islam di Malaysia abstrak Memahami Pola Pikir Masyarakat Adat di Malaysia: Agenda Riset Masa Depan Analisis Statistik abstrak dari Warga Senior Aktivitas Sosial abstrak Hubungan antara Niat Wirausaha, Sifat Lima Besar Kepribadian dan Kecerdasan Emosional abstrak Menganalisis Empirique de la Demande de Transport Ferroviaire des Marchandises: Cas de la Tunisie abstrak Kebijakan Fiskal di UE Dibandingkan dengan AS Apa yang Membuat B Usinesses Berkembang abstrak Vers une Comprhension du Concept du e-Learning abstrak AFC-CkNN: Indexation base sur lAnalyse des Concepts Formels pour la Recherche en continu des K Plus Proches Voisins dans des Rseaux Routiers abstract Bagaimana Pandangan Jaringan dari Komunitas Menginformasikan Pemahaman kita tentang Respons Komunal terhadap Keputusan Duduk. Studi Kasus Energi Angin dari Praktik abstrak Tunisia tentang CSR di Bank-Bank Maroko: Ukuran Dampak CSR terhadap Kinerja Keuangan dan Non-Keuangan Inovasi abstrak dari Perspektif Makroekonomi, Dukungan, Evaluasi dan Penerapannya secara abstrak Bagaimana Dampak TIK terhadap Penilaian Kota Pintar Studi Kasus Praktik Akuntansi Manajemen abstrak di antara Usaha Kecil dan Menengah Malaysia abstrak Les Pratiques dAccompagnement Wirausaha en Tunike: Rffleksi Thoriques et Explorations Empiriques abstrak Hubungan Antara Perilaku Kewarganegaraan Organisasional dan Keadilan Organisasi Di Sektor Pendidikan India abstrak Analisis Efektivitas Biaya: Penilaian Alat untuk Kegiatan Ekonomi di Kehutanan Analisis abstrak Sektor Industri Roti di Romania Identifikasi Identifikasi Kerentanan Rantai Pasokan melalui Tinjauan Literatur Sistematik abstrak Pentingnya Pemangku Kepentingan dalam Pelayanan Studi Kasus di Pasar Ceko abstrak Mengemudi Keberlanjutan dan Daya Saing Sektor Energi Eropa. Bagaimana Rencana Juncker Mencapai Lebih Banyak abstrak Membayar dOrigine du Client et Perception de lHospitalit dans un Espace Marchand: Etude Exploratoire auprs des Clients Tunisiens et Saoudiens. Abstrak Mediasi Pengaruh Modal Psikologis antara Kepemimpinan Transformasional dan Perilaku Kerja yang Inovatif Investigasi dalam Konteks Oman abstrak Les CDS: Vecteurs de Contagion abstrak Tanggung Jawab Sosial Perusahaan dan Kinerja Deposito Nigeria Bank abstrak Pengelolaan Proses Inovatif di Industri: Metode Aplikasi Peta Jalan yang abstrak Pendekatan Berorientasi Layanan terhadap Proses Bisnis Reengineering abstrak Faktor Penentu Pengangguran Muda: Pendekatan Mikroekonomi Analisis abstrak Efisiensi Pengelolaan Taman Nasional - Praktik Terbaik - Studi Kasus pada Taman Nasional umava dan Bayerischer Wald abstrak Berkaitan dengan Persepsi Merek : Contoh berdasarkan Bahasa Ceko Konsumen abstrak Dokumentasi Informatif Penyediaan Manajemen Bisnis Publik abstrak Analisis Evolusi Produksi dan Perdagangan Roti Romanias Periode Pasca aksesi ke Ruang Ekonomi Komunitas UE abstrak The Implementat Ion Manajemen Resiko dalam Ukuran Medium Perusahaan abstrak Proposisi dune Taxonomie de PME Industrielles Tunisiennes selon leur Orientasi Entrepreneuriale (OE) abstrak Program-Sasaran Manajemen dalam Organisasi abstrak Optimalisasi Rute Distribusi melalui Metode Clark-Wright abstrak NAFIS: Standar Emas Corpus untuk Bahasa Arab Stemmers Evaluasi abstrak Aspek Teoritis dan Praktis mengenai Pengelolaan Keberlanjutan Proyek Dampak pada Proyek-proyek yang Didanai Uni Eropa abstrak Kepemimpinan Etis dalam Konteks CSR abstrak Masalah Formasi Iklim Investasi di Rusia abstrak Memperoleh Masukan Pelanggan: Pengalaman Staffino dari Poin Manajerial View abstract Simulation Optimizer Digunakan untuk Menguji Metode Optimalisasi Kebijakan Investasi abstrak: Menentukan Kredit Jangka Pendek di Bawah Modal Beredar Abstrak Fitur Ekonomis Migrasi Manusia merupakan Aspek Keempat Potret Psikologis Klien, berdasarkan Teori Arc Hetypes dalam Konteks Pemasaran Hubungan abstrak Analisis Produksi Romanias, Konsumsi dan Perdagangan dengan Produk Anggur abstrak Evaluasi Pengaruh Brexit pada Ekonomi Romawi Analisis abstrak Konvergensi Ekonomi Slovakia: Kesuksesan dan Ancaman Masa Lalu abstrak Memediasi Efek Komunikasi Power on Hubungan antara Jaringan dan Sukses Karir: Pendekatan Pemodelan Persamaan Struktural Tren Kapas Kapas abstrak di Dunia dan Etika UE Abstrak dalam Periklanan: Menjelajahi Industri Telekomunikasi Ketenagakerjaan Etika dalam Iklan Abstrak Yang Menjelaskan Pertumbuhan Ekonomi Lambat Analisis Relevansi antara Pertumbuhan Ekonomi dan Pengeluaran Pertahanan di Pakistan abstrak Konsep Algoritma untuk Mengoptimalkan Jumlah Operasi Penanganan di Node Terminal Antarmodal abstrak Penerapan Model Spasial Persaingan Monopoli di Pasar Barang Panggang Kebijakan Dasar Bottom-Up untuk Dev Wilayah Pedesaan Elopment Bukti dari LEADER Rasakan Kerangka Proses abstrak Pemodelan Informasi untuk Perencanaan Eksekusi BIM Efek Keterampilan Teknis abstrak mengenai Praktik Pengendalian Keuangan di Dana Dukungan Masyarakat di Kenya: Kasus Dana Dukungan Komunitas Maasai Mara. Studi abstrak tentang Penerapan Analisis Multi Kriteria terhadap Pemilihan Bahan Bangunan Sistem Manajemen Inovasi Berbasis-abstrak untuk Produksi Direkayasa-to-Order Implikasi abstrak dari Petunjuk EU Baru untuk Mengungkapkan Informasi Non-Keuangan mengenai Aspek Keberlanjutan, Lingkungan dan Sosial abstrak Optimal Distribusi Sarana dan Penghasilan Keuangan antara Mitra Umum dan Swasta dalam Realisasi Proyek PPP abstrak Pengukuran Pengembangan Sosial Ekonomi menggunakan Indeks Kehidupan yang Lebih Baik Asosiasi dan Yayasan Eropa abstrak di Eropa Pendekatan Khusus untuk Mempraktikkan Ekonomi Abstrak Membangun dan Memvalidasi Tindakan Praktik Manajemen Sumber Daya Manusia Islam abstrak Penilaian Kondisi Stok Perumahan sebagai Elemen untuk Memperkirakan Kondisi Pengembangan Sumber Daya Manusia di Kawasan Federasi Rusia abstrak Pengembangan Model Manajemen Adaptif untuk Kegiatan Inovatif Evaluasi abstrak Enterprise Sustainable Development Persyaratan bagi Perusahaan dalam Konteks Kemajuan Global abstrak Publisitas dalam Layanan Perbankan: Perencanaan dan Evaluasi abstrak Analisis Insentif Investasi di Republik Slowakia abstrak Keamanan Data Besar dengan Menggunakan Fragmentasi di Kawasan Data Mongo Abstrak Mekanisme CSR dalam Desain Perbankan Internasional abstrak FMEA Aplikasi untuk Peningkatan Produk Teknis yang Dirancang Pemasaran abstrak du Tourisme Tahan lama: Essai dAnalyse dune Evolusi vers un Pemasaran Responsable abstrak Pengembangan Model Kerentanan Rantai Pasokan Rantai Model Menggunakan Model Interpretasi Struktural abstrak Bisnis dalam Kebugaran - Kesuksesan atau Kepailitan di Romania abstrak Outsourcing sebagai Bentuk Administrasi Proses Disintegrasi dalam Analisis SWOT Ekonomi abstrak Industri Konstruksi Kamboja dalam Komunitas Ekonomi ASEAN Gaya Kepemimpinan abstrak dalam Manajemen Proyek Implementasi Strategi Lean abstrak dan Peran Pengukuran Kinerja T: Kasus Perusahaan Listrik dan Elektronika Malaysia Rancangan abstrak Kerangka Kerja Proses Manajemen Sistematik abstrak Status Quo Pusat Data: Apakah Komputasi Hijau Mitos atau Fakta abstrak Dampak Integrasi Keuangan terhadap Pertumbuhan Ekonomi Kasus Negara Maghreb Aplikasi abstrak untuk Visualisasi dan Analisis Informasi Kecelakaan Lalu Lintas (Republik Ceko) abstrak Permasalahan Kegiatan Organisasi dan Manajerial Direksi Pekerjaan pada Perusahaan Industri di Wilayah Tyumen (1964-1985) Evaluasi Ekonomi abstrak dalam Struktur Produksi Studi Pokok Pertanian - Petunjuk Singkat Roadmap utama abstrak Kerangka Kerja Pengelolaan Proyek dan Portofolio untuk Mendukung UKM yang Didorong Inovasi abstrak Entrepreneuriat et risque dans le secteur TIC. Cadrage thorique et design de recherche abstrak Peran Polisi Kota dalam Pemberian Keamanan di Kota yang Dipilih di Republik Ceko abstrak Dampak Krisis pada Manajemen Sistem Perbankan di Romania abstrak Peringatan Dini di Lalu Lintas: Pendekatan dan Metode Terkini dan Novel Prosesi desakan des the presidsion paradoxales de La nouvelle gestion publique abstrak Analisis Siklus Bisnis Real untuk Ekonomi Rumania - Pendekatan Kebijakan Makroekonomi Bayesian Pendekatan dalam Konteks Konvergensi Ekonomi Riil abstrak Penerapan Kecerdasan Buatan dalam Sistem Prediksi pada Contoh Alat Pemotong Abstrak Dimensi Regional Ketidaksetaraan Pendapatan Di Negara UE: Pendekatan DEA Abstrak Indikator Kinerja Utama yang Digunakan untuk Mengukur Kinerja Bisnis UKM abstrak Pendekatan Kepemimpinan Kontemporer: Perbandingan Teoretis tentang Kepemimpinan Transformasional, Otentik, dan Pelayan abstrak Pengaruh Produksi Madu terhadap Pendapatan Peternak. Studi Kasus di Kawasan Pengembangan Muntenia Selatan Romania Dampak abstrak Kemungkinan Produk Investasi abstrak Persyaratan Operasional dan Ekonomi Produk Inovatif Dirancang untuk Menyiapkan Rencana Bisnis Abstrak Model Universal Tahapan Hubungan Pelanggan sebagai Alat untuk Mengelola dengan Penjualan Pribadi dalam Konteks Relationship Marketing abstrak Analisis Faktor-Faktor Yang Mempengaruhi Pertumbuhan Ekonomi Negara Abstrak Tempat dan Peran Penentuan Sasaran dalam Proses Membangun Sistem Optimal Mengendalikan Stabilitas Usaha Abstrak Meningkatkan Efisiensi Usaha Berbasis Kegiatan Pada Implementasi Sistem Pengendalian Abstrak Pendekatan Sistematik terhadap Konsep Terkait Proyek Analisis Struktural abstrak Analisis Kepercayaan Warga Senior di Pihak berwenang Dampak abstrak dari Keputusan Ekonomi Optimal Menetapkan Pencapaian Pembangunan Berkelanjutan Pendekatan Model CGE Eksperimental Ana yang abstrak Lisis Penggunaan Komunikasi Pemasaran di Sektor Nirlaba di Republik Slowakia Abstrak Resiko Kreativitas: EaR untuk Kekayaan Intelektual Portofolio abstrak Strategi Pengajaran Karyawan dari Perspektif Perbedaan Gender (Studi Empiris) abstrak Analisis Investigasi ke dalam Pasar Modal dan Pertumbuhan Ekonomi Di Nigeria abstrak Pertumbuhan Penipuan Bank dan Dampaknya terhadap Industri Perbankan Nigeria abstrak Analisis Empirik Ekonomi Pengaruh Balassa-Samuelson di Rumania dalam Konteks Kebijakan Moneter dan Makroekonomi Mix abstrak Pengaruh Faktor Sosial-Ekologis terhadap Kualitas Hidup Dan Harapan Hidup abstrak Analisis Statistik Dampak Pendidikan terhadap Kesejahteraan Warga Senior di Wilayah Tomsk abstrak Integrasi Data XML dalam Kehadiran XRBAC Kebijakan abstrak Konstruksi Sistem Kazakhstan Indikator Efisiensi Energi untuk Pengembangan Daya Saing Industri Model abstrak untuk toko grosir Sh Opping Studi Pasar Pakistan Pemodelan abstrak Keamanan Investasi Biaya Investasi di Arsitektur Multi-Broker Awan Analisis abstrak Struktur Pengusaha Sosial di Republik Ceko Perpustakaan abstrak Konsep Terapeutik untuk Mempromosikan Anak-anak Menjadi Jelas Persyaratan Fungsional Baru untuk Sistem Informasi dalam Konteks IoT Abstrak Sikap Tolabour: Fitur Pasar Berkembang abstrak Aspek Ekonomi Penggunaan Komputasi Awan Informasi Keamanan Kebijakan abstrak Kepatuhan di antara Karyawan di Cybersecurity Malaysia abstrak Mengembangkan Metodologi Perusahaan Pemantauan Stabilitas Keuangan: Evaluasi Profitabilitas Abnormal Pendekatan Investasi Terumbu Karang Terintegrasi di Rumania selama tahun 2014 -2020 Periode Pemrograman Abstrak Perilaku Portofolio Koperasi Berbasis Employment Thrift and Credit Societies abstrak Faktor Motivasi untuk Karyawan - Dukungan untuk Manajemen Risiko Operasional dalam Perusahaan Asuransi Abstrak Saya Penyusunan Pajak Barang dan Jasa (GST) dan Perubahan Perilaku Pengeluaran Konsumen Malaysia Abstrak Teknologi Informasi: Cara Mendorong Inovasi abstrak Hubungan Masyarakat dan Inovasi Organisasi: Penilaian terhadap Grup MTN Terbatas Faktor abstrak Ketidaksetaraan Gender dan Pembangunan di antara Manusia Rendah yang Dipilih Negara-negara Pembangunan di Afrika Sub-Sahara abstrak Ketidaksetaraan Gender dan Pembangunan di Nigeria: Hindangan dan Implikasi abstrak Swing entre Malediction et Benediction des Ressources Naturelles: Etude Comparative entre Deux Echantillons de Pays abstrak Memasukkan Web 2.0 Technologies dalam Pendidikan: Peluang dan Tantangan abstrak Masalah Materi Kreatif Proses Implementasi Proyek di Universitas abstrak Dampak faktor risiko yang dipilih dalam persiapan megaproyek abstrak Perusahaan Inovatif dan kinerjanya: Studi SMES di Johore State, Malaysia Analisis Dinamis abstrak dan Implikasi Bisnis Komposit Giant untuk sebuah Platform Interaktif Online abstrak Pemasaran Online - Strategi Komunikasi untuk Pengelola AquaPonics Farms abstrak Analisis Peristiwa Politik Ceko Refleksi di Facebook abstrak Menjelajahi Hubungan antara Kepemimpinan Transformasional dan Kinerja Siswa Abstrak Metode Berbasis FCA untuk Dokumen Multilingual Clustering Ketahanan Pangan abstrak, Kerangka Institusional dan Teknologi: Meneliti Nexus di Nigeria menggunakan Pendekatan ARDL abstrak Multifungsi Econometrics Model Dinamika Perputaran Menggunakan Faktor Primer Proses Ekonomi abstrak Kewirausahaan Wanita di Rumania, Perspektif Pendidikan Tinggi abstrak Bagaimana Pasar Tenaga Kerja Ekonomi Kecil Eropa Tengah Melakukan Mengukur Nairu Menggunakan Bayesian Pendekatan Partisipasi Anggaran abstrak sebagai Anteseden untuk Inovasi: Bukti Tunisia Karakteristik Volatilitas abstrak Kecenderungan Tersier di Pasar Saham Ceko Berlaku dalam Analisis Teknis Kode Etik dan Rela abstrak ted Clarity of Behavioral Standards: Do they Decrease the Influence of Organizational Factors that Elicit Unethical Decision-Making of Managers abstract Critical Management of Determination of Explosives in Military Training Areas abstract Crisis Management Approaches: Necessity of a Process Analysis abstract The Impact of Transport Infrastructure on the Success of Humanitarian Operations abstract The Length of Minor Trend Duration and its Applicability in Technical Analysis abstract Financial Support by the State Activity of Non-Profit Organizations on the Example of the Russian Federation abstract Talent Management and Evaluation of its Functioning in the Organization abstract Accessibility and Transparency for Accountability: The Portuguese Official Municipal Websites abstract The New German Tax Regime for Investment Funds An Example for Europe abstract The changes in the Global Enterprise Management abstract Study of Business Efficiency of Small and Medium Enterprises in Eastern E urope using Data Envelopment Analysis abstract The Role of Agent Banking in Promoting Financial Inclusion in Nigeria abstract Optimizing Decisions using Game Theory in Project Procurement Management abstract The Linkage between Reputational Resources, Knowledge and Export Performance abstract Tools Converting Text to Process Models: Review and Trend abstract Analysis of Innovation Levels Exhibited By Polish Manufacturing Companies in the Metal and Automotive Industries abstract Writing Czech Annual Reports in English abstract SQL Mining: Knowledge discovery from DML statements abstract Determinants of Corporate Social and Environmental Disclosure (CSED): In Jordanian Context abstract Revisiting the Formation of Creative Competences in the System of Engineering Education (Through the Example of Creativity of Engineer Course Taught in National Research Tomsk Polytechnic University (Russia)) abstract New Scytale Improving Encryption Technique abstract Financial Risk Assessment of a Larg e Construction Project abstract Framework for Sharing Security Related Data in Collaborative Organizations abstract A Structural Legal Rule for Goodwill: From Business Facts to Case Law abstract Factors Influencing Career Choice: Empirical Investigation from Business Students abstract Fuzzy Association Rules mining: State of the Art abstract Testing the Frequency of using the Database Records of Discrete Event Simulation Model Input Parameters during the Simulation Optimization abstract Evaluation of Tourism Website abstract An Ontological Framework towards Unplanned Information System Outages in Organizations abstract The Most Frequently Used Social Network Sites in Travel and Tourism A Czech Case Study abstract Human Capital as a Development Factor in the Globalized World abstract Risk and Profitability Considerations in OffBalance Sheet Engagements: A Comparative Analysis of Deposit Money Banks in Nigeria abstract Perception of Brownfields by Local Population: Some Implications fo r Public Idministration abstract FCSA-RTSBD: Feedback Control Scheduling Architecture for Real-Time Spatial Big Data abstract National Universities in the World Educational Landscape: Evaluation, Trends, and Prospects abstract Experiential Learning: Looking at the Globaldna Simulation for Teaching International Business Courses abstract Human Capital Management: Monitoring of the Key Employees in Organizations in the Czech Republic abstract Income, Occupational Structure and Standard of living in Romania Rural Areas Compared to Urban Areas abstract Analyzing the Influence of Innovation in Export Performance abstract Transformation of Higher Educarion based on Change of Technological Structures abstract Organizational Change and Capabilities. A Theoretical Perspective abstract Policies for Small and Medium Sized Enterprises abstract Structural Changes of Czech Agriculture and the Impact of These on Inner Foodstuffs Self-sufficiency of Czech Republic abstract 3D Laser Scanned Data Processing Possibilities for Production Floors Models abstract Upon Sustainable Development of the Extractive Industry in Romania abstract Econometric Models Applicable in Oil Industry abstract Adopting the Quantitative and Qualitative Paradigm in Social Science Research: Justifying the Underpinning Philosophical Orientation abstract TICs y Educacin: Tcnicas on Line de Autocorreccin en Asignaturas Financieras abstract Ontological Representation of Conceptual Frameworks in Business Management Research abstract Neuromarketing based Online Marketing Research: Critical Review and Future Practice abstract Sensemaking with Interactive Data Visualization abstract Business Process Management Process Modelling abstract Broadening the Scope of UX Design wit h Behavioural Psychology abstract Artificial Intelligence versus Exact Methods via Inverse Logistics: A Comparative Study abstract Continuous Performance Improvement in Innovation: Why, How and What to Measure abstract Assessing Well-being of the Older Generation in Russia: Development of the Russian Elderly Well-Being Index abstract Monte Carlo Simulation in Risk Analysis of Investment Projects abstract Etnocentrism of Slovak and Czech Consumers - Generation Approach abstract Assessment of Housing Stock and its Influence on Sustainable Regional Development Management abstract Credibility of Current Travelers to Internet Purchase in Tourism Sphere abstract The Livestock Sector in Romania. 10 years after European Union Accession - Overview. Case Study: Cattle Breeding in North West Region Bihor County, Romania abstract Proposal of Employee Training and Development System by utilizing Competency Model and AHP and Wings Methods abstract Innovations in Healthcare: The Risks of Regional Development abstract Does Culture Similarity Matter The Nexus of Work-Family Conflict, Job Satisfaction, Turnover Intention, and Job Performance in Islamic Southeast Asian Countries abstract La Diplomatie de lUnion Europenne dans Son Voisinage abstract Building Competitive Advantage with Flexible Collaborative Networks abstract The Effect of Fiscal Decentralization and Papua Special Autonomy against Direct Expenditure abstract Re-use of Brownfields in Karvina:The Challenge for Local Urban Development abstract Policy Reversals and Economic Development in Nigeria: A View from the Financial Sector abstract Les Dimensions de lExprience Mdiatique Vcue par les Enfants. Etude Exploratoire avec les Enfants Tunisiens abstract LAgilit Organisationnelle et ses Principales Composantes: Quelles Diffrences abstract Methods and Instruments of Assessing the Life Quality abstract Implementation of Lean Tools used in Logistics: A Case Study Approach abstract Optimization of Warehouse Inventory in Company in Maple - Corporate Sustainability Performance Support abstract Territorial Hospitality: State of Art abstract Resource Management in Enterprises Production Process abstract The Process of Crisis in the Organization abstract Craftsmen between National Heritage and the New Age of the Economy abstract Data Driven Decision Making In Public Administration: Evidence from Health Sectors of Two Countries - Ghana and Turke abstract Mobilisation des Etudes de Laboratoire dans la Gestion de lEau. Cas des Oasis Tunisiennes du Bassin SASS abstract Financial Inclusion: A Panacea for Balanced Economic Development abstract Impact of Banking Consolidation on the Performance of the Banking Sector in Nigeria abstract Working Capital Management and the Performance of Consumer and Industrial Goods Sectors in Nigeria abstract Lentrepreneuriat Social Performance dun Business Model Social abstract Effect of Banker-Customer Relationship on the Performance of Nigerian Banks abstract A Theoretical Analysis of Factors Influencing Students Decision to Use Learning Technologies in the Context of Institutions of Higher Education abstract Performance Management Evaluation Model for third-party logistics companies abstract Undercapitalization and Loan Delinquency: Implications on Financial Inclusion in Nigeria abstract Econometric Model of Multiple Equation of Different Shape abstract Training of the Critical Infrastructure Employees abstract The Implementation of Business Process Reengineering: Evi dence from Romanian Companies abstract Simulated Exercise - Gale Crisis Scenario abstract Modified Phillips Curve in Slovakia abstract Could Social Media Technologies Replace Formal Education abstract Developing Service Innovation Electromobility in a Regiopolitan Area in Germany abstract Developing Service Innovation Electromobility in a Regiopolitan Area in Germany abstract Analysis of the Beef Market in the European Union abstract Understanding Supply Chain Exposure to Risk: A Three-dimensional Conceptual Model abstract An Analysis of the Educational Activity in the Field of Physical Education in Romania abstract Does Country of Origin Effect Apply to Online Shopping - An Exploratory Research - abstract Integration of Enterprise Resource Planning System in the Multinational Corporation Case Study abstract The Effect of Liquidity and Solvency on Profitability among Large Firms in Consumer Product Sector abstract The Relationship between Orginization Characteristics and Capital Struct ure in Large Firm among Malaysia Consumer Sector abstract Reducing Negative Feelings Using Mobile Apps abstract Purchasing Management and the Known or Unknown Suppliers Selection Process: CIRC Energy Case Study abstract Trailer Performance Measurement in Malaysia Haulage Industry abstract The Perception of Inequality in Employment of Specific Groups of Employees in the Czech Republic abstract Empirical Data and Analysis of Developing New Simulation Model of Software Evolution Process abstract Formalizing the Requirements of Big Open Linked Data Analytics in the Public Sector abstract Development Fuzzy FMEA Application to Improve Management of Project Driven Orders abstract Knowledge Management and Ergonomics Integration for Occupational Risks Management abstract Workplace Wellbeing An Ergonomics Approach Focus on Workplace Usability Evaluation abstract Innovative Business Models and Responsible Consumption - Case Study abstract Factors Influencing Life Satisfaction of Elderly Perspect ives of Three Generations abstract Enhanced CBA algorithm Based on Apriori Optimization and Statistical Ranking Measure abstract Application of New Methods to Efficiently Identify Talented Adults in the Framework of (Large) Companies abstract South Korean Model of Innovations abstract Management Competencies in Innovative Entrepreneurship abstract Impact of the Knowledge Based Economy on the Organizational Competitiveness and Competitive Advantage abstract Employees and Entrepreneurs Opinions about Income Inequalities among Bucharest Population abstract About innovation and optimization with Logical Analysis of Data and WEKA abstract WINAlarm An Innovative IoT - based Information System as Python Service abstract Higher Education Funding Policies in the BSR Countries and Higher Education Tuition Expenses and Thematic Field Indices in Latvia abstract Encryption Techniques for Securing Cloud BI abstract Work Allocation in Organizations: The Contribution of the Personality Assessment Fram eworks in the Selection of Human Resources abstract Competency Model as a Key Tool for Managing People in Organizations: Presentation of a Model abstract Financing of Rental Housing in Slovakia abstract The Textile Industry in the Context of Economic Growth, Economic Development and Sustainable Development A Nowadays Economic and Managerial Approach abstract Differences in Demand as the Source of Foreign Trade abstract Special Aspects of Risk Management in IT-Projects abstract A New Algorithm for creating Q voting schemes abstract How to Determine the Expertise Degree of an Agent in a Multi-agent Recommender System abstract Cloud-working or Telework through Cloud Computing Another Step towards Cloudsourcing abstract Cloud-working or Telework through Cloud Computing Another Step towards Cloudsourcing abstract Financial Markets Integration within EU Countries from Central and Eastern Europe abstract Customs Compliance as the Optimization Prospect of Relations between the Participant s of Foreign Economic Activity and Customs Authorities in the Russian Federation abstract A System Dynamics Model to Study the Importance of E-Banking Service Quality Websites in Egypt abstract Innovative Economy and the Development of Industrial Park in the Republic of Kazakhstan abstract Cost Management and Performance of Manufacturing: A Study of Listed Firms in Nigeria abstract Adoption of IFRS and Its Incorporation into in the Nigerian Educational Curriculum abstract Innovation, Competitiveness and Success in Small and Medium Enterprises abstract Sustainability and Competitiveness at the Wholesale Electricity Markets abstract Competitiveness and Economic Innovation Potential abstract Do Differences Matter The Impact of Employees Socio-Demographic DiversityCharacteristics and Type of Organization on Perception of Values abstract Actual Trends ISIT in Customer Relationship Management abstract Creating a Situated Learning Environment in the Classroom for Final Year IT Students abstra ct Knowledge Accumulation, Innovation and Economic Growth in Africa a bstract Transition to Demographic Dividend in Nigeria: The Role of Human Capital Development abstract Health Aid and Child Mortality in Africa: Framework for Post-2015 Development Agenda abstract A Study of Innovative Strategies and the Performance Results of an Enterprise abstract Tools for Predicting the Development of Regional Economic and Industrial Systems abstract Fiscal Deficits Financing and Sustainable Economic Development in Africa abstract The Land Consulting Practitioner Enabling Legislation in Urban Transition - The Way Forward abstract Employee Perception of Codes of Ethics and its Impact on Organizational Performance: Evidence from the UAE abstract Delivering Inclusive Growth through Information and Communication Technologies: The Power of the Night Economy abstract Bank Capital Buffer and Portfolio Risk: The Influence of Business Cycle on Pakistani Banks abstract Monetary Policy Shocks and Inclusive Growth in Nigeria: A Structural VAR Approach abstract Analysis of Regional Expansion Effect toward People Welfare in South Sorong-Papua Indonesia abstract Financial Performance of Listed Companies in Nigeria and WorkLife Balance of Employees abstract Internal Control System and Profitability of Strategic Business Units of Selected Private Universities in Ogun State, Nigeria abstract Internal Control System and Financial Performance of Tertiary Institutions in South-West, Nigeria abstract Microfinancing and Small Businesses Performance in Nigeria abstract Employment Generation and Inclusive Growth in Nigeria: The Place of the Informal Economy abstract Capacity Building and Entrepreneurship Development in the Urban Informal Sector abstract Youthful Age-Structure and Economic Growth: Evidence from Nigeria abstract LImpact du Capital Intellectuel sur la Performance des Entreprises: Cas des Pays BRICS abstract Climate Change and Livelihoods of Small Scale Farmers in Cameroon abstract Dispo sition in Digital Records Management and Information Systems: A Conceptual Analysis abstract Capital Requirements and Capital Buffer Banks Capital and Portfolio Risk Behavior in Pakistan abstract Pricing Strategy and Efficiency Advertising Activity abstract Code of Ethics and Accountants and Auditors Activity abstract Contraceptive Use and Age Structure in Nigeria: Implications on Demographic Dividend abstract The Assessment of Efficiency of in Plant Milk Run Distribution System in Cable Manufacturing for Automotive Industry abstract Making an Evaluation Software Applications Using Royalty Savings Method abstract Smart Technologies in the Process of Adaptation Newly Recruited Employees of Industrial Enterprises abstract What I ate Videos on YouTube abstract Ranking of Reward and Recognition Preferences among Hospitality Workers in UAE abstract Knowledge Management in Quality Management System abstract An Intermediary Perspective of Corporate Governance with Firm Performance and Economi c Growth: Do Ownership Structure Initiates in Reforming Public Sector abstract The Break-Even Estimative Analysis for the Medicinal Plants Cultivated in Romania in the Conventional and Organic Agriculture Systems abstract Vertical Specialization and the Dynamic Effects of Financial Frictions abstract Regulation Effects in the Swiss Property Market abstract LInnovation Ouverte dans les Champs Artistiques et Culturels: Quelle Pertinence Quelles Approches abstract Is It Document Or Is It Record abstract Organizational Agility: Online Retailing at a Glance abstract A Snapshot over Dynamics of Innovation in Romanian SMEs abstract Innovation and Sustainability at the Swiss Building Industry due to Digital Business Transformation abstract Organizational Culture Role in Operational Risk Management abstract Mitigating Risks for Oil and Gas Supply Chains: Evidence from UAE abstract Partage des Connaissances et Capacit dApprentissage Organisationnel: Ebauche dun Modle dEvaluation de la Performanc e Organisationnelle abstract A Spatial Analysis of Educational Inequality for Rural and Urban Areas in Turkey abstract Empowering RMG Workers:Towards a Conceptual Framework abstract Mobile Phone Enabled SCM: The Bangladeshi RMG Sector abstract Collective-Collegial: Leadership Model of Muhammadiyah Education abstract Accounting and Finance Topics of Interest Corporate Finance and Governance Risk Management System Application Efficiency on Enterprise. abstract The Intercultural Approach to the Teaching and Learning at Digital Business Management abstract EU Policies in Economical Cooperation on the Black Sea Region abstract The Judicial Reorganization in Romania and its Social Consequence abstract Dynamiser la Croissance de la Petite Entreprise: Un Besoin de Dirigeants Stratges et Dveloppeurs abstract Supply Chain Risk Management Actual Research Progression and Potential Future Directions in the context of Supply Chain Resilience abstract The Effects of Mandatory IFRS Adoption on Accounting Quality in Europe:Conditional Conservatism and Value Relevance abstract Beyond the Life of Paper Records: Universiti Teknologi Malaysia Institutional Repository (UTM-IR) abstract The Global and the Local:the Model of Measuring Performance of International Business abstract Place of Bioethics in Knowledge Management in the Information Society abstract Economico-Statistical Study on Time Series of Number of Conferences in Mass Accommodation Facili ties in the Czech Republic abstract The Main Fields of Technology for the Top 10 Universities in PCT patent application abstract Rabbit Effect: the Reasons of Volunteer Movements as the Diagnostics of the Role Transformations of Human Resource Management abstract Important Commercialization Issues of Innovative Medical Devices in the Conditions of Import Substitution abstract Analyzing the Relationships among the Spatial Characteristics of Cultural Structure, Activities, and the Tourism Demand abstract Open Innovation and Network Approaches in Healthcare Ecosystems abstract Factors influencing Organic Food Buying Behavior on Czech Market abstract Brand Personality of Apple in Slovak Context abstract Determinants of Marketing Innovations abstract Mobile Payment and Business Model Innovation: A Longitudinal Analysis from a Customer Perspective abstract Evaluation of the Learning Outcome in Organizations abstract Consumer Usage Patterns of the Major Retail Banks in the Czech Republic abst ract Development of Major Banks Typical Consumer Profiles in Recent Years abstract Recrutement et Rseaux Sociaux: Discussions autour dune Mthodologie abstract SW to Support the Project Management of Conveyor Design and Installation abstract Technology and Lifelong Learning: Dynamics of Human Capital in the Digital Context abstract Towards the Theory of Professionalization of Family Firm abstract Gestion des Avis en Ligne par des Htels: Les Cas de la Bilorussie et de la France abstract Current Trends in Internet Grocery Shopping in the Czech Republic abstract Business Process Management Process Modelling abstract Key Dimensions of the Enterprise Architecture Value Drivers: time frame and quantification abstract Quality of Life Evaluation of Visegrad Group Compared with EU and Austria abstract Internet and its Influence on the Consumer Behavior of Slovak Consumer abstract The Need to Update the Strategy of Public Government in Russia abstract Social Networks in Marketing Practice abstra ct Identification of Gifted Students via ANFIS for a Purpose of their Inclusion into Special Educational Program abstract Neural Networks of the Reactive Dispatching abstract KRI Adoption as Part of Continuous Risk Monitoring and Assessment among Internal Audit Departments in Germany abstract Testing A Tool for Ensuring Software Product Quality abstract Tomsks Destination Image (Russia) as Perceived by the International Students of Tomsk Polytechnic University: A Sketch Map Technique abstract Unemployment in the European Union with the Emphasis on the Visegrad Four abstract Ambidextrous Leadership: A Theoretical Perspective abstract Municipalities, Internet and Social Networks as Support for Communication with Citizens abstractMark Spiegel 2016-30 With Liu and Tai November 2016 Exchange rate shocks have mixed effects on economic activity in both theory and empirical VAR models. In this paper, we extend the empirical literature by considering the implications of a positive shock to the U. S. dollar in a factor-augmented vector autoregression (FAVAR) model for the U. S. and three large Asian economies: Korea, Japan and China. The FAVAR framework allows us to represent a country8217s aggregate economic activity by a latent factor, generated from a broad set of underlying observable economic indicators. To control for global conditions, we also include in the FAVAR a global conditions index, which is another latent factor generated from the economic indicators of major trading partners. We find that a dollar appreciation shock reduces economic activity and inflation not only for the U. S. economy, but also for all three Asian economies. This result, which is robust to a number of alternative specifications, suggests that in spite of their disparate economic structures and policy regimes, the dollar appreciation shock affects the Asian economies primarily through its impact on U. S. aggregate demand and this demand channel dominates the expenditure-switching channel that affects a country8217s export competitiveness. 2016-19 With Benhabib May 2016 Using data from the Michigan Survey, we find a strong relationship between expectations concerning national output growth and future state economic activity. This linkage suggests that sentiment influences aggregate demand. This relationship is robust to a battery of sensitivity tests. However, national sentiment is also positively related to past state economic activity. We therefore turn to instrumental variables, positing that agents in states with a higher share of congressmen from the political party of the sitting President will be more optimistic. This instrument is strong in the first stage, and confirms the relationship between sentiment and future state economic activity. 2016-10 With Chang, Liu, and Zhang June 2016 We build a two-sector DSGE model of the Chinese economy to study the role of reserve requirement policy for capital reallocation and business cycle stabilization. In the model, state-owned enterprises (SOEs) have lower average productivity than private firms, but they have superior access to bank loans because of government guarantees. Private firms rely on shadow bank financing. Commercial banks are subject to reserve requirement regulations but shadow banks are not. Our framework implies a tradeoff for reserve requirement policy: Increasing the required reserve ratio acts as a tax on SOE activity and reallocates resources to private firms, raising aggregate productivity. This reallocation is supported by empirical evidence. However, raising reserve requirements also increases the incidence of costly SOE failures. Under our calibration, reserve requirement policy can be complementary to interest rate policy for stabilizing macro fluctuations and improving welfare. 2015-12 With Fernald and Hsu September 2015 How reliable are Chinas GDP and other data We address this question by using trading-partner exports to China as an independent measure of its economic activity from 2000-2014. We find that the information content of Chinese GDP improves markedly after 2008. We also consider a number of plausible, non-GDP indicators of economic activity that have been identified as alternative Chinese output measures. We find that activity factors based on the first principal component of sets of indicators are substantially more informative than GDP alone. The index that best matches activity in-sample uses four indicators: electricity, rail freight, an index of raw materials supply, and retail sales. Adding GDP to this group only modestly improves in-sample performance. Moreover, out of sample, a single activity factor without GDP proves the most reliable measure of economic activity. 2015-09 With Rose August 2015 We explore the relationship between inflation and the existence of a local domesticcurrency bond market. Domestic bond markets allow governments to inflate away their debt obligations, but also create a potential anti-inflationary force of bond holders. We develop a simple model where bond issuance may lead to political pressure on the government to choose a lower inflation rate. We then check this prediction empirically, finding that inflationtargeting countries with bond markets experience inflation approximately three to four percentage points lower than those without. This effect is insensitive to a variety of estimation strategies and methods to account for potential endogeneity. 2015-05 With Rose February 2015 Abstract This paper explores the relationship between inflation and the existence of a local, nominal, publicly-traded, long-maturity, domestic-currency bond market. Bond holders are exposed to capital losses through inflation and therefore represent a potential anti-inflationary force we ask whether their influence is apparent both theoretically and empirically. We develop a simple theoretical model with heterogeneous agents where the issuance of such bonds leads to political pressure on the government to choose a lower inflation rate. We then check this prediction empirically using a panel of data, examining inflation before and after the introduction of a domestic bond market. Inflation-targeting countries with a bond market experience inflation approximately three to four percentage points lower than those without one. This effect is economically and statistically significant it is also insensitive to a variety of estimation strategies, including using political and fiscal variables suggested by theory to account for the potential endogeneity of domestic bond issuance. Notably, we do not find a similar effect for short-term or foreign-currency bonds. 2014-19 With Hale and Jones May 2016 Firms in countries outside global financial centers have traditionally found it difficult to place bonds in international markets in their own currencies. Looking at a large sample of private international bond issues in the last 20 years, however, we observe an increase in bonds denominated in issuers8217 home currencies. This trend appears to have accelerated notably after the global financial crisis. We present a model that illustrates how the global financial crisis could have had a persistent impact on home currency bond issuance. The model shows that firms that issue for the first time in their home currencies during disruptive episodes, such as the crisis, find their relative costs of issuance in home currencies remain lower after conditions return to normal, partly due to the increased depth of the home currency debt market. Empirically, we show that increases in home currency foreign bond issuance occurred predominantly in advanced economies with good fundamentals and especially in the aftermath of the crisis. Consistent with the predictions of the model, financial firms 8211 which are more homogeneous than their non-financial counterparts 8211 in countries with stable inflation and low government debt increased home currency issuance by more. Our results point to the importance of both global financial market conditions and domestic economic policies in the share of home currency issuance. 2014-01 With Benhabib and Corvalan January 2014 We reassess the empirical evidence for a positive relationship between income and democracy, commonly known as the modernization hypothesis, using discrete democracy measures. While discrete measures have been advocated in the literature, they pose estimation problems under fixed effects due to incidental parameter issues. We use two methods to address these issues, the bias-correction method of Fernandez-Val, which directly computes the marginal effects, and the parameterized Wooldridge method. Estimation under the Fernandez-Val method consistently indicates a statistically and economically important role for income in democracy, while under the Wooldridge method we obtain much smaller and not always statistically significant coefficients. A likelihood ratio test rejects the pooled full sample used under the Wooldridge estimation method against the smaller fixed effects sample that only admits observations with changing democracy measures. Our analysis therefore favors a positive role for income in promoting democracy, but does not preclude a role for institutions in determining democratic status as the omitted countries under Fernandez Val-fixed effect method appear to differ systematically by institutional quality measures which have a positive impact on democratization. ADB Institute Working Paper 182 December 2009 This paper examines the motivation for, and the success of, regional efforts in Asia to promote local currency bond markets. The analysis demonstrates that Asian local currency bond markets made substantial gains as a region going into the current global financial crisis. However, we argue that the current financial crisis requires a reassessment of the merits of promoting local currency bond markets and the gains that have been made to date. While most of the initial motivations for encouraging the development of domestic local currency bond markets appear to remain valid, there are some exceptions. However, the degree to which success in the development of these markets will be sustained remains unknown until global financial markets regain tranquility and official interventions into these markets are removed. Published Articles (Refereed Journals and Volumes) Journal of Monetary Economics 74, September 2015, 1-15 With Chang and Liu China8217s external policies, including capital controls, managed exchange rates, and sterilized interventions, constrain its monetary policy options for maintaining macro - economic stability following external shocks. We study optimal monetary policy in a dynamic stochastic general equilibrium (DSGE) model that incorporates these Chinese characteristics. The model highlights a monetary policy tradeoff between domestic price stability and costly sterilization. The same DSGE framework allows us to evaluate the welfare implications of alternative liberalization policies. Capital account and exchange rate liberalization would have allowed the Chinese central bank to better stabilize the external shocks experienced during the global financial crisis. IMF Economic Review 63, September 2015, 298-324 With Liu Declines in interest rates in advanced economies during the global financial crisis resulted in surges in capital flows to emerging market economies and triggered advocacy of capital control policies. The paper evaluates the effectiveness for macroeconomic stabilization and the welfare implications of the use of capital account policies in a monetary DSGE model of a small open economy. The model features incomplete markets, imperfect asset substitutability, and nominal rigidities. In this environment, policymakers can respond to fluctuations in capital flows through capital account policies such as sterilized interventions and taxing capital inflows, in addition to conventional monetary policy. The welfare analysis suggests that optimal sterilization and capital controls are complementary policies. Journal of International Money and Finance. July 2014 With Fernald and Swanson We use a broad set of Chinese economic indicators and a dynamic factor model framework to estimate Chinese economic activity and inflation as latent variables. We incorporate these latent variables into a factor-augmented vector autoregression (FAVAR) to estimate the effects of Chinese monetary policy on the Chinese economy. A FAVAR approach is particularly well-suited to this analysis due to concerns about Chinese data quality, a lack of a long history for many series, and the rapid institutional and structural changes that China has undergone. We find that increases in bank reserve requirements reduce economic activity and inflation, consistent with previous studies. In contrast to much of the literature, however, we find that changes in Chinese interest rates also have substantial impacts on economic activity and inflation, while other measures of changes in credit conditions, such as shocks to M2 or lending levels, do not once other policy variables are taken into account. Overall, our results indicate that the monetary policy transmission channels in China have moved closer to those of Western market economies. Journal of Money, Credit and Banking 46, 2014, 445-468 With Lopez We examine the impact of foreign underwriting activity on bond markets using issuelevel data in the Japanese 8220Samurai8221 and euro-yen bond markets. Firms choosing Japanese underwriters tend to be Japanese, riskier, and smaller. We find that Japanese underwriting fees, while higher overall on average, are actually lower after conditioning for issuer characteristics. Moreover, firms tend to sort properly in their choice of underwriter, in the sense that a switch in underwriter nationality would be predicted to result in an increase in underwriting fees. Finally, we conduct a matching exercise to examine the 1995 liberalization of foreign access to the 8220Samurai8221 bond market, using yendenominated issues in the euro-yen market as a control. Foreign entry led to a statistically and economically significant decrease in underwriting fees in the Samurai bond market, as spreads fell by an average of 23 basis points. Overall, our results suggest that the market for underwriting services is partially segmented by nationality, as issuers appear to have preferred habitats, but entry increases market competition. Is Asia Decoupling from the United States (Again) Pacific Economic Review 18(3), August 2013, 345-369 With Leduc The recovery from the recent global financial crisis exhibited a decline in the synchronization of Asian output with the rest of the world. However, a simple model based on output gaps demonstrates that the decline in business cycle synchronization during the recovery from the global financial crisis was exceptionally steep by historical standards. We posit two potential reasons for this exceptionally steep decline. First, financial markets during this recovery improved from particularly distressed conditions relative to previous downturns. Second, monetary policy during the recovery from the crisis was constrained in developed economies by the zero bound, but less so in Asia. To test these potential explanations, we examine the implications of an increase in corporate bond spreads similar to that which took place during the recent European financial crisis in a three-region open-economy dynamic stochastic general equilibrium model. Our results confirm that global business cycle synchronization is reduced when zero-bound constraints across the world differ. However, we find that the impact of reduced financial contagion actually goes modestly against our predictions. Income and Democracy: Evidence from Nonlinear Estimations. 188(3), March 2013, 489-492 With Benhabib and Corvalan We test the relation between income and democracy during the postwar period. We employ panel estimation methods that explicitly allow for the fact that the primary measures of democracy are censored with substantial mass at the boundaries. We find that the statistically significant positive incomedemocracy relationship is robust to the inclusion of country fixed effects. Journal of International Economics 88(2), November 2012, 326-340 With Rose While the global financial crisis was centered in the United States, it led to a surprising appreciation in the dollar, suggesting global dollar illiquidity. In response, the Federal Reserve partnered with other central banks to inject dollars into the international financial system. Empirical studies of the success of these efforts have yielded mixed results, in part because their timing is likely to be endogenous. In this paper, we examine the cross-sectional impact of these interventions. Theory consistent with dollar appreciation in the crisis suggests that their impact should be greater for countries that have greater exposure to the United States through trade and financial channels, less transparent holdings of dollar assets, and greater illiquidity difficulties. We examine these predictions for observed cross-sectional changes in CDS spreads, using a new proxy for innovations in perceived changes in sovereign risk based upon Google-search data. We find robust evidence that auctions of dollar assets by foreign central banks disproportionately benefited countries that were more exposed to the United States through either trade linkages or asset exposure. We obtain weaker results for differences in asset transparency or illiquidity. However, several of the important announcements concerning the international swap programs disproportionately benefited countries exhibiting greater asset opaqueness. Currency Composition of International Bonds: The EMU Effect Journal of International Economics 88(1), September 2012, 134-149 With Hale We analyze the impact that the launch of the EMU had on the currency denomination of private international bond issues in 19902006 using micro-level data. Our stylized model predicts that the introduction of the euro would lead to an increase in the share of euro-denominated debt and a decline in the share of dollardenominated debt issued by firms located in countries outside both the United States and the euro area. Moreover, our model predicts that the euro effect would be particularly pronounced for nonfinancial firms. Our empirical results are consistent with these predictions. In addition, we find that among nonfinancial firms, the impact on new issuers is larger than on seasoned issuers. Extending the model to allow for differences in issuance volumes across future monetary union countries prior to integration, we also predict larger increases in euro-denominated issuance among firms from smaller monetary union countries. We confirm this prediction for international bond issues by euro-area firms. Central Bank Swaps and International Dollar Illiquidity Global Journal of Economics 1(1), June 2012, 1-20 With Rose We derive an international centralized and decentralized market model, in the spirit of Lagos and Wright (2005), where agents can experience asset-specific illiquidity. We apply the analysis to the question of dollar illiquidity during the global financial crisis and the response through international swap arrangements conducted by the Federal Reserve during that crisis. Our results show that it is possible for a deterioration in US asset values, analogous to the meltdown experienced during the global financial crisis in US real estate and asset-backed securities, to actually result in an appreciation in the dollar exchange rate, as was observed at the crisis apex. The intuition behind this counterintuitive result is that the deterioration in other dollar asset values reduces the availability of dollars for transactions purposes. Given that dollars are required for some transactions, this raises the demand for other dollar assets, such as cash, that can substitute in providing these liquidity services. Our model predicts that the benefits of swap arrangements, such as those pursued by the Federal Reserve swap arrangements are likely to be dependent on a number of agent characteristics. The benefits are shown to be increasing in the probability of needing to transact in dollars, the opaqueness of an agent8217s asset portfolio, and its illiquidity. Read More: worldscientificdoiabs10.1142S2251361212500024 Cross-Country Causes and Consequences of the 2008 Crisis: Early Warning Japan and the World Economy 24(1), January 2012, 1-16 With Rose This paper models the causes of the 2008 financial crisis together with its manifestations, using a Multiple Indicator Multiple Cause (MIMIC) model. Our analysis is conducted on a cross-section of 107 countries we focus on national causes and consequences of the crisis, ignoring cross-country 8220contagion8221 effects. Our model of the incidence of the crisis combines 2008 changes in real GDP, the stock market, country credit ratings, and the exchange rate. We explore the linkages between these manifestations of the crisis and a number of its possible causes from 2006 and earlier. We include over sixty potential causes of the crisis, covering such categories as: financial system policies and conditions asset price appreciation in real estate and equity markets international imbalances and foreign reserve adequacy macroeconomic policies and institutional and geographic features. Despite the fact that we use a wide number of possible causes in a flexible statistical framework, we are unable to link most of the commonly cited causes of the crisis to its incidence across countries. This negative finding in the cross-section makes us skeptical of the accuracy of 8220early warning8221 systems of potential crises, which must also predict their timing. Developing Asian Local Currency Bond Markets: Why and How In Implications of the Global Financial Crisis for Financial Reform and Regulation in Asia, eds. Kawai, Masahiro, David G. Mayes, Peter J. Morgan. Chapter 11 Asia Development Bank Institute, 2012. 221-227 This paper examines the motivation for, and the success of, regional efforts in Asia to promote local currency bond markets. The analysis demonstrates that Asian local currency bond markets made substantial gains as a region going into the current global financial crisis. However, we argue that the current financial crisis requires a reassessment of the merits of promoting local currency bond markets and the gains that have been made to date. While most of the initial motivations for encouraging the development of domestic local currency bond markets appear to remain valid, there are some exceptions. However, the degree to which success in the development of these markets will be sustained remains unknown until global financial markets regain tranquility and official interventions into these markets are removed. Bond Currency Denomination and the Yen Carry Trade In Asia and China in the Global Economy. ed. by Y W Cheung and G Ma, 2012. 245-282 With Candelaria and Lopez We examine the determinants of issuance of yen-denominated international bonds over the period from 1990 through 2010. This period was marked by low Japanese interest rates that led some investors to pursue 8220carry trades,8221 which consisted of funding investments in higher interest rate currencies with low interest rate, yen-denominated obligations. In principle, bond issuers that have exibility in their funding currency could also conduct a carry-trade strategy by funding in yen during this low interest rate period. We examine the characteristics of firms who appeared to have adopted this strategy using a data set containing almost 80,000 international bond issues. Our results suggest that there was a movement towards issuing in yen in the international bond markets starting in 2003, but this appears to have ended with the outbreak of the global financial crisis in 2007. Furthermore, the breakdown of carry-trade conditions in 2007 corresponds to a resurgence in the ability of economic fundamentals, such as the volume of trade with Japan, to explain the decision to issue international bonds denominated in yen. Economic Journal 121(553), June 2011, 652-677 With Rose Why should countries offer to host costly 8220mega-events8221 such as the Olympic Games We show that hosting a mega-event increases exports. This effect is statistically robust, permanent and large trade is over 20 higher for host countries. Interestingly, unsuccessful bids to host the Olympics have a similar impact on exports. We conclude that the Olympic effect on trade is attributable to the signal a country sends when bidding to host the games, rather than the act of actually holding a mega-event. We develop an appropriate formal model and derive conditions under which liberalising countries will signal through a mega-event bid. European Economic Review 55(3), April 2011, 309324 With Rose We update Rose and Spiegel (2010a, b) and search for simple quantitative models of macroeconomic and financial indicators of the 8220Great Recession8221 of 2008-09. We use a cross-country approach and examine a number of potential causes that have been found to be successful indicators of crisis intensity by other scholars. We check a number of different indicators of crisis intensity, and a variety of different country samples. While countries with higher income and looser credit market regulation seemed to suffer worse crises, we find few clear reliable indicators in the pre-crisis data of the incidence of the Great Recession. Countries with current account surpluses seemed better insulated from slowdowns. Real Estate Economics 38(2), December 2010, 171-196 With Krainer and Yamori We develop an overlapping generations model of the real estate market in which search frictions and a debt overhang combine to generate price persistence and illiquidity. Illiquidity stems from heterogeneity in agent real estate valuations. The variance of agent valuations determines how quickly prices adjust following a shock to fundamentals. We examine the predictions of the model by studying depreciation in Japanese land values subsequent to the 1990 stock market crash. Commercial land values fell much more quickly than residential land values. As we would posit that the variance of buyer valuations would be greater for residential real estate than for commercial real estate, this model matches the Japanese experience. Cross-Country Causes and Consequences of the 2008 Crisis: International Linkages and American Exposure Pacific Economic Review 15(3), August 2010, 340-363 With Rose This paper models the causes of the 2008 financial crisis together with its manifestations, using a Multiple Indicator Multiple Cause (MIMIC) model. Our analysis is conducted on a cross-section of 85 countries we focus on international linkages that may have allowed the crisis to spread across countries. Our model of the cross-country incidence of the crisis combines 2008 changes in real GDP, the stock market, country credit ratings, and the exchange rate. We explore the linkages between these manifestations of the crisis and a number of its possible causes from 2006 and earlier. The causes we consider are both national (such as equity market run-ups that preceded the crisis) and, critically, international financial and real linkages between countries and the epicenter of the crisis. We consider the United States to be the most natural origin of the 2008 crisis, though we also consider six alternative sources of the crisis. A country holding American securities that deteriorate in value is exposed to an American crisis through a financial channel. Similarly, a country which exports to the United States is exposed to an American downturn through a real channel. Despite the fact that we use a wide number of possible causes in a flexible statistical framework, we are unable to find strong evidence that international linkages can be clearly associated with the incidence of the crisis. In particular, countries heavily exposed to either American assets or trade seem to behave little differently than other countries if anything, countries seem to have benefited slightly from American exposure. Review of Development Economics 14(2), May 2010, 177-196 With Aizenman This paper identifies factors associated with takeoff8211a sustained period of high growth following a period of stagnation. We examine a panel of 241 8220stagnation episodes8221 from 146 countries, 54 of these episodes are followed by takeoffs. Countries that experience takeoffs average 2.3 annual growth following their stagnation episodes, while those that do not average 0 growth 46 of the takeoffs are 8220sustained,8221 i. e. lasting 8 years or longer. Using probit estimation, we find that de jure trade openness is positively and significantly associated with takeoffs. A one standard deviation increase in de jure trade openness is associated with a 55 increase in the probability of a takeoff in our default specification. We also find evidence that capital account openness encourages takeoff responses, although this channel is less robust. Measures of de facto trade openness, as well as a variety of other potential conditioning variables, are found to be poor predictors of takeoffs. We also examine the determinants of nations achieving sustained takeoffs. While we fail to find a significant role for openness in determining whether or not takeoffs are sustained, we do find a role for output composition: Takeoffs in countries with more commodity-intensive output bundles are less likely to be sustained, while takeoffs in countries that are more service-intensive are more likely to be sustained. This suggests that adverse terms of trade shocks prevalent among commodity exports may play a role in ending long-term high growth episodes. Global Journal of Economics. 2010 With Rose This paper models the causes of the 2008 financial crisis together with its manifestations, using a Multiple Indicator Multiple Cause (MIMIC) model. Our analysis is conducted on a crosssection of 107 countries we focus on national causes and consequences of the crisis, ignoring crosscountry 8220contagion8221 effects. Our model of the incidence of the crisis combines 2008 changes in real GDP, the stock market, country credit ratings, and the exchange rate. We explore the linkages between these manifestations of the crisis and a number of its possible causes from 2006 and earlier. We include over sixty potential causes of the crisis, covering such categories as: financial system policies and conditions asset price appreciation in real estate and equity markets international imbalances and foreign reserve adequacy macroeconomic policies and institutional and geographic features. Despite the fact that we use a wide number of possible causes in a flexible statistical framework, we are unable to link most of the commonly cited causes of the crisis to its incidence across countries. This negative finding in the cross-section makes us skeptical of the accuracy of 8220early warning8221 systems of potential crises, which must also predict their timing. International Environmental Arrangements and International Commerce In The Gravity Model in International Trade. ed. by Van Bergeijk and Brakman Cambridge: Cambridge University Press, 2010. 255-277 With Rose Review of International Economics 17(4), September 2009, 751-776 A number of studies have recently noted that monetary integration in the European Monetary Union (EMU) has been accompanied by increased financial integration. This paper examines the channels through which monetary union increased financial integration, using international panel data on bilateral international commercial bank claims from 1998-2006. I decompose the relative increase in bilateral commercial bank claims among union members following monetary integration into three possible channels: A 8220borrower effect,8221 as a country8217s EMU membership may leave its borrowers more creditworthy in the eyes of foreign lenders a 8220creditor effect,8221 as membership in a monetary union may increase the attractiveness of a nation8217s commercial banks as intermediaries, perhaps through increased scale economies enjoyed by commercial banks themselves or through an improved regulatory environment after the advent of monetary union and a 8220pairwise effect,8221 as joint membership in a monetary union increases the quality of intermediation between borrowers and creditors when both are in the same union. This pairwise effect could be attributed to mitigated currency risk stemming from monetary integration, but may also indicate that monetary union integration increases borrowing capacity. I decompose the data into a series of difference-in-differences specifications to isolate these three channels and find that the pairwise effect is the primary source of increased financial integration. This result is robust to a number of sensitivity exercises used to address concerns frequently associated with difference-indifferences specifications, such as serial correlation and issues associated with the timing of the intervention. Journal of Development Economics 89(2), July 2009, 250-257 With Rose This paper shows that proximity to major international financial centers seems to reduce business cycle volatility. In particular, we show that countries that are further from major locations of international financial activity systematically experience more volatile growth rates in both output and consumption, even after accounting for domestic financial depth, political institutions, and other controls. Our results are relatively robust in the sense that more financially remote countries are more volatile, though the results are not always statistically significant. The comparative strength of this finding is in contrast to the more ambiguous evidence found in the literature. Journal of the Japanese and International Economies 23(2), June 2009, 114-130 This paper examines the impact of European Monetary Union (EMU) accession on bilateral Portuguese international borrowing patterns. Using a difference-indifferences methodology, I demonstrate that Portugal8217s accession to the EMU was accompanied by a change in its borrowing pattern in favor of borrowing from its EMU partner nations. This extends the evidence in the literature that overall international borrowing is facilitated by the creation of a monetary union, and raises the issue of financial diversion. The results are shown to survive a wide variety of robustness checks and are corroborated by preliminary evidence concerning Greece8217s accession to EMU in 2001. Journal of Money, Credit, and Banking 41(4), June 2009, 787-798 With Benhabib In a recent paper, Atkeson and Kehoe (2004) demonstrated the lack of a robust empirical relationship between inflation and growth for a crosssection of countries with 19th and 20th century data, concluding that the historical evidence only provides weak support for the contention that deflation episodes are harmful to economic growth. In this paper, we revisit this relationship by allowing for inflation and growth to have a nonlinear specification dependent on inflation levels. In particular, we allow for the possibility that high inflation is negatively correlated with growth, while a positive relationship exists over the range of negative-to-moderate inflation. Our results confirm a positive relationship between inflation and growth at moderate inflation levels, and support the contention that the relationship between inflation and growth is non-linear over the entire sample range. BSInflationdata. xls 8211 Workbook with five additional files, including description of methodology and raw data Journal of Money, Credit, and Banking 41(2-3), March 2009, 337-363 With Rose We examine the role of non-economic partnerships in promoting international economic exchange. Since far-sighted countries are more willing to join costly international partnerships such as environmental treaties, environmental engagement tends to encourage international lending. Countries with such non-economic partnerships also find it easier to engage in economic exchanges since they face the possibility that debt default might also spill over to hinder their non-economic relationships. We present a theoretical model of these ideas, and then verify their empirical importance using a bilateral crosssection of data on international crossholdings of assets and environmental treaties. Our results support the notion that international environmental cooperation facilitates economic exchange. IMF Staff Papers 56, February 2009, 198-221 The literature appears to have reached a consensus that financial globalization has had a 8220disciplining effect8221 on monetary policy, as it has reduced the returns from8211and hence the temptation for8211using monetary policy to stabilize output. As a result, monetary policy over recent years has placed more emphasis on stabilizing inflation, resulting in reduced inflation and greater output stability. However, this consensus has not been accompanied by convincing empirical evidence that such a relationship exists. One reason is likely to be that de facto measures of financial globalization are endogenous, and that instruments for financial globalization are elusive. In this paper, I introduce a new instrument, financial remoteness, as a plausibly exogenous instrument for financial openness. I examine the relationship between financial globalization and median inflation levels over an 11 year cross-section from 1994 through 2004, as well as a panel of 5-year median inflation levels between 1980 and 2004. The results confirm a negative relationship between median inflation and financial globalization in the base specification, but this relationship is sensitive to the inclusion of conditioning variables or country fixed effects, precluding any strong inferences. In China and Asia: Economic and Financial Interactions, Proceedings of the 2006 Asian Pacific Economic Association Conference. ed. by YinWong Cheung and Kar-Yiu Wong London: Routledge, 2008. 197-214 With Lopez We examine foreign intermediation activity in Japan during the so-called 8220lost decade8221 of the 1990s, contrasting the behavior of lending by foreign commercial banks and underwriting activity by foreign investment banks over that period. Foreign bank lending is shown to be sensitive to domestic Japanese conditions, particularly Japanese interest rates, more so than their domestic Japanese bank counterparts. During the 1990s, foreign bank lending in Japan fell, both in overall numbers and as a share of total lending. However, there was marked growth in foreign underwriting activity in the international yen-denominated bond sector. A key factor in the disparity between these activities is their different clientele: While foreign banks in Japan lent primarily to domestic borrowers, international yen-denominated bond issuers were primarily foreign entities with yen funding needs or opportunities for profitable swaps. Indeed, low interest rates that discouraged lending activity in Japan by foreign banks directly encouraged foreign underwriting activity tied to the so-called 8220carry trades.8221 Regulatory reforms, particularly the 8220Big Bang8221 reforms of the 1990s, also play a large role in the growth of foreign underwriting activity over our sample period. Economic Journal 117(523), October 2007, 1310-1335 With Rose This article analyses the causes and consequences of offshore financial centres (OFCs). While OFCs are likely to encourage bad behaviour in source countries, they may also have unintended positive consequences, such as providing competition for the domestic banking sector. We derive and simulate a model of a home country monopoly bank facing a representative competitive OFC which offers tax advantages attained by moving assets offshore at a cost that is increasing in distance to the OFC. Our model predicts that proximity to an OFC is likely to be pro-competitive. We test and confirm the predictions empirically. OFC proximity is associated with a more competitive domestic banking system and greater overall financial depth. Journal of Banking and Finance 31(3), March 2007, 769786 With Yamori We examine the determinants of Japanese regional bank pricing-to-market decisions and their impact on the intensity of depositor discipline, in the form of the sensitivity of deposit growth to bank financial conditions. To obtain consistent estimates, we first model and estimate the bank pricing-to-market decision and then estimate the intensity of depositor discipline after conditioning for that decision. We find that banks were less likely to adopt market price accounting the larger were their unrealized securities losses. We also find statistically significant evidence of depositor discipline among banks that elected to price to market. Our results indicate that depositor discipline was more intense for the subset of banks that adopted market price accounting. Journal of the Japanese and International Economies 20(4), December 2006, 699-721 With Kobayashi and Yamori One of the primary motivations offered by the Bank of Japan (BOJ) for its quantitative easing program8211whereby it maintained a current account balance target in excess of required reserves, effectively pegging short-term interest rates at zero8211was to maintain credit extension by the troubled Japanese financial sector. We conduct an event study concerning the anticipated impact of quantitative easing on the Japanese banking sector by examining the impact of the introduction and expansion of the policy on Japanese bank equity values. We find that excess returns of Japanese banks were greater when increases in the BOJ current account balance target were accompanied by 8220nonstandard8221 expansionary policies, such as raising the ceiling on BOJ purchases of long-term Japanese government bonds. We also provide cross-sectional evidence that suggests that the market perceived that the quantitative easing program would disproportionately benefit financially weaker Japanese banks. Review of International Economics 14(4), September 2006, 683-697 With Aizenman This paper models and tests the implications of institutional efficiency on the pattern of FDI. We posit that domestic agents have a comparative advantage over foreign agents in overcoming some of the obstacles associated with corruption and weak institutions. Under these circumstances, FDI is more sensitive to increases in enforcement costs. We then test this prediction, comparing institutional efficiency levels for a large cross-section of countries in 1989 to subsequent FDI flows through the period of 1990-99, finding that institutional efficiency is positively associated with the ratio of subsequent foreign direct investment flows to both gross fixed capital formation and to private investment. In Japan8217s Great Stagnation. ed. by M. Hutchison and F. Westermann Cambridge, MA: MIT Press, 2006. 103-128 With Yamori Disclosure is widely regarded as a necessary condition for market discipline in a modern financial sector. However, the determinants of disclosure decisions are still unknown, particularly among banks. This paper investigates the determinants of disclosure by Japanese Shinkin banks in 1996 and 1997. This period is unique because disclosure of nonperforming loans was voluntary for Shinkin banks at this time. We find that banks with more serious bad loan problems, more leverage, and less competitive pressure, and smaller banks were less likely to choose to disclose voluntarily. These results suggest that there may be a role for compulsory disclosure, as weak banks appear to avoid voluntary disclosure disproportionately. In Handbook of Economic Growth. 1A, Chap. 13, ed. by Aghion and Durlauf Amsterdam: North Holland, 2006. 936-966 With Benhabib This paper generalizes the Nelson-Phelps catch-up model of technology diffusion. We allow for the possibility that the pattern of technology diffusion can be exponential, which would predict that nations would exhibit positive catch-up with the leader nation, or logistic, in which a country with a sufficiently small capital stock may exhibit slower total factor productivity growth than the leader nation. We derive a nonlinear specification for total factor productivity growth that nests these two specifications. We estimate this specification for a crosssection of nations from 1960 through 1995. Our results support the logistic specification and are robust to a number of sensitivity checks. Our model also appears to predict slow total factor productivity growth well. Of the 27 nations that we identify as lacking the critical human capital levels needed to achieve faster total factor productivity growth than the leader nation in 1960, 22 did achieve lower growth over the next 35 years. Solvency Runs, Sunspot Runs, and International Bailouts Journal of International Economics 65(1), January 2005, 203-219 This paper introduces a model of intervention by an international financial institution (IFI) under asymmetric information. The IFI is unable to distinguish between runs due to fundamentals and those which are the result of pure sunspots. However, it maximizes global welfare by offering a relending package consistent with generating a separating equilibrium, where voluntary creditor participation implies that underlying fundamentals are good. The need for direct IFI lending in the package is shown to depend on the commitment capacity of creditors. This adverse selection problem provides an alternative rationale for Bagehot8217s principle of last-resort lending at high rates of interest to the moral hazard motivation commonly found in the literature. Financial Structure and Macroeconomic Performance over the Short and Long Run In Macroeconomic Implications of Post-Crisis Structural Changes. ed. by L. J. Cho, D. Cho, and Y. H. Kim Seoul: Korea Development Institute, 2005. 75-103 With Lopez We examine the relationship between indicators of financial development and economic performance for a cross-country panel over long and short periods. Our long-term results are consistent with much of the literature in that we find a positive relationship between financial development and economic growth. However, we fail to find a significant positive relationship after accounting for disparities in factor accumulation. These results therefore indicate that the primary channel for financial development to facilitate growth over the long run is through physical and human capital accumulation. We also identify a significant negative relationship between financial development and income volatility, suggesting that financial development does mitigate economic fluctuations in the long run. We then turn to short-run analysis, concentrating on the period immediately surrounding the 1997 Asian financial crisis. Unlike our long-term results, our short-term panel analysis fails to find a significant relationship between financial development and economic performance during this period, both for a broad sample of countries and for a small sample of developing Asian nations. Taken as a whole, our analysis appears to support a relatively new idea in the literature that while financial development is beneficial over the long run, it may exacerbate short-term volatility in isolated episodes. One reason for this discrepancy may be that financial liberalizations are typically only partial, resulting in increased financial market distortions. We analyze the Korean experience in the period surrounding the Asian financial crisis and argue that this experience supports the idea of distortionary partial liberalization. Sterilization Costs and Exchange Rate Targeting Journal of International Money and Finance 23(6), October 2004, 897-915 With Kletzer We examine the movements of exchange rates and capital inflows in an environment where an optimizing central bank pursuing the joint goals of inflation and output targeting engages in costly sterilization activities. Our results predict that, when faced with increased sterilization costs, the central bank will choose to limit its sterilization activities, allowing target variables, such as the nominal exchange rate, to adjust. We then test the predictions of a linearized version of the saddlepath solution to the model for a cross-country panel of developing countries. We use OLS, IV, and GMM specifications to allow for the endogeneity of capital inflows. Our results confirm that monetary policy does respond to sterilization costs. The Evolution of Bank Resolution Policies in Japan: Evidence from Market Equity Values Journal of Financial Research 27(1), Spring 2004, 115132 With Yamori We examine the evidence in equity markets concerning bank regulatory policies in Japan from 1995 to 1999. Our results support the presence of information-based contagion in Japanese equity markets. When the failure of a bank of certain regulatory status was announced, it adversely affected excess returns on banks with equal or lower levels of regulatory protection. Market participants therefore initially behaved as if only second regional and smaller banks would be allowed to fail. As the situation deteriorated, however, banks that traditionally enjoyed greater regulatory protection were also perceived to lose their too-big-to-fail status. A Gravity Model of Sovereign Lending: Trade, Default, and Credit International Monetary Fund Staff Papers 51, Special Issue, 2004, 50-63 With Rose One reason why countries service their external debts is the fear that default might lead to shrinkage of international trade. If so, then creditors should systematically lend more to countries with which they share closer trade links. We develop a simple theoretical model to capture this intuition, then test and corroborate this idea. Currency Boards, Dollarized Liabilities, and Monetary Policy Credibility Journal of International Money and Finance 22(7), December 2003, 1065-1087 With Valderrama The recent collapse of the Argentine currency board raises new questions about the desirability of formal fixed exchange rate regimes. This paper examines the relative performance of a currency board with costly abandonment in the presence of dollarized liabilities to a fully discretionary regime. Our results demonstrate that neither regime necessarily dominates with only idiosyncratic firm shocks, but discretion unambiguously dominates with the addition of shocks to the dollar-euro rate. The relatively strong performance of the discretionary regime in this model stems from the benign impact of dollarized liabilities on the monetary authority8217s time inconsistency problem. Review of Malaysian Eclipse: Economic Crisis and Recovery Journal of Comparative Economics 31(3), September 2003, 593-594 The Impact of Japan8217s Financial Stabilization Laws on Bank Equity Values Journal of the Japanese and International Economies 17(3), September 2003, 263-282 With Yamori In the fall of 1998, two important financial regulatory reform acts were passed in Japan. The Financial Reconstruction Act created a bridge bank scheme and provided funds for the resolution of failed banks. The Rapid Recapitalization Act provided funds for the assistance of troubled banks. These acts provided government assistance to the banking sector and called for reforms aimed at strengthening the regulatory environment. Using an event study framework, we examine the anticipated impact of these regulatory reforms. Our evidence suggests that the Financial Reconstruction Act was expected to hurt large banks, while the anticipated impact of the act by financial strength was mixed. In contrast, the anticipated impact of the Rapid Recapitalization Act was expected to be antireform, as news favorable to its passage disproportionately favored large and weak Japanese banks. Financial Turbulence and the Japanese Main Bank Relationship Journal of Financial Services Research 23(3), June 2003, 205-223 With Yamori Under the Japanese 8220main bank8221 relationship, a bank holds equity in a firm and plays a leading role in its decisionmaking and financing. This may leave a firm dependent on its main bank for financing due to its information advantage over other potential lenders. This dependency may be particularly severe during episodes of financial turbulence. We examine the sensitivity of returns on portfolios of Japanese firm equity to the returns of their main banks using a three-factor arbitrage-pricing model. We find no significant dependence when coefficient values are held constant over the entire sample. However, the data strongly suggest a structural break in the relationship subsequent to the last quarter of 1997, a turbulent period for Japanese financial markets. When a structural break is introduced, main bank sensitivity increases after the break, usually to significantly positive levels. Financial Development and Growth: Are the APEC Nations Unique In 2001 APEC World Economic Outlook Symposium Proceedings APEC, 2002. 79-106 This paper examines panel evidence concerning the role of financial development in economic growth. I decompose the well-documented relationship between financial development and growth to examine whether financial development affects growth solely through its contribution to growth in factor accumulation rates, or whether it also has a positive impact on total factor productivity, in the manner of Benhabib and Spiegel (2000). I also examine whether the growth performances of a subsample of APEC countries are uniquely sensitive to levels of financial development. The results suggest that indicators of financial development are correlated with both total factor productivity growth and investment. However, many of the results are sensitive to the inclusion of country fixed effects, which may indicate that the financial development indicators are proxying for broader country characteristics. Finally, the APEC subsample countries appear to be more sensitive to financial development, both in the determinations of subsequent total factor productivity growth and in rates of factor accumulation, particularly accumulation of physical capital. Financial Crises in Emerging Markets: An Introductory Overview In Financial Crises in Emerging Markets. ed. by Glick, Moreno, and Spiegel New York: Cambridge University Press, 2001. 1-34 With Glick and Moreno Monetary Union Expansion: The Role of Market Power in Trade In International Finance Review. Special Issue on European Monetary Union and Capital Markets, Vol 2, ed. by Choi and Wrase Oxford: Elsevier, 2001 This paper examines the feasibility of a monetary union expansion which is desirable for both the entering country and the existing union members. The paper concentrates on the fact that the outside country is likely to be small relative to the existing monetary union, and lack the resistance to inflation which comes with market power in trade. Consideration of this market power effect allows for mutually desirable entry if the outside nation central bank is moderately more averse to inflation than the central bank of the existing monetary union. The Role of Financial Development in Growth and Investment Journal of Economic Growth 5(4), December 2000, 341-360 With Benhabib This paper decomposes the well-documented relationship between financial development and growth. We examine whether financial development affects growth solely through its contribution to growth in 8220primitives,8221 or factor accumulation rates, or whether it also has a positive impact on total factor productivity growth. Our results suggest that indicators of financial development are correlated with both total factor productivity growth and investment. However, the indicators that are correlated with total factor productivity growth differ from those that encourage investment. In addition, many of the results are sensitive to the inclusion of country fixed effects, which may indicate that the financial development indicators are proxying for broader country characteristics. Bank Charter Value and the Viability of the Japanese Convoy System Journal of the Japanese and International Economies 14(3), September 2000, 149-168 This paper compares the performance of a convoy banking system, similar to that which prevailed in Japan, to a fixed-premium deposit insurance regime. While neither regime is generally preferable over the other, the performance of the convoy system is shown to be more sensitive to changes in bank charter values and the overall health of the banking system under fairly general conditions. The recent breakdown of the convoy system may therefore be partly attributable to adverse movements in these characteristics in Japan. Speculative Capital Inflows and Exchange Rate Targeting in the Pacific Basin: Theory and Evidence In Managing Capital Flows and Exchange Rates: Evidence from the Pacific Basin. ed. by Glick New York: Cambridge University Press, 1998. 409-436 With Kletzer North-South Customs Unions and International Capital Mobility Journal of International Economics 46, 1998, 229-251 With Fernandez-Arias Inequality and Stability Annales d8217Economie et de Statistique 48, 1997, 15-40 With Barbosa and Jovanovic Are Asian Economies Exempt from the 8216Impossible Trinity8217 Evidence from Singapore In Proceedings of the 12th Pacific Basin Central Bank Conference on The Impact of Financial Market Development on the Real Economy Singapore: Monetary Authority of Singapore, 1997. 9-27 With Moreno Does State Economic Development Spending Increase Manufacturing Employment Journal of Urban Economics 41, 1997, 153-175 With de Bartolome Heterogeneity in Bank Valuation of LDC Debt: Evidence from the 1988 Brazilian Debt Reduction Program Journal of Monetary Economics 39, 1997, 535-550 With Demirguc-Kunt and Diwan Burden Sharing in Sovereign Debt Reduction Journal of Development Economi cs 50, August 1996, 337-352 Regional Competition for Domestic and Foreign Investment: Evidence from State Development Expenditures Journal of Urban Economics 37, 1995, 239-259 With de Bartolome Threshold Effects in International Lending Journal of Development Economics 46, April 1995, 341-356 Are Buybacks Back Menu-Driven DebtReduction Schemes with Heterogeneous Creditors Journal of Monetary Economics 34, October 1994, 279-293 With Diwan The Role of Human Capital in Economic Development: Evidence from Aggregate Cross-Country Data Journal of Monetary Economics 34, October 1994, 143-174 With Benhabib Sovereign Risk Exposure with Potential Liquidation: The Performance of Alternative Forms of External Finance Journal of International Money and Finance 13, August 1994, 400-414 The Role of Human Capital and Political Instability in Economic Development In International Differences in Growth Rates. ed. by Baldassari, Paganetto, and Phelps New York: St. Martin8217s Press, 1994. 55-94 With Benhabib Debt Write-Downs and Debt Equity Swaps in a Two-Sector Model Journal of International Economics 33, November 1992, 267-283 With Goldberg Concerted Lending: Did Large Banks Bear the Burden Journal of Money, Credit, and Banking 24, November 1992, 465482 Capital Controls and Deviations from Proposed Interest Rate Parity: Mexico, 1982 Economic Inquiry 28, April 1990, 239-248 Dollarization in Argentina Mark M. Spiegel in FRBSF Economic Letter, Federal Reserve Bank of San Francisco, 1999 Bank charter value and the viability of the Japanese convoy system Mark M. Spiegel in Pacific Basin Working Paper Series, Federal Reserve Bank of San Francisco, 1999 The role of relative performance in bank closure decisions Kenneth Kasa amp Mark M. Spiegel in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco, 1999 Sterilization costs and exchange rate targeting Kenneth Kletzer a mp Mark Spiegel in Pacific Basin Working Paper Series, Federal Reserve Bank of San Francisco, 1999 A currency board for Indonesia Mark M. Spiegel in FRBSF Economic Letter, Federal Reserve Bank of San Francisco, 1998 The ins and outs of joining a monetary union Mark M. Spiegel in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco, 1998 Fiscal constraints in the EMU Mark M. Spiegel in FRBSF Economic Letter, Federal Reserve Bank of San Francisco, 1997 The costs of managing speculative capital inflows in the Pacific Basin Kenneth M. Kletzer amp Mark M. Spiegel in FRBSF Economic Letter, Federal Reserve Bank of San Francisco, 1997 British central bank independence and inflation expectations Mark M. Spiegel in FRBSF Economic Letter, Federal Reserve Bank of San Francisco, 1997 Panel evidence on the speed of convergence Timothy Cogley amp Mark M. Spiegel in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco, 1997 Growth and investment across countries Jess Benhabib amp Mark M. Spiegel in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco, 1997 Why is the Philippines repurchasing its Brady bonds Mark M. Spiegel in FRBSF Economic Letter, Federal Reserve Bank of San Francisco, 1996 Inequality and stability A. S. Pinto Barbosa amp Boyan Jovanovic amp Mark M. Spiegel in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco, 1996 Speculative capital inflows and exchange rate targeting in the Pacific Basin Kenneth Kletzer amp Mark Spiegel in Pacific Basin Working Paper Series, Federal Reserve Bank of San Francisco, 1996 Is state and local competition for firms harmful Joe Mattey amp Mark Spiegel in FRBSF Economic Letter, Federal Reserve Bank of San Francisco, 1995 Financial implications of regional trade accords Eduardo Fernandez-Arias amp Mark M. Spiegel in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco, 1995 A theory of North-South customs unions Eduardo Fernandez-Arias amp Mark M. Spiegel in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco, 1995 Does state economic development spending increase manufacturing employment Charles A. M. de Bartolome amp Mark M. Spiegel in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco, 1995 Gradualism and Chinese financial reforms Mark Spiegel in FRBSF Economic Letter, Federal Reserve Bank of San Francisco, 1994 quotBurden sharingquot in sovereign debt reduction Mark M. Spiegel in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco, 1994 Fixed-premium deposit insurance and international credit crunches Mark M. Spiegel in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco, 1994 Other Works Monetary Policy and Capital Mobility Forthcoming in Encyclopedia of Financial Globalization. ed. by G. Caprio. Elsevier Policy Challenges in a Diverging Global Economy: Proceedings of the 2015 Asia Economic Policy Conference. 2016 With Glick Prospects for Asia and the Global Economy: Conference Summary In Prospects for Asia and the Global Economy. ed. by Reuven Glick and Mark Spiegel Federal Reserve Bank of San Francisco, 2014. 3-13 With Glick This chapter highlights the principal issues raised at the 2013 Asia Economic Policy Conference on 8220Prospects for Asia and the Global Economy,8221 held at the Federal Reserve Bank of San Francisco on November 3-5, 2013 FRBSF Economic Letter 2012-31, 2012 With Malkin In Asia8217s Role in the Post-Crisis Global Economy. ed. by R. Glick and M. Spiegel San Francisco: Federal Reserve Bank of San Francisco, 2012. 3-15 With Glick Do Mega Sporting Events Promote International Trade SAIS Review of International Affairs 31(1), Spring 2011, 77-85 Large sporting events, such as the Olympic Games, usually end up imposing large costs on their hosts that are not nearly compensated by either the revenues earned during the event or the legacy of large facilities that are left behind. The implausibility of recovering such a sizable investment explains why economists are usually skeptical that hosting these types of mega sporting events can be profitable. However, the desire to host mega sporting events such as the World Cup or the Olympic Games is widely held by both the masses and political elites. These events may allow countries to signal that they intend to intensify their participation on the world stage, and that there may be tangible benefits of doing so. Comments on 8220The Consumption Terms of Trade and Commodity Prices8221 by Berka and Crucini In Commodity Prices and Markets. 20, ed. by T. Ito and A. Rose NBER-EASE, 2011. 147-151 Comments on 8220Identifying the Relationship between Trade and Exchange Rate Volatility8221 by C. Broda and J. Romalis In Commodity Price and Markets. 20, ed. by T. Ito and A. Rose NBER-EASE, 2011. 114-118 Finance and Development 47(1), March 2010, 12-13 With Rose In Asia and the Global Financial Crisis. ed. by R. Glick and M. Spiegel San Francisco: Federal Reserve Bank of San Francisco, 2010. 3-9 With Glick VoxEU. org. 2009 With Rose The 2008 financial crisis is sometimes characterized as one where financial difficulties in the US spread to the rest of the world. But is there clear evidence of such international contagion This column reports research indicating that neither financial nor trade linkages to the US help explain the cross-country incidence of the crisis. If anything, countries more exposed to the US seem to have fared better. VoxEU. org. 2009 With Rose The 2008 global financial crisis has led to renewed calls for 8220early warning models8221 to reduce the risks of future crises. But this column says that few of the characteristics suggested as potential causes of the crisis actually help predict the intensity and severity of the crisis across countries. That bodes poorly for the performance of future early warning models. VoxEU. org. July 2008 With Rose Prospects for international environmental cooperation often seem dim, as agreement must hew to the lowest common denominator. This column identifies economic gains from environmental commitments via reputational spillovers and their impact on capital flows. The evidence suggests that nations have more to gain from cooperation than they may realize. Comments on 8220Financial Globalization and Emerging Market Portfolios8221 by M. Devereux Bank of Japan Monetary and Economic Studies, Special Edition 25(S-1), 2007, 119-128 Book Review: 8220Debt Games: Strategic Interaction in International Debt Rescheduling8221 by Aggarwal Journal of Economic Literature 35, 1997, 20542055 Gradualism and Chinese Financial Reforms In China Business Times and International Business. Reprinted from FRBSF Weekly Letter 94-44 (December 30) Guilford, CT: Brown and Benchmark, 1995 Determinants of Long-Run Productivity Growth: A Selective Survey with Some New Empirical Results In Background paper for World Development Report 1995: Workers in an Integrating World Washington, DC: World Bank, 1995THIRD-PARTY RESEARCH To access the articles below, first make sure you are logged in as a member, and then click the links below. Membership is free, click here to register . Gambling or De-risking: Hedge Fund Risk Taking vs. Managers Compensation Hedge fund managers risk-taking choices are determined by their compensation. Managers de-risk when the management fee becomes more important in total compensation, potentially to protect their existing assets and fee incomes. When funds are below their high-water marks, managers increase risk taking to recover past losses. Managers also take more risk when funds are above their high-water marks, possibly to further increase their compensation. During the recent financial crisis, managers herded more with their styles and decreased fund-specific risk. Finally, when fund managers take more risk, they do not generate better future performance and thus do not benefit investors. Click here for full article Chengdong Yin, Krannert School of Management, Purdue University Xiaoyan Zhang, Krannert School of Management, Purdue University, and PBC School of Finance, Tsinghua University Funding Liquidity Risk and the Dynamics of Hedge Fund Lockups We exploit the expiring nature of hedge fund lockups to create a dynamic, fund-level proxy of funding liquidity risk. In contrast to the prior literature, our measure allows us to identify how within-fund changes in funding liquidity risk are associated with performance and risk taking. Lockup funds with lower funding liquidity risk take more tail risk and have better risk-adjusted performance, suggesting reduced funding liquidity risk enables funds to better capitalize on risky mispricing. Surprisingly, lockup funds outperform nonlockup funds even when controlling for restricted capital, suggesting that a portion of the lockup premium is attributable to a lockup-fixed effect. Click here for full article Adam L. Aiken, PhD, Assistant Professor of Finance - Elon University Christopher P. Clifford, PhD, Phillip Morris Associate Professor of Finance - Gatton College of Business and Economics, University of Kentucky Jesse A. Ellis, PhD, Associate Professor of Finance Poole College of Management, North Carolina State University Qiping Huang, PhD Gatton College of Business, University of Kentucky Political Cognitive Biases Effects on Fund Managers8217 Performance Under rational agent hypothesis, financial industry practitioners should not be affected by political discourse, and investors cannot realize abnormal returns on publicly available information. Rare events, however, may silence rationality and potentiate cognitive dissonance on a spectrum of agents. We assembled a comprehensive dataset of hedge fund performance and matched equity hedge fund managers political affiliation by their partisan contributions. We document higher returns of equity hedge funds managed by Democrats for 10 subsequent months--from December 2008 to September 2009. This result is unique and robust to placebo time windows and random partisan affiliation shuffling. We conjecture that the conjunction of the financial crisis, Obamas election, and politically polarized interpretation of the US central bank policy during that period had an asymmetric impact on hedge fund managers perception. In other periods, when the political discourse did not involve central bank policy, there was no statistically significant difference between the performance of equity hedge fund managers depending on their political beliefs. Click here for full article Marian Moszoro, University of California, Berkeley and Harvard University Michael Bykhovsky, Center for Open Economics and Columbia Engineering BOV Timing is Money: The Factor Timing Ability of Hedge Fund Managers This paper studies the level, determinants, and persistence of the factor timing ability of hedge fund managers. We find strong evidence in favor of factor timing ability at the aggregate level, although we find ample variation in timing skills across investment styles and factors at the fund level. Our cross-sectional analysis shows that better factor timing skills are related to funds that are younger, smaller, have higher incentive fees, have a smaller restriction period, and make use of leverage. An out-of-sample test shows that factor timing is persistent. Specifically, the top factor timing funds outperform the bottom factor timing funds with a significant 1 per annum. This constitutes 13 of the overall performance persistence in hedge funds. The findings are robust to the use of an alternative model, alternative factors, and controlling for the use of derivatives, public information, and fund size. Click here for full article Albert Jakob Osinga, KAS Bank Marc B. J. Schauten, VU Amsterdam Remco C. J. Zwinkels, VU Amsterdam and Tinbergen Institute Wolves at the Door: A Closer Look at Hedge Fund Activism Some commentators attribute the success of hedge fund activism to the support offered by other investors, many of whom are thought to accumulate stakes in the target firms before the activists campaigns are publicly disclosed. This phenomenon is commonly referred to as wolf pack activism. This paper explores three research questions: Is there any evidence of wolf pack formation Is the wolf pack formed intentionally (by the lead activist) or is it the result of independent activity by other investors Does the presence of a wolf pack improve the outcome of the activists campaign First, consistent with wolf pack formation, I find investors other than the lead activist accumulate significant shareholdings before public disclosure. Second, these share accumulations are more likely to be mustered by the lead activist rather than occurring spontaneously. Notably, for example, the other investors are more likely to be those who had a prior trading relationship with the lead activist. Third, the presence of a wolf pack is associated with a greater likelihood that the activist will achieve its stated objectives (e. g. will obtain board seats) and higher future stock returns over the duration of the campaign. Click here for full article Yu Ting Forester Wong, Columbia Business School Obstructing Shareholder Coordination in Hedge Fund Activism Recent theoretical work argues that shareholder coordination can contribute to success in hedge fund activism. We examine the actions that target firms take to limit coordination among shareholders, thus obstructing the ability to coordinate. Targets most often obstruct coordination when the potential for incumbent shareholder coordination is highest and when the target firm stock experiences abnormal turnover just before the activism announcement. Firms that obstruct coordination suffer worse long-term stock and operating performance and a lower probability of mergers, payouts, asset sales, and management changes following activism. Our results are robust to propensity score matching and an instrumental variables analysis. Click here for full article Nicole M. Boyson and Pegaret Pichler DAmore-McKim School of Business, Northeastern University Boston Sentiment Risk, Sentiment Timing, and Hedge Fund Returns We examine whether exposure to sentiment risk helps explain the cross-sectional variation in hedge fund returns. We find that funds with sentiment beta in the top decile subsequently outperform those in the bottom decile by 0.67 per month on a risk-adjusted basis. Further, we show that some hedge funds have the ability to time sentiment by having high exposure to a sentiment factor when the factor premium is high, and sentiment timing also contributes to fund performance. Our results are robust to controlling for fund characteristics and other risk factors known to affect hedge fund returns and hold for alternative sentiment risk measures. Overall, these findings highlight sentiment risk as a source of limits to arbitrage faced by hedge funds. Click here for full article Yong Chen, Mays Business School, Texas AM University Bing Han, Rotman School of Management, University of Toronto Jing Pan, University of Utah, Eccles School of Business Benchmarking Benchmarks: Much Ado about Nothing We compare the performance of a wide variety of benchmarks: traditional, fundamentals-based and optimization-based. We find that for a set of all stocks of the SP500 index during the period from February 1989 to December 2011 traditional and new benchmark portfolios perform similarly according to a variety of return, risk, turnover, and diversification performance metrics. Moreover, the difference between traditional value - or equal-weighted benchmark and new benchmark portfolios is not statistically significant. We identify a set of basis benchmarks, which span both the set of new and the set of traditional benchmarks. The first basis benchmark explains three quarters of the variation of all benchmark portfolios correlation between this basis benchmark and systematic market factor is 96 for the last 10 years period. We conclude that the strongest driving force of all considered benchmark portfolios is the market factor. Irrespective of the benchmark portfolio, managers mainly track the market and do it in statistically sufficient way during the last 23 years. The difference in the performance of various benchmarks can be attributed to the skill to outperform the market. In the long run these skills are washed out. Our work has implications for big mutual, pension and hedge funds with fairly big number of stocks in their portfolios and long investment time horizon. For these funds the choice of the benchmark is not important. Click here for full article Yuliya Plyakha, University of Luxembourg, Luxembourg School of Finance Rethinking Performance Evaluation The current approach to performance evaluation is to run equation-by-equation regressions to calculate alphas. There are at least three issues that arise: 1) the estimation does not take into account any crosssectional information (i. e. how well other funds are doing) 2) there is no allowance for parameter uncertainty and 3) the estimated alphas do a poor job of predicting future alphas. Harvey and Liu (2015) propose a new method that uses cross-sectional information. They perform extensive simulations in the paper and show that their method is superior to the usual OLS approach. They also argue that their technique has advantages over a Bayesian approach because no priors need to be specified. The latest research papers conclude that not a single MF significantly outperforms (there are some that significantly underperform). Applying their technique, dramatically changes the inference. Harnessing the cross-sectional information, they find that 26 outperform. While they have only applied their method to mutual funds, the paper indicates that next up are hedge funds. Click here for full article Campbell R. Harvey, Duke University - Fuqua School of Business National Bureau of Economic Research (NBER) Duke Innovation Entrepreneurship Initiative Yan Liu, Texas AM University, Department of Finance Slow Trading and Stock Return Predictability Market returns predict the future abnormal returns on small and illiquid stocks, implying attractive dynamic investment strategies for investors investing in the size premium or in small and illiquid stocks either directly or through exchange traded funds. We provide evidence that this return predictability is due to institutional investors trading patterns: When rebalancing their portfolios the institutional investors initially buy (sell) relatively more the large and liquid stocks. In the case of illiquid stocks they split their orders over several days to avoid excessive price impact, thus inducing predictability in stocks returns. We provide evidence that some hedge funds exploit this return predictability. Click here for full article Matthijs Lof, Aalto University School of Business Matti Suominen, Aalto University School of Business Acquiring and Trading on Complex Information: How Hedge Funds Use the Freedom of Information Act Using the Freedom of Information Act, hedge funds receive records from the Food and Drug Administration about new product approvals, factory inspections, and complaints. We use the funds receipt of this information to empirically test implications of theories about investors with bounded rationality acquiring complex information for trading purposes. Consistent with theory, we find evidence that the magnitude of hedge fund trades is positively related to the funds prior knowledge about the target firm and the FOIA process, and to the shortterm abnormal stock returns derived from trading. Click here for full article April Klein, Professor of Accounting, Stern School of Business - New York University Tao Li, University of Warwick Warwick Business School Corporate Governance and Hedge Fund Activism Over the past 25 years, hedge fund activism has emerged as new form of corporate governance mechanism that brings about operational, financial and governance reforms to a corporation. Many prominent business executives and legal scholars are convinced that the entire American economy will suffer unless hedge fund activism with its perceived short-termism agenda is significantly restricted. Shareholder activists and their proponents claim they function as a disciplinary mechanism to monitor management and are instrumental in mitigating the agency conflict between managers and shareholders. I find statistically meaningful empirical evidence to reject the anecdotal conventional wisdom that hedge fund activism is detrimental to the long term interests of companies and their long term shareholders. Moreover, my findings suggest that hedge funds generate substantial long term value for target firms and its long term shareholders when they function as a shareholder advocate to monitor management through active board engagement to reduce agency cost. Click here for full article Shane C. Goodwin, Adjunct Professor (Finance and Managerial Economics), University of Texas Dallas Financial Intermediation in Private Equity: How Well Do Funds of Funds Perform This paper focuses on funds of funds (FOFs) as a form of financial intermediation in private equity (both buyout and venture capital). Compared to investments in hedge funds or publicly traded stocks, private equity investments in direct funds are less liquid, less easily scaled and have higher search and monitoring costs. As a consequence, FOFs in private equity may provide valuable intermediation for investors who want exposure to the asset class. We benchmark FOF performance (net of their fees) against both public equity markets and strategies of direct investment into private equity funds. We also examine the types of portfolios private equity FOFs create when they pool investor capital. After accounting for fees, primary FOFs provide returns equal to or above public market indices for both buyout and venture capital. While FOFs focusing on buyouts outperform public markets, they underperform direct fund investment strategies in buyout. In contrast, the average performance of FOFs in venture capital is on a par with results from direct venture fund investing. This suggests that FOFs in venture capital (but not in buyouts) are able to identify and access superior performing funds. Click here for full article Robert S. Harris, University of Virginia Darden School of Business Tim Jenkinson, Said Business School, University of Oxford and CEPR Steven N. Kaplan, University of Chicago Booth School of Business and NBER Ruediger Stucke, Warburg Pincus The Case For and Against Activist Hedge Funds A subset of so-called hedge funds, henceforth known as activists, has latched on the idea that many corporations are not managed or governed in a manner likely to maximize value for shareholders. With the capital they have obtained from pension funds and other institutional investors, they take a small position in the equity of publicly traded companies and push, with a varying degree of aggressiveness, for measures they deem likely to boost targeted companies stock price. This is a fast growing business. The number of activist interventions, some 27 in 2000, has reached 345 in 2014 according to the WSJ-FactSet Activism Scorecard. Activist hedge funds have now amassed an estimated 200 billion in managed assets. To achieve more leverage on companies, smaller hedge funds may band in what has been aptly called wolf packs. In a by-now familiar scenario, the activist hedge fund calls on the targeted company to name to its board some people of its choosing (threatening a proxy fight if the company is not forthcoming). That is merely a first step, sometimes entirely skipped. Unless the company swiftly gives in to its demands, the hedge fund will produce a paper, or a long letter, critical of the companys management and board and outlining the remedial actions that, in its view, would benefit shareholders. That document will be broadcast widely so as to gather the support of the companys institutional shareholders, even if a tacit one. In due course, if matters come to a proxy fight, the hedge fund will try to persuade the proxy advisors (ISS and Glass Lewis) to come out in favour of the hedge funds nominees for the board. Click here for full article Yvan Allaire, PhD (MIT), FRSC Executive Chair, IGOPP Emeritus Professor Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds We economically motivate and then test a range of hypotheses regarding performance and risk differences between UCITS-compliant and other hedge funds. The latter exhibit more suspicious return patterns than do absolute return UCITS (ARUs), but ARUs exhibit higher levels of operational risk. We find evidence of a strong liquidity premium: hedge funds offer investors less liquidity than do ARUs yet exhibit better risk-adjusted performance. Our findings are substantially unchanged under various robustness tests and adjustments for possible selection bias. The liquidity premium for ARUs and their lack of performance persistence have implications for both investors and policy makers. Click here for full article Juha Joenvr, University of Oulu, Risk Management Lab, Imperial College Business School Robert Kosowski, Imperial College Business School, CEPR, Oxford-Man Institute of Quantitative Finance and EDHEC The Economic Consequences of Investor Relations: A Global Perspective We offer new evidence on the economic value of investor relations (IR) activity using the results of a 2012 global survey of IR officers and their activities at over 800 firms from 59 countries. More active IR programs, as measured by a firms involvement in broker-sponsored conferences, in facilitating one-on-one meetings with institutional investors, through global outreach, and with formal disclosure, media and governance policies, are associated with a statistically significant and economically large 8-12 higher Tobins q valuation. The findings are resilient to concerns about potential reverse-causality as we instrument the level of IR activity with firm-level constraints, or of their peers, on IR personnel, salaries, and budget. The channels through which IR activity increases market value is through greater analyst following, improved analyst forecast accuracy, and a reduced cost of capital. More IR activity is also associated with higher institutional and hedge fund ownership, and more equity issuance. Click here for full article G. Andrew Karolyi, Professor of Finance and Economics and Alumni Professor in Asset Management at the Johnson Graduate School of Management, Cornell University Rose C. Liao, Assistant Professor, Rutgers Business School, Rutgers University Asset Bubbles: Re-thinking Policy for the Age of Asset Management In distilling a vast literature spanning the rational irrational divide, this paper offers reflections on why asset bubbles continue to threaten economic stability despite financial markets becoming more informationally-efficient, more complete, and more heavily influenced by sophisticated (i. e. presumably rational) institutional investors. Candidate explanations for bubble persistencesuch as limits to learning, frictional limits to arbitrage, and behavioral errorsseem unsatisfactory as they are inconsistent with the aforementioned trends impacting global capital markets. In lieu of the short-term nature of the asset ownermanager relationship, and the momentum bias inherent in financial benchmarks, I argue that the business risk of asset managers acts as strong motivation for institutional herding and rational bubble-riding. Two key policy implications follow. First, procyclicality could intensify as institutional assets under management continue to grow. Second, remedial policies should extend beyond the standard suite of macroprudential and monetary measures to include time-invariant policies targeted at the cause (not just symptom) of the problem. Prominent among these should be reforms addressing principal-agent contract design and the implementation of financial benchmarks. Click here for full article Brad Jones, International Monetary Fund Hedge Fund Flows and Performance Streaks: How Investors Weigh Information We examine the relative weights hedge fund investors attach to past information in the fund selection process. The weighting scheme appears inconsistent with econometric forecasting models that predict fund returns, alphas or Sharpe ratios. In particular, investor flows are highly sensitive to performance streaks despite their limited predictive power regarding fund performance. Further, allocations based on forecast models out-of-sample predictions beat investor allocations by a significant margin, which suggests that the latter are suboptimal and reflect overreaction to certain types of information. Our findings do not support the notion that sophisticated investors have superior information or superior information processing abilities. Click here for full article Guillermo Baquero, European School of Management and Technology Marno Verbeek, Rotterdam School of Management, Erasmus University Duration of Poor Performance, Fund Flows and Risk-Shifting by Hedge Fund Managers A typical hedge fund manager receives greater compensation when the fund has a strong absolute or relative performance. Asymmetric performance fees and fund flow-performance relationship may create incentives for risk-shifting, estimated in our study by the change in fund return volatility in the middle of the year. However, hedge funds that cannot attract new funds or have had poor performance for a long period may face different incentives. The combination of these two observations confronts hedge fund managers with a complex strategic decision regarding the optimal level of their funds return volatility. While an increase in return volatility generally increases the expected payoff of the compensation contract, excessive volatility is not sustainable. This paper empirically examines the factors that affect hedge fund managers decisions to risk-shifting. We show that (1) if the fund has had prior poor performance, the magnitude of risk-shifting is larger (2) as the duration of poor performance increases, risk-shifting is reduced (3) if the fund is experiencing capital outflows, the magnitude of risk-shifting is smaller and (4) funds that have outflows and also use leverage or have short redemption notice periods display a smaller degree of risk-shifting. Click here for full article Ying Li, Asst. Professor of Business, Univ. of Washington Bothell A. Steven Holland, Professor of Business, Univ. of Washington Bothell Hossein B. Kazemi, Professor of Finance, Univ. of Massachusetts Amherst Best Ideas of Hedge Funds We provide new compelling evidence that hedge funds possess investment skill. Using the longest-in-literature unbiased sample of hedge funds, we show that large holdings of past winners earn 7 annual benchmark-adjusted return. This remarkable performance is consistent with the notion that large holdings represent managers best ideas. Our sample goes back to 1980 and does not miss non-surviving hedge funds, or those that do not voluntarily report to commercial databases. It consists of all investment managers that must report to the SEC, except those that we identify as managers other than hedge funds. While publicly available data is not sufficient to identify hedge funds directly, our reverse identification method achieves both high sensitivity and specificity. We also find weaker yet significant evidence of investment skill in standard indicators such as average fund performance and performance persistence. Click here for full article Sergey Maslennikovy, Ph. D. student and Parker Hund, undergraduate student both at Department of Finance, McCombs School of Business, University of Texas at Austin Chasing Winners: The Appeal and the Risk For the large majority of hedge fund investors, frequent and repeated manager turnover is neither a practical nor desirable approach to managing a hedge fund portfolio. However, experiments simulating such an approach can be useful in that they can illustrate potential long-term consequences of different selection strategies. In this paper, we present results of one such experiment that offer a strong caution against the practice of chasing winners, or hiring managers that have had the highest returns. The experiment results also suggest that alpha in this case, return not accounted for by beta to the broad equity market, including from manager skill consistently outperforms absolute return as a selection criterion. Amid a prolonged bull market, there may be a natural tendency for hedge fund investors to gravitate toward managers that have captured a significant share of the markets upside however, since such equity upside capture is statistically a relative rarity among hedge fund strategies, such a selection criterion may lead to adverse selection. Click here for full article Kristofer Kwait, Managing Director, Head of Hedge Fund Research and John Delano, Director Commonfund Hedge Fund Strategies Group Do Incentive Fees Signal Skill Evidence from the Hedge Fund Industry We examine whether fee structure acts as a reliable signal of hedge fund performance. Recent theoretical work suggests that, given the unique information asymmetries faced by hedge fund investors, managers will use performance-based incentive fees to signal skill. We test this hypothesis empirically and find little support for the notion that high incentive fee funds generate superior risk-adjusted returns during normal market conditions rather, increases in incentive fee level are accompanied by an increased proclivity to take on risk and increased leverage. Consequently, higher incentive fee funds suffer higher rates of attrition. Higher incentive fee funds do demonstrate lower market correlations and thus provide enhanced diversification benefits. As a result, high fee funds exhibited remarkable outperformance during the recent global financial crisis. Click here for full article Paul Lajbcygier, Department of Banking Finance, Monash University Joe Rich, Department of Accounting and Finance, Monash University Why Complementarity Matters for Stability 8212 Hong Kong SAR and Singapore as Asian Financial Centers There is much speculation regarding a race for dominance among financial centers in Asia, arising from the anticipated financial opening up of China. This frame of reference is, to an extent, a predilection that results from a traditional understanding of financial centers as possessing historical, geographic, and scale economy advantages. This paper, however, suggests that there is an alternative prism through which the evolution of financial centers in Asia needs to be viewed. It underscores the importance of complementarity rather than dominance to better serve regional and global financial stability. We posit that such complementarity is vital, through network analysis of the roles of Hong Kong SAR and Singapore as the current leading financial centers in the region. This analysis suggests that a competition for dominance can result in de-stabilizing levels of interconnectivity that render the global network as a whole more susceptible to rapid propagation of shocks. We then examine the regulatory and policy challenges that may be encountered in furthering such complementary coexistence. Click here for full article Minsuk Kim, Vanessa Le Lesl, Franziska Ohnsorge, and Srikant Seshadri International Monetary Fund (IMF) Do Alternative UCITS Deliver What They Promise A comparison of alternative UCITS and hedge funds We study the performance of alternative UCITS funds and account for potential survivorship biases in our sample in the best possible manner. Alternative UCITS funds offer similar raw returns but a lower volatility compared to offshore hedge funds. Single-index models show that alternative UCITS funds provide only marginal exposure to variations in hedge fund returns. Multifactor models indicate that the most important risk factors for both alternative UCITS funds and their matched hedge funds strategies are related to stock market risks, but alternative UCITS funds exhibit a lower exposure to these factors than hedge funds. Moreover, we find factor loadings on different risk factors, suggesting that alternative UCITS and hedge funds pursue different strategies. Finally, we assess the degree of the value added for an investor in terms of enhanced diversification benefits by implementing a spanning test and find that both groups are different asset classes with time-varying diversification properties. Click here for full article Michael Busack, Absolut Research GmbH Wolfgang Drobetz, School of Business, University of Hamburg Jan Tille, Absolut Research GmbH Evaluating and Predicting the Failure Probabilities of Hedge Funds Hedge funds have the most sophisticated risk management practices however, hedge funds also appear to have a short lifetime relative to other managed funds. In this study, we investigate the failure probabilities of hedge fundsparticularly the failures due to financial distress. We forecast the failure probabilities of hedge funds using both a proportional hazard model and a logistic model. By utilizing a signal detection model and a relative operating characteristic curve as the prediction accuracy metrics, we found that both of the models have predictive power in the outof-sample test. The proportional hazard model, in particular, has stronger predictive power, on average. Click here for full article Hee Soo Lee, School of Business, Yonsei University Juan Yao, The University of Sydney Business School, The University of Sydney Sentiment and the Effectiveness of Technical Analysis: Evidence from the Hedge Fund Industry This paper presents a unique test of the effectiveness of technical analysis in different sentiment environments by focusing on its usage by the most sophisticated and astute investors, hedge fund managers. We document that during high-sentiment periods, hedge funds using technical analysis exhibit higher returns, lower risk, and superior market-timing ability than those non-users. The advantages for hedge funds of using technical analysis disappear in low-sentiment periods. These findings are consistent with the view that technical analysis performs relatively better in high-sentiment periods with larger mispricing, which cannot be fully exploited by arbitrage activities due to short-sale impediments. Click here for full article David M. Smith, State University of New York at Albany Na Wang, Hofstra University Ying Wang, State University of New York at Albany Edward J. Zychowicz, Hofstra University Hedge Fund Holdings and Stock Market Efficiency We examine the relation between changes in hedge fund stock holdings and measures of informational efficiency of equity prices derived from transactions data, and find that, on average, increased hedge fund ownership leads to significant improvements in the informational efficiency of equity prices. The contribution of hedge funds to price efficiency is greater than the contributions of other types of institutional investors, such as mutual funds or banks. However, stocks held by hedge funds experienced extreme declines in price efficiency during liquidity crises, most notably in the last quarter of 2008, and the declines were most severe in stocks held by hedge funds connected to Lehman Brothers and hedge funds using leverage. Click here for full article Charles Cao, Smeal College of Business, Penn State University Bing Liang, Isenberg School of Management, University of Massachusetts Andrew W. Lo, MIT Sloan School of Management Lubomir Petrasek, Board of Governors of the Federal Reserve System CTAs 8211 Which trend is your friend The occurrence of trends within financial markets is inconsistent with the assumptions of classical financial theory. Nevertheless, it can be empirically validated that market prices can be subject to trends. But - which trends should you measure Which trend is your friend Click here for full article Fabian Dori, Manuel Krieger, and Urs Schubiger 1741 Asset Management Ltd. In Search of Missing Risk Factors: Hedge Fund Return Replication with ETFs Properly considering all potential risk factors through tradable liquid portfolios in the context of a risk based factor model is paramount to quantifying the benefits of investing in hedge funds. We attempt to span the space of potential risk factors with exchange traded funds (ETFs). We develop a methodology of hedge fund return replication with ETFs based on cluster analysis and LASSO factor selection that overcomes multicollinearity among ETFs and the data mining bias. We find that the overall out-of-sample accuracy of hedge fund replication with ETFs increases with the number of ETFs available. This is consistent with our interpretation of ETF returns as proxies to a multitude of alternative risk factors that could be driving hedge fund returns. We further consider portfolios of cloneable and non-cloneable hedge funds, defined as top and bottom in-sample R2 matches. We find superior risk-adjusted performance for non-cloneable funds, while cloneable funds fail to deliver significantly positive risk-adjusted performance. We conclude that our methodology provides value in both identifying skilled managers of non-cloneable hedge funds, and also successfully replicating out-of-sample returns that are due to alternative risk exposures of cloneable hedge funds, thus providing a transparent and liquid alternative to investors who may find these return patterns attractive. Click here for full article Jun Duanmu, Yongjia Li, and Alexey Malakhov Sam M. Walton College of Business, University of Arkansas The Effect of Investment Constraints on Hedge Fund Investor Returns The aim of this paper is to examine the effect of frictions and real-world investment constraints on the returns that investors can earn from investing in hedge funds. We contribute to the existing literature by accounting for share restrictions, minimum diversification requirements and fund size restrictions that are commonly used by institutional investors. We show that the size-performance relationship is positive (negative) when past (future) performance is used. Evidence of performance persistence is reduced significantly when fund size and share restrictions such as notice, redemption and lockup period are incorporated into rebalancing rules. We test several hypotheses regarding the economic mechanism that underlies the size-performance relationship. We find empirical support for theoretical models based on decreasing returns to scale as well as managers responding optimally to fee incentives. The findings have significant implications for hedge fund investors since they caution against chasing performance in hedge funds and within the billion dollar club of hedge funds, in particular. Click here for full article Juha Joenvr, University of Oulu and Imperial College Business School Robert Kosowski, Imperial College Business School and Oxford-Man Institute of Quantitative Finance Pekka Tolonen, University of Oulu Equity Hedge Fund Performance, Cross8211Sectional Return Dispersion, and Active Share This study examines several aspects of active portfolio management by equity hedge funds between 1996-2013. Consistent with the idea that crosssectional return dispersion is a proxy for the markets available alpha, our results show that equity hedge funds achieve their strongest performance during periods of elevated dispersion. The performance advantage is robust to numerous risk adjustments. Portfolio managers may use the current months dispersion to plan the extent to which the following months investment approach will be active or passive. We also estimate the active share for equity hedge funds and find an average of 53. We further document the average annual expense ratio for managing hedge funds active share to be about 7. This figure is remarkably close to active expense ratios reported previously for equity mutual funds, which may be interpreted as evidence of uniform pricing for active portfolio management services. Click here for full article David M. Smith, Department of Finance and Center for Institutional Investment Management, University at Albany Crystallization 8211 the Hidden Dimension of Hedge Funds Fee Structure We investigate the implications of variations in the frequency with which hedge funds update their high-water mark on fees paid by hedge fund investors. Using data on Commodity Trading Advisors (CTAs), we perform simulations to analyse the effect. We find a statistically and economically significant effect of the crystallization frequency on total fee load. Funds total fee load increases significantly as the crystallization frequency increases. As such, our findings indicate that the total fee load depends not only on the management fee and incentive fee, but also on the crystallization frequency set by the manager. Click here for full article Gert Elaut, Ghent University, Belgium Michael Frmmel, Ghent University, Belgium John Sjdin, Ghent University, Belgium, and RPM Risk Portfolio Management AB, Sweden Governance Under the Gun: Spillover Effects of Hedge Fund Activism This paper empirically studies the spillover effects of hedge fund activism. Activism threat, defined as a heightened rate of recent activism in an industry, predicts a higher probability that a firm in that industry will be targeted. Using institutional trading in stocks outside of the industry as an instrument, we identify the effects of activism threat from those of product market competition and time-varying industry structure. The threat of being targeted has a disciplining effect on peer firms, which respond by reducing agency costs and improving performance along the same dimensions as actual targets. These changes lead to substantial positive abnormal returns and lower the ex-post probability of becoming a target, suggesting the presence of a partial feedback effect. Overall, our results provide new evidence that shareholder activism, as a monitoring mechanism, reaches beyond the firms being targeted. Click here for full article Nickolay Gantchev, Finance Area, Univ. of North Carolina at Chapel Hill Oleg Gredil, Kenan-Flagler Business School, Univ. of North Carolina at Chapel Hill Chotibhak Jotikasthira, Kenan-Flagler Business School, Univ. of North Carolina at Chapel Hill Evaluating Absolute Return Managers One traditional measure of investment performance, the Information Ratio (IR), is defined as the active return (alpha) divided by the tracking error (the standard deviation of the active return). Calculating an IR is straightforward when the benchmark for performance is a buy-and-hold standard like the SP 500. For absolute return managers, however, the typical benchmark we observe is zero meaning that any excess return is classified as alpha and deemed to represent the return from active management or skill. In this paper, we argue that this standard approach confuses beta returns and alpha returns. The former can be earned by following generic strategies that can be easily implemented and are often replicated by ETFs while the later are associated with more original or complex strategies that more genuinely reflect unique skills or expertise. We propose a new performance metric that strips out beta returns associated with investment style factors. This approach leads to a new statistic, the alpha ratio, which can dramatically impact the relative performance rankings of managers and provide a clearer signal of manager skill. Click here for full article Momtchil Pojarliev, Hathersage Capital Management LLC Richard M. Levich, New York University Stern School of Business, Finance Department CTAs: Shedding light on the black box In their paper they explore a number of the features they consider important when assessing Commodity Trading Advisors (CTAs), from the perspective of an investor in the asset class as well as issues of a more technical nature which will inform further those considering making an allocation to the sector. Throughout the paper they have tried to visit topics which are pertinent to this quest, and in so doing, limit re-visiting themes which are already much discussed instead illustrating our assertions (where possible and appropriate) with technical data and examples of the techniques we have developed for finding, managing and monitoring managers in the space. We have covered a lot of ground: indeed this was the aim of their first paper on the sector and there exist many areas which may be the subject of dedicated papers in the future. Finally, they examine some traditionally held assertions with regards to CTAs and in turn assert that some hold true under analysis while others are likely not fully informed. Click here for full article Tommaso Sanzin, Partner, Risk Manager, Head of Quantitative Research Hermes BPK Partners Larry Kissko, Head of CTA, Macro RV Strategies Hermes BPK Partners How Do Hedge Fund 8216Stars8217 Create Value Evidence from Their Daily Trades I use transaction-level data to investigate the magnitude and source of hedge funds equity trading profits. Bootstrap simulations indicate that the trading profits of the top 10 of hedge funds cannot be explained by luck. Similarly, superior performance persists. Outperforming hedge funds tend to be short-term contrarians with small price impacts, and their profits are concentrated over short holding periods and in their more contrarian trades. Further, I find that performance persistence is significantly stronger for contrarian funds with small price impacts. My findings suggest that liquidity provision is an important channel through which outperforming hedge funds persistently create value. Click here for full article Russell Jame, Gatton College of Business and Economics, University of Kentucky Did Long-Short Investors Destabilize Commodity Markets This paper contributes to the debate on the effects of the financialization of commodity futures markets by studying the conditional volatility of long-short commodity portfolios and their conditional correlation with traditional assets (stocks and bonds). Using several groups of trading strategies that hedge fund managers are known to implement, we show that long-short speculators do not cause changes in the volatilities of the portfolios they hold or changes in the conditional correlations between these portfolios and traditional assets. Thus calls for increased regulation of commodity money managers might at this stage be premature. Click here for full article Jolle Miffre, PhD, Professor of Finance, EDHEC Business School Chris Brooks, Professor of Finance and Director of Research, ICMA Centre, Reading Quantitative Trend Following Strategies and Equity Risk: From Diversifier to Hedge The goal of this paper is to analyze the equity risk hedging capabilities of CTA Trend Following (TF) strategies and to evaluate enhancements that would stabilize their hedging characteristics to equities. With real yields on US treasuries below zero, institutions are pushing the envelope to find new sources of return, Alpha and risk. More complex, but less liquid and less transparent, new investment conduits such as hedge funds have hidden the usually apparent equity market risk, as measured by volatility, by converting it in the form of tail risk and negative skew. Fixed Income has been extremely stable in the past 30 years and not many worry or care to hedge exposure to it yet. Equities, on the other side, have had some large cycles and drawdowns, which include some over 50. Although it is now in the form of tail risk, rather than old fashioned volatility, most investors would still like to hedge the residual equity risk that is now the core risk in almost every portfolio including hedge funds and fund of hedge funds. The DJCS HFI Dedicated Short Bias (Short Biased Index) has been extremely costly with a negative true Alpha of around -5.5 a year to the SP500. Timing the overall equity market on a discretionary or fundamental basis has not worked for most. Put option buying is extremely costly despite the low implied volatility of the equity markets and it only rewards sporadically due to the negative skew of equities. A profitable or at least cheaper hedge would be most welcome and there still seems to be some hope that TF can effectively hold this responsibility. We will offer some enhancements that will make the correlation of TF to equities significantly negative in order to stabilize this relationship. Despite strong performance during equity drawdowns, TF has been used (and sized) only as a diversifier in portfolios, not as a hedge. This could be due to: 1) A lack of model transparency and understanding, 2) High volatility that sometimes correlates to equities, and 3) Neutral rather than negative long term correlation to equities. In this paper, we will: 1) Analyze the ability of TF to improve a hedge fund portfolios risk adjusted returns and drawdowns, 2) Explore the increase in correlation of TF managers to equities and the reduction in their equity hedging characteristics over time, 3) Specifically analyze the impact of Fixed Income in TF portfolios and its role in TF hedging of equities, 4) Estimate the ability of TF ex-Fixed Income to hedge equity drawdowns across trading time frames and trading styles, 5) Explore the use of TF as a timing filter for equity indices, and 6) Enhance a diversified TF portfolio with covariance filtering to stabilize its ability to hedge equity risk. Click here for full article Nigol Koulajian, Quest Partners LLC Paul Czkwianianc, Quest Partners LLC Do Hedge Funds Provide Liquidity Evidence from Their Trades The paper provides significant evidence of limits of arbitrage in the hedge fund sector. Using unique data on institutional transactions, we show that the price impact of hedge fund trades increases when aggregate conditions deteriorate. The peak in trading impatience is reached during the financial crisis. The finding is consistent with arbitrageurs withdrawal from liquidity provision following a tightening in funding liquidity. Compared to other institutions in our data, hedge funds display the largest sensitivity of trading costs to aggregate conditions. We pin down this effect to a subset of hedge funds whose leverage, lack of share restrictions, asset illiquidity, and low reputational capital make them particularly exposed to funding constraints. These characteristics appear to negatively impact hedge funds trading performance when times get worse. Click here for full article Francesco Franzoni, Professor of Finance, University of Lugano Institute of Finance Alberto Plazzi, Assistant Professor, University of Lugano - Institute of Finance The Returns to Carry and Momentum Strategies We find that global time series carry strategies (across bonds, commodities, currencies, equities and metals) can be explained by a set of lagged macroeconomic variables. The payoffs to carry strategies disappear once futures returns are adjusted for their predictability based on these macroeconomic variables. On the other hand, momentum strategies are only weakly affected by lagged macroeconomic variables but are significantly related to measures of hedge fund capital flow. When studying these two findings together and over time we find that while momentum strategies were highly co-moving with carry strategies and therefore business cycle predictors between 1994 and 2002, when Hedge Fund AUM was low, correlation has since decreased. The decrease in correlation has coincided with significant increases in hedge fund AUM, and limits to arbitrage have become more relevant in explaining momentum returns. We embed these findings within a broad empirical investigation of time series carry and momentum strategies across 55 futures contracts spanning the asset classes bonds, currencies, commodities, equities and metals. Our results provide a possible avenue for identification strategies to disentangle the role of limited arbitrage effects on futures returns and systematic risks that are associated with time-varying expected returns in explaining momentum returns. Click here for full article Jan Danilo Ahmerkamp, Imperial College Business School James Grant, Imperial College Business School Crises, Liquidity Shocks, and Fire Sales at Hedge Funds We investigate hedge fund stock trading from 1998-2010 to test for fire sales. While funds with high capital outflows sell large amounts of stock during crises, these funds also buy stock, rather than using all the proceeds to fulfill redemptions. Further, funds with large outflows rarely sell the same stocks at the same time. For the relatively few stocks that are sold en masse, there is no evidence of price pressure, largely because hedge funds overwhelmingly choose to sell their most liquid, largest, and bestperforming stocks. We provide new and compelling evidence that hedge funds neither engage in nor induce fire sales, since their well-diversified portfolios allow them to cherry-pick the most appropriate stocks to sell during crises. Click here for full article Nicole Boyson, Northeastern University Jean Helwege, University of South Carolina Jan Jindra, Ohio State University DrawdownBased Stop-Outs and the Triple Penance Rule We develop a framework for informing the decision of stopping a portfolio manager or investment strategy once it has reached the drawdown or time under water limit associated with a certain confidence level. Under standard portfolio theory assumptions, we show that it takes three times longer to recover from the maximum drawdown than the time it took to produce it, with the same confidence level (triple penance rule). We provide a theoretical justification to why hedge funds typically set less strict stop-out rules to portfolio managers with higher Sharpe ratios, despite the fact that they should be expected to deliver superior performance. We generalize this framework to the case of first-order serially-correlated investment outcomes, and conclude that ignoring the effect of serial correlation leads to a gross underestimation of the downside potential of hedge fund strategies, by as much as 70. We also estimate that some hedge funds may be firing more than three times the number of skillful portfolio managers, compared to the number that they were willing to accept, as a result of evaluating their performance through traditional metrics, such as the Sharpe ratio. We believe that our closed-formula compact expression for the estimation of drawdown potential, without having to assume IID cashflows, will open new practical applications in risk management, portfolio optimization and capital allocation. The Python code included confirms the accuracy of our solution. Click here for full article David H. Bailey, Complex Systems Group Leader, Lawrence Berkeley National Laboratory Marcos Lpez de Prado, Head of Global Quantitative Research, Tudor Investment Corporation and Research Affiliate, Lawrence Berkeley National Laboratory The Value of Funds of Hedge Funds: Evidence from their Holdings We examine the value of Funds-of-Hedge-Funds (FoFs) using a hand-collected database of the funds hedge fund holdings. This holdings level data allows us to examine the determinants of hedge fund selection by FoFs, as well the ability to gauge the FoFs skill at hiring and firing managers. We find that FoFs hire hedge funds that are more difficult for individual investors to access, all else equal. FoFs hire larger, younger hedge funds with more restrictive share liquidity and higher minimum investments. Contrary to the previous literature, we do not find that FoFs perform worse than their single manager peers. Rather, we find evidence that a primary source of FoF value comes via skillful monitoring of their underlying hedge fund investments after the hire date. Specifically, we find that hedge funds that are held by FoFs are less likely to fail. The hazard rate for hedge funds held by FoFs is 57 lower than comparable hedge funds. Further, funds fired by FoFs are more likely to underperform and subsequently fail more often indicating FoFs have skill in their firing decisions. Click here for full article Adam L. Aiken, Quinnipiac University Christopher P. Clifford, University of Kentucky Jesse Ellis, University of Alabama Trading Losses: A Little Perspective on a Large Problem Big losses by traders are back in the news. In September the trial of former Union Bank of Switzerland (UBS) derivatives trader Kweku Adoboli opened in London with jury selection. Adoboli stands accused of four counts of fraud and false accounting in connection with losses of 2.3 billion on apparently unauthorized equity derivatives trades in 2011. The trial comes not long after JPMorgan Chases credit derivatives tradersincluding Bruno Iksil, known as the London Whale due to the size of his positions lost an estimated 7.5 billion (5.8 billion in realized losses in addition to 1.7 billion yet to come) on apparently authorized credit default swap trades. Since 1990, there have been 15 instances when traders lost at least 1 billion (in 2011 dollars). Trading losses of this size are uncommon but matter when they occur. Shareholders suffer losses, counterparties are exposed to potential settlement failure in over-the-counter markets, bank regulators face the prospect of individual bank insolvencies or even systemic problems in the financial markets, and the public is always on the hook when a bailout is deemed necessary. Click here for full article James R. Barth, Senior Finance Fellow, Milken Institute Donald McCarthy, Consultant, Econ One Research Exploring Uncharted Territories of the Hedge Fund Industry: Empirical Characteristics of Mega Hedge Fund Firms This paper investigates mega hedge fund management companies that manage over 50 of the industrys assets, incorporating previously unavailable data from those that do not report to commercial databases. We document similarities among mega firms that report performance to commercial databases compared to those that do not. We show that the largest divergences between the performance reporting and non-reporting can be traced to differential exposure to credit markets. Thus the performance of hard-to-observe mega firms can be inferred from observable data. This conclusion is robust to delisting bias and the presence of serially correlated returns. Click here for full article Daniel Edelman, Head of Quantitative RD, Alternative Investment Solutions William Fung, Visiting Research Professor, London Business School David A. Hsieh, Professor, Fuqua School of Business, Duke University Revisiting Kats Managed Futures and Hedge Funds: A Match Made in Heaven In November 2002, Cass Business School Professor Harry M. Kat, Ph. D. began to circulate a Working Paper entitled Managed Futures and Hedge Funds: A Match Made In Heaven. The Journal of Investment Management subsequently published the paper in the First Quarter of 2004. In the paper, Kat noted that while adding hedge fund exposure to traditional portfolios of stocks and bonds increased returns and reduced volatility, it also produced an undesired side effect - increased tail risk (lower skew and higher kurtosis). He went on to analyze the effects of adding managed futures to the traditional portfolios, and then of combining hedge funds and managed futures, and finally the effect of adding both hedge funds and managed futures to the traditional portfolios. He found that managed futures were better diversifiers than hedge funds that they reduced the portfolios volatility to a greater degree and more quickly than did hedge funds, and without the undesirable side effects. He concluded that the most desirable results were obtained by combining both managed futures and hedge funds with the traditional portfolios. Kats original period of study was June 1994-May 2001. In this paper, we revisit and update Kats original work. Using similar data for the period June 2001December 2011, we find that his observations continue to hold true more than 10 years later. During the subsequent 10.5 years, a highly volatile period that included separate stock market drawdowns of 36 and 56, managed futures have continued to provide more effective and more valuable diversification for portfolios of stocks and bonds than have hedge funds. Click here for full article Thomas N. Rollinger, Director of New Strategies Development, Sunrise Capital Partners Segmenting Supply Chain Risk Using ECTRM Systems: Unifying Theory of Commodity Hedging and Arbitrage The complexity of managing physical and financial risk throughout the commodity production, processing and merchandising chain presents numerous challenges. To solve this problem commercials are increasingly turning to Energy and Commodity Transaction Risk Management (ECTRM) systems. Still, risk management functionality within these systems is reported as falling short of requirements. Our discussion, in response, provides an economic framework for developing commodity risk policy and evaluation tools. In doing so, we unify the theory of normal backwardation with theory of storage, macroeconomic general equilibrium with multiple equilibria and microeconomic agents, basis trading with arbitrage strategies, and the hedging response function with elasticinelastic supply-demand economics. After establishing axioms and rules of inference, we investigate the agribusiness supply chain to help illustrate application. Click here for full article Michael Frankfurter, Partner, IQ3 Solutions Group Send in the Clones Hedge Fund Replication Using Futures Contracts Replication products strive to offer investors some of the benefits of hedge funds while avoiding their high fees, illiquidity, and opacity. We test whether a replication algorithm can deliver the diversification and high Sharpe ratio that investors seek. Our procedure constructs monthly clone returns out-of-sample using fully collateralized futures positions held for one-month, with position sizes determined using rolling window regressions. Clone returns have high correlation with their hedge fund targets, indicating replication is possible. Clones also have high correlation with a buy-and-hold investment in stocks, however, and neither the targets nor their clones demonstrate successful time variation in factor loadings. Click here for full article Nicolas P. B. Bollen, Owen Graduate School of Management - Vanderbilt University Gregg S. Fisher, President and Chief Investment Officer, Gerstein Fisher The Life Cycle of Hedge Funds: Fund Flows, Size, Competition, and Performance This paper analyzes the life cycles of hedge funds. Using the Lipper TASS database it provides category and fund specific factors that affect the survival probability of hedge funds. The findings show that in general, investors chasing individual fund performance, thus increasing fund flows, decrease probabilities of hedge funds liquidating. However, if investors chase a category of hedge funds that has performed well (favorably positioned), then the probability of hedge funds liquidating in this category increases. We interpret this finding as a result of competition among hedge funds in a category. As competition increases, marginal funds are more likely to be liquidated than funds that deliver superior risk-adjusted returns. We also find that there is a concave relationship between performance and lagged assets under management. The implication of this study is that an optimal asset size can be obtained by balancing out the effects of past returns, fund flows, competition, market impact, and favorable category positioning that are modeled in the paper. Hedge funds in capacity constrained and illiquid categories are subject to high market impact, have limited investment opportunities, and are likely to exhibit an optimal size behavior. Click here for full article Mila Getmansky, Ph. D. Assistant Professor, Isenberg School of Management, University of Massachusetts Managed Futures and Volatility: Decoupling a Convex Relationship with Volatility Cycles 2011 was a period fraught with turbulence in financial markets. Managed Futures strategies, despite their common association with long volatility, did not fare as well as some might have expected amidst this turbulence. A closer look at volatility, what it means to be long or short volatility, and Managed Futures performance across different regimes in volatility can provide insights into the strategys complex or convex relationship with volatility. A closer look at the cycles of volatility demonstrates that Managed Futures is able to capture crisis alpha for investors over negative volatility cycles, while in certain turbulent periods they also face some of the same short volatility risks that plague many hedge fund strategies. Click here for full article Kathryn M. Kaminski, PhD. CIO and Founder, Alpha K Capital LLC Lessons from the MF Global Collapse In her paper, Ms. Till presents an organized series of events leading up to the downfall of MF Global and subsequently the eighth largest filing of bankruptcy in U. S. history. Click here for full article Hilary Till, Principal, Premia Risk Consultancy Contrarian Hedge Funds and Momentum Mutual Funds We study how hedge fund performance is related to the presence of mutual funds operating in the same asset class. We argue that hedge funds are able to exploit the constraints of the mutual funds related to both the high correlation between flows and value of investment and their tendency to cater to investors by invest in stocks that are hot. Hedge funds exploit these features of the mutual funds, especially the domestic ones. We show that the performance of the hedge funds is significantly higher when mutual fund market coverage is higher. This effect is mostly concentrated among domestic mutual funds and is stronger the higher investment horizon of the hedge funds. A high presence of the mutual fund industry helps to explain 28 of the yearly hedge fund performance. Hedge funds are more likely to be alpha in the presence of a high degree of mutual fund market coverage and their probability of survival is higher. Hedge funds employ contrarian strategies at the very moment in which mutual funds ride market expectations. The degree by which hedge funds react to changes in public information is directly related to the degree of mutual fund market coverage. Click here for full article Massimo Massa, Rothschild Chaired Professor of Banking, Professor of Finance at INSEAD Andrei Simonov, Associate Professor Finance, Eli Broad Graduate School of Mgmt. MSU and CEPR and Shan Yan, Eli Broad Graduate School of Mgmt. MSU Revisiting Stylized Facts About Hedge Funds - Insights from a Novel Aggregation of the Main Hedge Fund Databases This paper presents new stylized facts about hedge fund performance and data biases based on a novel database aggregation. Our aim is to improve the ability of researchers in this literature to compare results across different studies by highlighting differences between databases and their effect on previously documented results. Using a comprehensive hedge fund database, we document economically important positive risk-adjusted performance of the average fund while differences in magnitude are due to differences in fund size and data biases, but not differences in fund risk exposures. However, this performance does not persist in any of databases when using value-weighted returns a finding which we show to be linked to fund size and more pronounced biases in certain databases. Hedge funds with greater managerial incentives, smaller funds and younger funds outperform while hedge funds with strict share restrictions are not associated with higher risk-adjusted returns. Overall we find that several stylized facts are sensitive to the choice of the database. To avoid biases, it is therefore important to use a high quality consolidated database such as the one used in this paper. Click here for full article Juha Joenvr, University of Oulu, Robert Kosowski, Imperial College Business School, Imperial College, and Pekka Tolonen, University of Oulu and GSF Regulated Alternative Funds: The New Conventional In what is beginning to seem like the distant past, a clear line had once separated traditional and alternative investment products. But as investors faced multiple market crises and rising volatility, fund managers responded with a range of innovative products designed to better manage volatility and offer alternatives to long-only investing in traditional markets. As investor segments and products converge, alternative strategies are increasingly being packaged within registered fund structures originally designed for retail buyers, but also used by institutions and other fund selectors. A growing number of alternative funds are being launched as UCITS (Undertaking for Collective Investment in Transferable Securities), a fund vehicle accepted for sale in countries throughout the European Union and many other nations. Alternatives also are becoming more prominent within U. S. mutual funds (registered under the Investment Company Act of 1940 or, in some cases, under the Securities Act of 1933). The growing popularity of these funds is clearly evident in strong asset flows, product proliferation, and a growing presence in Asian markets. One factor driving the popularity of alternative UCITS and mutual funds is the detailed requirements around risk measurement and management, liquidity, counterparty diversification, and limits on leverage. However, the increased use of derivatives and their associated counterparty and operational risks continue to concern investors and regulators alike. The regulatory environment remains in flux as new rules on hedge funds take shape in Europe, and as the framework around UCITS gets reviewed amidst the expansion of more complex products. Yet this too is encouraging further innovation. Meanwhile, new frontiers are emerging. Europe and the U. S. have led the way in the adoption of alternative strategies, but other markets are developing a taste for non-correlated funds. One of the biggest retail fund launches in Japan this year was an alternative managed futures strategy. Demand for alternatives is growing among sovereign wealth funds and national pension funds in Asia, Latin America and the Middle East. Wealthy individual investors around the world are also expected to consider alternatives more seriously after their recent experiences with traditional asset classes. Although U. S. institutions and high net worth individuals (HNWIs) can access hedge funds and alternatives directly, they may see the benefits of sourcing such strategies through regulated structures, just as their European counterparts have done. Click here for full article contributed by SEI Global Services, Inc. - Investment Manager Services division Investor Behavior, Hedge Fund Returns and Strategies We quantify risks associated with investor behavior using several asset pricing models and hedge fund data. After finding that irrational sentiments play a role in hedge fund returns, our multi-beta CAPM estimations reveal that beta belonging to irrational component varies around .037 for risky hedge funds and .018 for relatively less risky ones. Investors can use this irrational beta to gauge the extent of irrational sentiments prevailing in markets and compare the values in turbulent periods with more tranquil periods to re-adjust their portfolios and use these betas as an early warning sign. It can also guide investors in avoiding those funds that display greater irrational behavior. Our approach offers investors a solid quantitative rather than subjective approach in assessing the oncoming of a financial downturn and in doing so better protect against unpredicted losses that may result from irrational trading. Click here for full article Andres Bello, University of Texas-Pan American, Gke Soydemir, California State University Stanislaus, and Jan Smolarski, University of Texas-Pan American A Review of the G20 Meeting on Agriculture: Addressing Price Volatility in the Food Markets Food price volatility has spiked to levels last seen in the 1970s. For low-income countries, food price hikes, such as have occurred recently, tend to significantly increase the incidence of intra-state conflicts, according to IMF research. Therefore, it was fitting and proper that the G20 meeting of agricultural ministers, which was hosted by France at the end of June, put food insecurity squarely at the top of the 2011 G20 agenda. The June G20 agricultural meeting resulted in an action plan that will be carried forward at the Cannes Summit of G20 leaders in November. The 2007-2008 food crisis, and the resumption of more recent food price spikes, clearly have a number of causes, which will require a great deal of political courage to address and ameliorate. That said, in reviewing over a century of commodity price volatility, there are episodes of low volatility and high volatility, which would indicate that this may be a pattern of recurrent phenomena. As a result, it may be wise to focus on how to manage price volatility rather than believe that this phenomenon can be eradicated, as noted by Dr. Pierre Jacquet of the Agence Franaise de Dveloppement. The World Bank, for example, has launched a program that will assist and encourage companies in developing countries to buy insurance in the derivative markets against sudden changes in food prices, according to the Financial Times. Notably, the action plan, agreed to by the G20 agricultural ministers in June, largely embraces marketbased solutions to the problems of food insecurity and food volatility, amongst its many action items. In contrast to the benign view of commodity derivatives trading, French president Nicolas Sarkozy stated at the opening of the June G20 agricultural meeting that the financialization of agriculture markets. is a contributory factor in price volatility and that this was a priority issue for regulators to address. Ultimately, whether commodity derivatives trading (and speculation) increases price volatility is an empirical question. Assuming that one has access to transparent marketparticipant, position, and price data, one can carry out empirical studies to confirm or challenge this assumption. In reviewing the evidence so far regarding the impact of commodity trading, speculation, and index investment on price volatility, this report finds that the evidence for the prosecution does not seem sufficiently compelling at this point. That said, given the disastrous performance of financial institutions in 2007 and especially, in 2008, it is fully appropriate to revisit ones assumptions regarding the economic usefulness of all manner of financial instruments, including commodity derivatives contracts. This papers conclusion is to agree with the World Bank president who has said, the answer to food price volatility is not to prosecute or block markets, but to use them better. And one sensible use of financial engineering is for hedging volatile food price risk with appropriate commodity derivatives contracts. Click here for full article Hilary Till, Research Associate, EDHEC-Risk Institute, Principal, Premia Capital Management, LLC Beware of Stranger Originated Life Insurance This issue summarizes two recent Delaware court decisions determining the validity of life insurance policies under a stranger originated life insurance program. These decisions are relevant to hedge funds and other investors that purchase life insurance policies for investment purposes. Click here for full article Christopher Machera, Hedge Funds Returns Hedge Fund Performance and Liquidity Risk This paper demonstrates that liquidity risk as measured by the covariation of fund returns with unexpected changes in aggregate liquidity is an important predictor of hedge fund performance. The results show that funds that significantly load on liquidity risk subsequently outperform low-loading funds by about 6.5 annually, on average, over the period 1994-2009, while negative performance is observed during liquidity crises. The returns are independent of share restriction, pointing to a possible imbalance between the liquidity a fund offers its investors and the liquidity of its underlying positions. Liquidity risk seems to account for a substantial part of hedge fund performance. The results suggest several practical implications for risk management and manager selection. Click here for full article Ronnie Sadka, Boston College, Carroll School of Management The Importance of Business Process Maturity and Automation in Running a Hedge Fund: Know Your Score and Get to the 8220Sweet Spot8221 Over the past two years, Merlin has published several white papers that are designed to highlight and help managers implement industry best practices - from shoring up their business model to identifying their target investors based on the development stage of their fund. In continuing with this theme, our latest white paper discusses the importance of business process automation within an asset management firm at all stages of development and how these organizations can measure their current processes versus investor expectations. It is critical that business process maturity and automation evolve over the life of a fund in a disciplined and forward-looking manner as they are key components to maintaining a scalable business. As a firm grows, processes that are maintained manually or with home-grown spreadsheets will stress and may break, adding business risk and overhead to a firms operations. This concept is especially important for fund managers because they cannot afford distractions and errors caused by broken or manual processes that affect the viability of the fund. Click here for full article This paper proposes a new methodology to evaluate the prevalence of skilled fund managers. We as-sume that each funds alpha is drawn from one of several distributions based on its skill level (e. g. good, neutral, or bad). For a sample of funds, the composite distribution of alpha is thus a mixture of the underlying distributions. We use the ExpectationMaximization algorithm to infer the proportion of funds of different skill levels and estimate the conditional probability each fund is of a skill type given estimated alpha. Applying our approach to hedge funds over 1994-2009, we find that about 50 of funds have positive skill. Funds identified by our approach as superior persistently deliver high out-of-sample alpha over the next three years. While investors chase past performance, inflows do not reduce fund performance in the near future. Click here for full article Yong Chen, Assistant Professor of Finance, Virginia Tech Michael Cliff, Vice President, Analysis Group Haibei Zhao, PhD student, Georgia State University Diversification in Funds of Hedge Funds: Is It Possible to Overdiversify Many institutions are attracted to diversified portfolios of hedge funds, referred to as Funds of Hedge Funds (FoHFs). In this paper we examine a new database that separates out for the first time the effects of diversification (the number of underlying hedge funds) from scale (the magnitude of assets under management). We find with others that the variance-reducing effects of diversification diminish once FoHFs hold more than 20 underlying hedge funds. This excess diversification actually increases their left-tail risk exposure once we account for return smoothing. Furthermore, the average FoHF in our sample is more exposed to left-tail risk than are nave 1N randomly chosen portfolios. This increase in tail risk is accompanied by lower returns, which we attribute to the cost of necessary due diligence that increases with the number of hedge funds. Click here for full article Stephen J. Brown, New York University Stern School of Business Greg N. Gregoriou, State University of New York (Plattsburgh) Razvan Pascalau, State University of New York (Plattsburgh) The Market Timing Skills of Hedge Funds During the Financial Crisis The performance of a market timer can be measured through the Treynor and Mazuy (1966) model, provided the regression alpha is properly adjusted by using the cost of an option-based replicating portfolio, as shown by Hubner (2010). We adapt this approach to the case of multi-factor models with positive, negative or neutral betas. This new approach is applied on a sample of hedge funds whose managers are likely to exhibit market timing skills. We stick to funds that post weekly returns, and analyze three hedge fund strategies in particular: longshort equity, managed futures, and funds of hedge funds. We analyse a particular period during which the managers of these funds are likely to magnify their presumed skills, namely around the financial and banking crisis of 2008. Some funds adopt a positive convexity as a response to the US market index, while others have a concave sensitivity to the returns of an emerging market index. Thus, we identify positive, mixed and negative market timers. A number of signs indicate that only positive market timers manage to acquire options below their cost, and deliver economic significant performance, even in the midst of the financial crisis. Negative market timers, by contrast, behave as if they were forced to sell options without getting the associated premium. We interpret this behavior as a possible result of fire sales, leading them to liquidate positions under the pressure of repemption orders, and inducing negative performance adjusted for marketing timing. Click here for full article Over the past forty years or so, actively managed quantitative equity strategies have become a growing presence within the asset management industry, with numerous competing firms offering a relatively standardized set of products. The vast majority of managers in the benchmark-relative quantitative equity space, which has the largest pool of quant equity assets, relies on what this paper terms the generic paradigm: valuation and momentum alpha forecasts, highly standardized and often commercially available risk models, and mean-variance portfolio optimization tools. This paper argues that each element in this generic approach to quantitative equity management has become vulnerable to competitive pressure and changes in the nature of global equity trading. As a result, the performance of quant equity strategies in the benchmarkrelative space has suffered over the past three years, and generic quant managers are likely to face considerable challenges in attracting additional assets going forward. Managers that eschew the generic approach by deploying more diversified sources of alpha, proprietary risk tools, and innovative approaches to dynamic portfolio optimization are likely to fare better, but to the extent they do, it will likely be on a far smaller scale in terms of aggregate assets under management. Click here for full article The investment community has heard and is following the siren call of Alternative Investments. Their seductive return properties and the mystique surrounding how they make money has tantalized investors resulting in exponential growth of assets under management. The key issue remains that dynamic strategies in Alternative Investments perform differently and are exposed to a different set of underlying risks than traditional investment vehicles. By taking a closer look into times when markets are stressed or in crisis (often called tail risk events), this investment primer will explain how some Alternative Investment strategies provide crisis alpha opportunities while others suffer substantial losses during times of market stress. Crisis alpha opportunities are profits which are gained by exploiting the persistent trends that occur across markets during crisis. By gaining a better understanding of what happens during crisis, the underlying risks in Alternative Investment strategies can be divided into three key groups: price risk, credit risk, and liquidity risk. By understanding and classifying Alternative Investments according to their underlying risks, performance metrics commonly used in this industry can be explained in simpler terms helping investors to use them more effectively as part of a larger investment portfolio strategy or philosophy. Click here for full article Using the hedge fund industry as our laboratory, we examine whether bank bailout programs initiated in seven countries during the 2007-2009 global financial crisis reduced contagion risk in the financial system. We test for the likely channel of achieving any such benefits. Reduced fund liquidation probabilities followed bailouts of financial firms offering prime brokerage, custodial and investment advisory services to hedge funds in the short term. However, bailouts did not lead to increased capital levels in bank-related hedge funds. Collectively, our evidence suggests that bailouts helped stem the propagation of contagion through information channels rather than directly through counterparty funding. Click here for full article Robert W. Faff, University of Queensland Jerry T. Parwada and Kian M. Tan, University of New South Wales The Business of Running a Hedge Fund - Best Practices for Getting to the 8216Green Zone8217 2010 was a transformative year for the hedge fund industry and served as a strong reminder that managing money is not the same as running a business. The significant number of small, mid-size and large fund closures already in 2011 provides continuing evidence of the material, multifaceted challenges facing operators of hedge fund businesses. Managers who understand the distinction between managing money and running a business and who execute both effectively are best positioned to maintain a sustainable and prosperous business - to achieve not only investment alpha, but also enterprise alpha. This paper examines the hedge fund business model and is based on our observations and numerous conversations with hedge fund managers, investors and industry experts. Our goal is to share the best practices we have witnessed among green zone hedge funds that are well positioned for sustainability across a variety of economic and market conditions. Click here for full article This paper introduces the portfolio construction technique of OverlayUnderlay Alternatives Blend of CTAs (overlay) and Hedge Funds (underlay). The well-established result, in both industry literature and practice, that adding alternatives to a traditional-only portfolio leads to superior risk-adjusted returns is re-established in this paper. Additionally, it is demonstrated that invoking an overlayunderlay of with CTAs and hedge fundsattainable due to the cash efficiency of futures-is better than investing in either hedge funds or CTAs alone. This finding helps to establish that a hedge funds versus CTAs attitude should be replaced by hedge funds and CTAs. Different nuances of how to blend hedge funds with CTAs are explored. Click here for full article Hedge funds are in a better position than mutual funds in timing systematic risk factors because they are less regulated and thus have more freedom to use leverage and short sales. To examine whether factor timing is a source of hedge fund alpha, this paper decomposes excess return generated by hedge funds during 1994 - 2008 into security selection, factor timing, and risk premium using the new measure of performance developed by Lo (2008). I find that security selection on average explains most of the excess return generated by hedge funds, and the contributions of factor timing and risk premium are trivial. In the U. S. equity market, hedge funds on average show negative timing ability especially in recent years that include the financial crisis period of 2007-08. Click here for full article In this paper we study the drawdown status of hedge funds as a hedge fund characteristic related to performance. A hedge funds drawdown status is the decile to which the fund belongs in the industrys drawdown distribution (at a given point in time). Economic reasoning suggests that both the current level and the past evolution of a funds drawdown status are informative of key fund aspects, including the managers talent, as well as fund investors assessment of the fund, and, hence, are predictive of future performance. The analysis delivers four completely new insights on hedge funds. First, the presence of insurance selling (shorting deep out-of-the-money puts) in the industry is large enough to make portfolios of low drawdown funds weak performers, in general, and bad performers in times of turmoil. Second, the market operates a Darwinian selection process according to which funds running large drawdowns for a prolonged period of time (survivers) are managed by truly talented traders who deliver outstanding future performance. Third, a completely new dimension of risk arises as a distinctive feature of hedge funds: risk conditional on survival is tantamount to outstanding performance. Fourth, drawdown status analysis raises serious concerns about the role played by other hedge fund characteristics In this paper, we examine the hypothesis that hedge fund managers obtain an informational advantage in securities trading through their connections with lobbyists. Using datasets on hedge fund long-equity holdings and lobbying expenses from 1999 to 2008, we show that hedge funds that are connected to lobbyists tend to trade more heavily in politically sensitive stocks than those that do not. We further show that connected hedge funds perform significantly better on their holdings of politically sensitive stocks. Using a difference-indifferences approach, we find that connected hedge funds, relative to non-connected ones, outperform by 1.6 to 2.5 percent per month in politically sensitive stocks, relative to non-political stocks. These results suggest that hedge fund managers exploit private information, which can be an important source of their superior performance. Our study provides evidence for the ongoing debate about regulatory reform governing informed trading based on private political information. Click here for full article Meng Gao, Risk Management Institute, National University of Singapore Jiekun Huang, Department of Finance, NUS Business School Are All Currency Managers Equal We present a post-sample study of currency fund managers showing that alpha hunters and especially alpha generators are more effective in providing diversification benefits for a global equity portfolio than currency managers who earn beta returns from popular style strategies or managers with high total returns regardless of their source. Our study is unusual in that we measure the alpha from currency investing using a simple factor model rather than based on total excess returns, that we use rankings of currency managers from an earlier published study and examine their performance truly out-of-sample, and finally that our data reflect actual trades and returns earned by these managers, so the data are not contaminated by the usual biases in hedge fund databases. Our results suggest that a factor model approach to analyzing currency fund returns, coupled with the revealed degree of alpha and beta persistence in our data, offer institutional investors with large equity exposure a useful tool for improving their performance. Click here for full article In spite of a somewhat disappointing performance throughout the crisis, and a series of high profile scandals, investors are showing interest in hedge funds. Still, funds of hedge funds keep on experiencing outflows. Can this phenomenon be explained by the failure of funds of hedge funds managers to deliver on their promise to add value through active management, or is it symptomatic of a move toward greater disintermediation in the hedge fund industry Little attention has been paid so far to the added-value, and the sources of the added-value, of funds of hedge funds. The lack of transparency that is characteristic of the hedge funds arena and makes the performance attribution exercise particularly challenging is probably an explanation. The objective of this article is to fill in the gap. We introduce to this end a return-based attribution model allowing for a full decomposition of funds of hedge funds performance. The results of our empirical study suggest that funds of hedge funds are funds of funds like others. Strategic Allocation turns out to be a crucial step in the investment process, in that it not only adds value over the long-term, but most importantly, it brings resilience precisely when investors need it the most. Fund Picking, on the other hand, turns out to be a double-edged sword. Overall, funds of hedge funds appear to succeed in overcoming their double fee structure, and add value across market regimes, although to varying degrees and in different forms. Click here for full article Serge Darolles, Ph. D. Research Fellow, CREST and Deputy Head RD, Lyxor Asset Management Mathieu Vaissi, Ph. D. Research Associate, EDHEC-Risk Institute and Senior Portfolio Manager, Lyxor Asset Management Hedge Fund Leverage We investigate the leverage of hedge funds using both time-series and cross-sectional analysis. Hedge fund leverage is counter-cyclical to the leverage of listed financial intermediaries and decreases prior to the start of the financial crisis in mid-2007. Hedge fund leverage is lowest in early 2009 when the market leverage of investment banks is highest. Changes in hedge fund leverage tend to be more predictable by economy-wide factors than by fund-specific characteristics. In particular, decreases in funding costs and increases in market values both forecast increases in hedge fund leverage. Decreases in fund return volatilities also increase leverage. Click here for full article Andrew Angy, Columbia University and NBER Sergiy Gorovyyz, Columbia University Gregory B. van Inwegenx, Citi Private Bank Regular(ized) Hedge Fund Clones This article addresses the problem of portfolio construction in the context of efficient hedge fund investments replication. We propose a modification to the standard la Sharpe style analysis where we augment the objective function with a penalty proportional to the sum of the absolute values of the replicating asset weights, i. e. the norm of the asset weights vector. This penalty regularizes the optimization problem, with significant impacts on the stability of the resulting asset mix and the risk and return characteristics of the replicating portfolio. Our results suggest that the norm-constrained replicating portfolios exhibit significant correlations with their benchmarks, often higher than 0.9, have a fraction, i. e. about 12 to 23, of active positions relative to those determined through the standard method, and are obtained with turnover which is in some instances about 14 of that for the standard method. Moreover, the extreme risk of the replicating portfolios obtained through the regularization method is always lower than that exhibited by currently available commercial hedge fund investment replication products. Click here for full article Daniel Giamouridis, Dept. of Accounting Finance, Athens University of Economics and Business Sandra Paterlini, Center for Quantitative Risk Analysis, Dept. of Statistics, LMU, Munich, Germany Dedicated Short Bias Hedge Funds - Just a one trick pony During the recent period of significant market unrest in 2007 and 2008 dedicated short bias (DSB) hedge funds exhibited extremely strong results while many other hedge fund strategies suffered badly. This study, prompted by this recent episode, investigates the DSB hedge funds performance over an extended sample period, from January 1994 to December 2008. Performance evaluation is carried out both initially at the individual fund level and then on an equally weighted dedicated short bias hedge fund portfolio using three different factor model specifications and both linear and nonlinear estimation techniques. We conclude that DSB hedge funds are indeed more than a one trick pony. They are a significant source of diversification for investors and produce statistically significant levels of alpha. Our findings are robust to the specification of traditional and alternative risk factors, nonlinearity and the omission of the flattering credit crisis period. Click here for full article Ciara Connolly, Dept. of Accounting, Finance Information Systems Mark C. Hutchinson, Dept. of Accounting, Finance Information Systems and Centre for Investment Research University College Cork Replicating Hedge Fund Indices with Optimization Heuristics Hedge funds offer desirable risk-return profiles but we also find high management fees, lack of transparency and worse, very limited liquidity (they are often closed to new investors and disinvestment fees can be prohibitive). This creates an incentive to replicate the attractive features of hedge funds using liquid assets. We investigate this replication problem using monthly data of CS Tremont for the period of 1999 to 2009. Our model uses historical observations and combines tracking accuracy, excess return, and portfolio correlation with the index and the market. Performance is evaluated considering empirical distributions of excess return, final wealth and correlations of the portfolio with the index and the market. The distributions are compiled from a set of portfolio trajectories computed by a resampling procedure. The nonconvex optimization problem arising from our model specification is solved with a heuristic optimization technique. Our preliminary results are encouraging as we can track the indices accurately and enhance performance (e. g. have lower correlation with equity markets). Click here for full article Manfred Gilli, University of Geneva and The Swiss Finance Institute Enrico Schumann, Gerda Cabej and Jonela Lula University of Geneva Absolute Returns Revisited The term absolute returns has been battered as well as misused by business and politics alike. We aim to clarify. The term stands for an investment philosophy that stands in stark contrast to financial orthodoxy. And thats a good thing. Market heterogeneity with moderately leveraged financial institutions reduces systemic risk. Market homogeneity with excessively leveraged institutions doesnt. After challenging some axioms of financial orthodoxy, we introduce PPMPT (Post-post-modern portfolio theory) as an alternative to mean-variance optimization. Click here for full article 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. The Kaplan-Meier estimator is used to compare survival times of listed and non-listed funds. The Cox proportional hazards model is used to make the same comparison, but by controlling for additional factors. The accelerated failure time (AFT) regression model is used to estimate the median survival time of hedge funds, based on values of explanatory variables. Listed hedge funds tend to be larger and adopt more conservative investment strategies than non-listed funds. Listed funds tend to survive roughly two years longer on average than non-listed funds, and this difference in longevity is persistent even after controlling for factors known to affect survival. Finally, we find that the failure rate of listed funds is substantially lower than that of non-listed funds, but only during the first five years of life. Click here for full article Greg N. Gregoriou, SUNY College at Plattsburgh - School of Business and Economics Franois-Serge Lhabitant, Kedge Capital Fund Management amp EDHEC Business School Fabrice Douglas Rouah, McGill University - Faculty of Management Merlins Necessary Nine: How to Raise and Retain Institutional Capital This article is based on a presentation by Ron Suber at the Feb. 18th event Hedge Funds: Getting to the Next Level By Ron Suber -- Not long ago, pre-2008, hedge fund managers held relative power over investors. Because demand for their products was so high across a range of strategies, they controlled the terms, often with little transparency and very favorable gating provisions. Recent market events and a general scarcity of investors has shifted the power to the investor. While raising and retaining institutional capital has always been challenging, in todays environment hedge fund managers must be more diligent than ever in clearly defining and explaining their process, controls and their differentiation. Worries about performance are now often eclipsed by other concerns such as volatility, liquidity, attribution, transparency and, of course, fraud. The following checklist - we call it the Merlin Necessary Nine - is designed to help hedge fund managers understand and articulate their edge to institutional investors. Click here for full article In the last 20 years, the amount of assets managed by quantitative and qualitative hedge funds have grown dramatically. We examine the difference between quantitative and qualitative hedge funds in a variety of ways, including management differences and performance differences. We find that both quantitative and qualitative hedge funds have positive risk-adjusted returns. We also find that overall, quantitative hedge funds as a group have higher s than qualitative hedge funds. The outperformance might be as high as 72 bps per year when considering all risk factors. We also suggest that this additional performance may be due to better timing ability. Click here for full article Ludwig Chincarini, CFA, Ph. D. Assistant Professor Department of Economics, Pomona College Lies of Capital Lines In this paper we examine in detail the qualitative effects caused by the investors sensitivity to mark-to-market and price of liquidity. This distorts CAPM-like portfolio construction causing the Capital Line to become curved and eventually inverted. We show that in the world of strongly concave and non-monotonous Capital Lines, pushing up return targets results in increasing risk but not in increasing return. This is due to the decreasing and eventually negative marginal returns per unit of risk. By chasing returns and prompting investment managers to deliver unsustainable performance, the investment community damages its own chances through a greedy search for yield. Besides negatively skewing the riskreturn characteristics, this also amplifies destabilizing pro-cyclical dynamics and increases the component of volatility, which is not accompanied by corresponding return. The latter has profound consequences for investment management and economic policy making. We examine the influence of non-linearity of the Capital Line on the cyclical volatility of capital market and short optionality negative gamma) profile, implicitly embedded in classical investment approach. We show how to mitigate this negative effect by including long volatility funds in the investment portfolio. We also discuss adverse selection bias among investment managers, created by the investors demand for high unsustainable returns. Since one can only hope that the behaviour of either capital allocators or investment managers will change, we argue that it is left up to regulators to take measures to limit the use of credit and leverage, and to control the self-enforcing mechanism of market destabilization. Click here for full article Kirill Ilinski, Fusion Asset Management Alexis Pokrovski, Laboratory of Quantum Networks, Institute for Physics, St-Petersburg State University Detecting Crowded Trades in Currency Funds The financial crises in 2008 highlights the importance of detecting crowded trades due to the risks they pose to the stability of the financial system and to the global economy. However, there is a perception that crowded trades are difficult to identify. To date, no single measure to capture the crowdedness of a trade or a trading style has developed. We propose a methodology to measure crowded trades and apply it to professional currency managers. Our results suggest that carry became a crowded trading strategy towards the end of Q1 2008, shortly before a massive liquidation of carry trades. The timing suggests a possible adverse relationship between our measure of style crowdedness and the future performance of the trading style. Crowdedness in the trend following and value strategies confirm this hypothesis. We apply our approach to currencies but the methodology is general and could be used to measure the popularity or crowdedness of any trade with an identifiable time series return. Our methodology may offer useful insights regarding the popularity of certain trades - in currencies, gold, or other assets among hedge funds. Further research in this area might be very relevant for investors, managers and regulators. Click here for full article Because many facets of the global oil markets have not been sufficiently transparent, it is unclear how much of the oil-price rally that peaked in July 2008 can be put down to speculation. This uncertainty has led to concerns that there was actually excessive speculation in the oil derivatives markets. In an effort to make the oil markets more transparent, the U. S. Commodity Futures Trading Commission has recently launched the Disaggregated Commitments of Traders report. This report includes three years of enhanced market-participant data for twenty-two commodity futures contracts. This report makes it possible to examine whether, over the last three years, speculative position-taking in the exchange-traded oil derivatives markets has been excessive relative to commercial hedging needs. We use a traditional metric for evaluating speculative position-taking and find that this position-taking does not appear to be excessive over the past three years when compared to the scale of commercial hedging at the time. Click here for full article The original Superstars versus teamwork (Nov. 8, 2007) was the first in a sequence of research pieces that have persuaded us that the best way to build portfolios of CTAs is to look for low correlation and place your bets there. Correlations appeared to be predictable, especially for portfolios, while Sharpe ratios did not. We found that choosing managers to maximize the portfolios Sharpe ratio yielded better results than did choosing managers based on their individual Sharpe ratios, and the difference was statistically significant. The teamwork portfolios in that research were constructed, however, using conventional mean variance analysis that was based on estimated means, volatilities and correlations. And, when we applied it to the construction of a teamwork index, we found out, quite by accident, that it was unusually sensitive to minor changes in the eligible set. Too sensitive, for that matter, which led us back to the question of just how one should approach the selection of managers for a teamwork portfolio. The flaw, we found, was not in giving past correlations a role in shaping our teamwork portfolios, but in allowing past returns to have any effect at all. As you will see on page 3 (Exhibit 3), past correlations for large enough portfolios of CTAs can be highly predictable while past returns and, by extension, past Sharpe ratios are not. In this new look at that research, we changed two things. First, we formed teamwork portfolios using three different rules. Second, we allowed ourselves to construct new portfolios each year without regard to the costs of dropping and adding managers. The three teamwork rules were these. One used the conventional meanvariance approach to maximize the Sharpe ratio of the portfolio. The other two used only correlations and gave no weight at all to past returns. The first of these, which is illustrated in Exhibit 1, simply calculated the probability that a CTA would have been in a low-average correlation portfolio and chose those with the highest probabilities of inclusion. The second ranked CTAs using each CTAs average return correlation with all others CTAs in the eligible set and chose those with the lowest average correlations. The superstar portfolios were formed by identifying those CTAs who had, over the previous three years, produced the highest individual Sharpe ratios. In a nutshell, what we found is this. First, the teamwork portfolios gave us an edge over the superstar portfolios. While the superstar portfolios delivered the highest Sharpe ratio in two of the eight years, they came in dead last the other six years. In contrast, the correlation-only teamwork portfolios came in first or second in five of the eight years, and came in last only once. Second, the correlation-only approaches gave us two benefits over the conventional meanvariance approach. For one thing, they are more robust. The removal of one or more managers from the eligible set does not materially affect the probability that the remaining low correlation CTAs will end up in the low correlation portfolio. For another, they are more economical and use the eligible CTA set far more sparingly. While the meanvariance portfolios performed almost as well as the correlation-only portfolios, they used 21 of the 42 CTAs over the eight years, while the correlation-only portfolios used only 14. Thus, the meanvariance approach would have dropped and added 11 CTAs, the correlation-only rules would have dropped and added only four. Given the high costs of dropping and adding CTAs, this kind of stability in ones choice of CTAs can be worth a great deal. In the remainder of this note, we review this reworking of our research and conclude with a discussion of how we have applied what weve learned to the construction and management of the AlternativeEdge Teamwork Index. In particular, we take a more complete look at which return statistics are persistent or predictable (volatilities and correlations) and which are not (means and Sharpe ratios) explore two empirical approaches to constructing low correlation portfolios explain why we volatility weight the CTAs in the AlternativeEdge indices. Click here for full article We believe the distinction between emerging markets and developed markets is no longer useful. The differences that justified the segregation of emerging and developed markets have disappeared or are in the process of disappearing. Emerging markets, because of their characteristics, should matter a great deal to investors today. Investors handicap themselves by limiting how much they invest in emerging markets. The term emerging markets is obsolete. The end of emerging markets has arrived, as the distinction between emerging markets and developed markets has run the course of its usefulness to investors. Distinctions are disappearing between emerging and developed markets. Emerging markets represent half of the worlds economy they are large and liquid with volatility similar to that of developed markets and their corporate governance and government policies are no worse than, and in some cases superior to, those of developed markets. There is one measure by which there is still a distinction between emerging markets and developed markets: Growth. We believe that, for the foreseeable future, this differentiation in growth will remain, leading to more attractive investment opportunities in emerging markets than in developed markets. For this reason, investors should focus more on emerging markets than developed markets. Click here for full article I study novel data from a confidential website where a select group of fundamentals-based hedge fund managers privately share investment ideas. These value investors are not easily defined: they exploit traditional tangible asset valuation discrepancies such as buying high book-to-market stocks, but spend more time analyzing intrinsic value, growth measures, and special situation investments. Evidence suggests that the managers long recommendations earn economic and statistically significant long-term abnormal returns. Oddly enough, these managers share their profitable ideas with other skilled investors. This evidence is puzzling in a world where there is an efficient market for fund managers and asset prices. Click here for full article Based on the style analysis pioneered in Sharpe, W. F. (1992). Asset Allocation: Management Style and Performance Measurement, Journal of Portfolio Management, 7-19. I define a procedure to examine the consistency of hedge fund indexes across providers. The results of my investigation suggest that the competing indexes of the different providers are homogeneous. However, I also find two cases for which one provider differently allocates the funds between styles compared to its peers. Click here for full article Portfolio optimisation for a Fund of Hedge Funds (FoHF) has to address the asymmetric, non-Gaussian nature of the underlying returns distributions. Furthermore, the objective functions and constraints are not necessarily convex or even smooth. Therefore traditional portfolio optimisation methods such as mean-variance optimisation are not appropriate for such problems and global search optimisation algorithms could serve better to address such problems. Also, in implementing such an approach the goal is to incorporate information as to the future expected outcomes to determine the optimised portfolio rather than optimise a portfolio on historic performance. In this paper, we consider the suitability of global search optimisation algorithms applied to FoHF portfolios, and using one of these algorithms to construct an optimal portfolio of investable hedge fund indices given forecast views of the future and our confidence in such views. Click here for full article B. Minsky, International Asset Management Ltd. M. Obradovic, School of Mathematical Physical Sciences, Sussex Univ. Q. Tang, School of Mathematical Physical Sciences, Sussex Univ. R. Thapar, International Asset Management Ltd. What is the Optimal Number of Managers in a Fund of Hedge Funds This paper investigates the level and the determinants of the optimal number of hedge fund managers in a Fund of Hedge Funds (FOFs). The paper also analyzes the impact that this level has on the performance and the volatility of returns of the typical FOF. Several important findings emerge. First, we find that the number of underlying hedge funds (HFs) included into a FOF has a negative and significant impact on the volatility of returns but less of an impact on the actual returns. However, if we properly classify the FOFs into several larger categories of interest, we find evidence that the FOFs having between 6 and 10 hedge fund managers perform the best. On average this group of FOFs has assets under management of around 200 million. Second, further evidence shows that there is a positive relationship between the size of the FOF portfolio and the lifetime of the fund. Third, several factors that influence the number of HF managers into a FOF include, but are not limited to the amount of leverage, the redemption frequency, the size of the fund, the total number of assets managed by the FOF manager, whether the fund issues a K-1 schedule for tax purposes, the currency in which the fund trades, the geographical focus, and the strategy pursued. Click here for full article Greg N. Gregoriou, Professor of Finance, State University of New York Razvan Pascalau, Assistant Professor of Economics, State University of New York Investor Irrationality and Closed-End Hedge Funds This study questions the rationality of people investing in HFs. I use a sample of London listed closed-end hedge funds to evaluate two criteria that imply irrational behavior. I nd that the rationality of investors can not be rejected for the majority of time. However, the results also imply that investors react irrationally when facing the worsening economic conditions in the second half of 2008. Click here for full article Oliver Dietiker, University of Basel Skill, Luck and the Multi-Product Firm: Evidence from Hedge Funds We propose that higher skilled firms diversify in equilibrium even though managers exploit idiosyncratic performance shocks to time diversification moves. We formalize this intuition in a mistakefree equilibrium and test our predictions using a large panel dataset on the hedge fund industry 19772006. The results show that returns fall following new fund launches, but are 13 basis points per month higher in diversified firms compared to a matched control sample of focused firms. Consistent with the theory, the evidence suggests that both idiosyncratic performance shocks and systematic differences in skill influence diversification decisions. Click here for full article Rui J. P. de Figueiredo, Jr. University of California, Berkeley Evan Rawley, University of Pennsylvania Crowded Chickens Farm Fewer Eggs - Capacity Constraints in the Hedge Fund Industry Revisited We revisit the question of capacity constraints in the hedge fund industry by looking at over 2,000 individual funds operating within ten different strategy segments over the years 1994 to 2006. By first looking at fund specific determinants of alpha returns, we demonstrate that the negative effect of inflows on performance is dominated by a concave size effect and thus nonlinear. Secondly, we investigate how competitive dynamics within a strategy segment influence alpha returns. The finding of a concave relationship between the total size of a segment and individual fund performance supports the notion of limiting capacity constraints on strategy level. While fund specific determinants only apply to funds that generated alpha in the past, strategy segment effects apply to all funds. Click here for full article Oliver Weidenmller and Marno Verbeek Rotterdam School of Management, Erasmus University The Good, the Bad or the Expensive Which Mutual Fund Managers Join Hedge Funds Does the mutual fund industry lose its best managers to hedge funds We find that a mutual fund manager with superior past performance is more likely to start managing an in-house hedge fund while continuing to manage mutual funds. However, a mutual fund manager with poor past performance is more likely to leave the mutual fund industry to manage a hedge fund. Thus, mutual funds appear to use in-house hedge funds to retain the best-performing managers in the face of competition from hedge funds. In addition, the managers of mutual funds with greater expenses are more likely to enter the hedge fund industry. The magnitude of such expenses is negatively related to subsequent performance in the hedge fund industry. Hence, hedge funds do not acquire superior performance for their investors by hiring these expensive managers. Click here for full article Prachi Deuskar, University of Illinois at Urbana Joshua M. Pollet, Goizueta Business School, Emory University Z. Jay Wang, University of Illinois at Urbana Lu Zheng, Paul Merage School of Business, University of California Irvine Performance Bias from Strategic Asset Allocation: The Case of Funds of Hedge Funds Evaluating the performance of portfolio managers has received wide attention in the finance literature. The common practice is to divide performance, which is attributable to active management, into two main components, security selection and market timing. However, the Brinson et al. studies and the controversial debate on the relative importance of asset allocation and security selection reveal that the strategic asset allocation has a significant impact on the performance of an actively managed portfolio. Nevertheless, up to now neither an empirical study has taken that portfolio decisions into account in the performance evaluation nor has anyone previously discussed a possible performance bias which could arise from the strategic asset allocation decisions. Beside its direct influence on the performance of funds of hedge funds, the strategic asset allocation induces a performance bias similar to the timing bias, which results from actively changing the beta of the portfolio of hedge funds by the portfolio manager. Unfortunately, normally the historical portfolio holdings of funds of hedge funds are not available due to their low transparency. In order to estimate the strategic asset allocation of each fund of hedge funds we use Sharpes 1988, 1992 returns-based style analysis (RBSA), which requires only the monthly performance. By comparing the selectivity and timing performance of 2638 funds of hedge funds, 2095 live funds and 543 dead funds, estimated with Jensens 1968 model and the timing model of Treynor and Mazuy 1966 using fund specific benchmark portfolios which reflect the funds strategic asset allocations - against the selectivity and timing performance estimates generated with traditional hedge fund and fund of hedge funds indices, we document a performance bias which is clearly induced by the strategic asset allocation decision. This bias causes an overestimation of the true selectivity and timing performance of funds of hedge funds. In order to avoid these biases, both academics and practitioners should evaluate the performance of funds of hedge funds against benchmark portfolios which reflect the fund specific strategic asset allocation. Over the period from 1994 - 2006, we find that funds of hedge funds exhibit a negative monthly selectivity performance of -0.1648 and a monthly timing performance of -0.0263. Click here for full article Dr. Oliver A. Schwindler, Department of Finance, Bamberg University Lintner Revisited: The Benefits of Managed Futures 25 Years Later In this paper we attempt to update Professor Lintners work by demonstrating that the beneficial correlative properties of managed futures presented in his research persist today. Click here for full article Ryan Abrams, AlphaMetrix Alternative Investment Advisors, LLC Ranjan Bhaduri, AlphaMetrix Alternative Investment Advisors, LLC Elizabeth Flores, CME Group Selectivity and Timing Performance of Funds of Hedge Funds: A Time-Varying Approach This paper empirically examines the time variation of the selectivity and timing performance of funds of hedge funds by employing rolling versions of the performance regression models of Jensen (1968) and Treynor and Mazuy (1966). The analysis is based on a sample of 1,207 funds of hedge funds during January 1994 until December 2006. We propose for the first time a cross-sectional regression method similar to those used by Fama and McBeth (1973) for the analysis of the determinants of the performance of funds of hedge funds. Moreover, we use fund specific style benchmarks, which reflect the performance of the individual strategic asset allocation decision of each fund. Our results show that positive selectivity performance has faded away over the sample period and has become negative in recent years while the timing performance erratically fluctuates around zero. The cross-sectional regression reveals that the importance of the selectivity and timing seems to rotate over time, as both variables show considerable variation over time and different magnitudes in the cross-section. Summing up, we present profound and robust evidence that selectivity performance can be regarded as a good discriminating factor for superior funds of hedge funds. Click here for full article Dr. Marco Rummer, Saiumld Business School, Oxford University Dr. Oliver A. Schwindler, Department of Finance, Bamberg University Recovering Delisting Returns of Hedge Funds Numerous hedge funds stop reporting to commercial databases each year. An issue for hedgefund performance estimation is: what delisting return to attribute to such funds This would be particularly problematic if delisting returns are typically very different from continuing funds returns. In this paper, we use estimated portfolio holdings for funds-of-funds with reported returns to back out maximum likelihood estimates for hedge-fund delisting returns. The estimated mean delisting return for all exiting funds is small, although statistically significantly different from the average observed returns for all reporting hedge funds. These findings are robust to relaxing several underlying assumptions. Click here for full article James E. Hodder, Professor - Finance, University of Wisconsin-Madison Dr. Jens Jackwerth, Head Dept of Economics, University of Konstanz Olga Kolokolova, Research Asst. University of Konstanz The Impact of Hedge Fund Family Membership on Performance and Market Share We study the impact that hedge fund family membership has on performance and market share. Hedge funds from small fund families outperform those from large families by a statistically significant 4.4 per year on a risk-adjusted basis. We investigate the possible causes for this outperformance, and find that regardless of family size, fund families that focus on their core competencies have core competency funds with superior performance, while the familys non-core competency funds underperform. We next examine the determinants of hedge fund family market share. A familys market share is positively related to the number and diversity of funds offered, and is also positively related to past fund performance. Finally, we examine the determinants of fund family market share at the fund stylestrategy level. Families that focus on their core competencies attract positive and significant market share to these core-competency funds. Hence, by starting new funds only in their familys core competencies, fund managers can enjoy increased market share while their investors enjoy good performance. Click here for full article The paper assesses the extent to which the Group of Seven (G7) has been successful in its management of major currencies since the 1970s. Using an event-study approach, the paper finds evidence that the G7 has been overall effective in moving the US dollar, yen and euro in the intended direction at horizons of up to three months after G7 meetings, but not at longer horizons. While the success of the G7 is partly dependent on the market environment, it is also to a significant degree endogenous to the policy process itself. The findings indicate that the reputation and credibility of the G7, as well as its ability to form and communicate a consensus among individual G7 members, are important determinants for the G7s ability to manage major currencies. The paper concludes by analyzing the factors that help the G7 build reputation and consensus, and by discussing the implications for global economic governance. Click here for full article This paper is the first to use quantile regression to analyze the impact of experience and size of funds of hedge funds (FHFs) on performance. In comparison to OLS regression, quantile regression provides a more detailed picture of the influence of size and experience on FHF return behaviour. Hence, it allows us to study the relevance of these factors for various return and risk levels instead of average return and risk, as is the case with OLS regression. Because FHF size and age (as a proxy for experience) are available in a panel setting, we can perform estimations in an unbalanced stacked panel framework. This study analyzes time series and descriptive variables of 649 FHFs drawn from the Lipper TASS Hedge Fund database for the time period January 1996 to August 2007. Our empirical results suggest that experience and size have a negative effect on performance, with a positive curvature at the higher quantiles. At the lower quantiles, however, size has a positive effect with a negative curvature. Both factors show no significant effect at the median. Click here for full article We make use of a new database on daily currency fund manager returns over a threeyear period, 2005-08. This higher frequency data allows us to estimate both alpha measures of performance and beta style factors on a yearly basis, which in turn allows us to test for persistence. We find no evidence to support alpha persistence a managers alpha in one year is not significantly related to his alpha in the prior year. On the other hand, there is substantial evidence for style persistence funds that rely on carry, trend or value trading or with a longshort bias toward currency volatility are likely to maintain that style in the following year. In addition, we are able to examine the performance of managers that survive through the entire sample period, versus those that drop out. We find significant differences in both the investment styles of living versus deceased funds, as well as their realized alpha performance measures. We conjecture that both style differences and ineffective market timing, rather than market conditions, have impacted performance outcomes and induced some managers to close their funds. Click here for full article Momtchil Pojarliev, Hermes Investment Management Limited Richard M. Levich, New York Universitys Leonard N. Stern School of Business The Rising Costs of Low U. S. Interest Rates The Federal Open Market Committees (FOMC) decision to drastically reduce interest rates over the past year may be viewed positively in hindsight because it prevented a collapse of the U. S. credit markets. But it is more likely that this decision will be remembered for the toll it exacted on the U. S. economy and global markets. After tightening monetary policy for two years, from June 2004 to June 2006, the decision by the FOMC in the autumn of last year to reverse course seems to have provided some short-term relief to U. S. financial institutions and credit markets. But it also has significantly raised the long-term costs and challenges of restoring price stability in the consumer goods and financial markets. Click here for full article This paper provides a discussion about some recent issues related to the transfer of credit risk (CRT) from the perspective of global liquidity. The CRT market is enormously growing and exhibits major structural shifts in terms of buyers and sellers of protection. I try to address these issues from an options perspective by suggesting that liquidity providing can be understood, in economic terms, as selling put options. The overall conclusion of the paper is that it is not the extent of CRT per se, as often claimed, which causes liquidity related systemic risk, but rather the potential coordination failures of the behavior market participants in adverse market environments. In this context, I critically address the role of investments banks in providing liquidity to hedge funds, and finally, the (limited) access of global banks to central bank liquidity through cross-border collateral trading. Since coordination failures, seen as the major issue of a potential liquidity crisis, is to a large extent a matter of market structure, regulatory actions to improve liquidity should focus on the architecture of the financial system in the first place, not so much on the behavior of individual agents. Market stabilization should therefore be understood as a process of establishing informative markets and adequate infrastructure. Click here for full article We study the effect of financial crises on hedge fund risk. Using a regime-switching beta model, we separate systematic and idiosyncratic components of hedge fund exposure. The systematic exposure to various risk factors is conditional on market volatility conditions. We find that in the high-volatility regime (when the market is rollingdown and is likely to be in a crisis state) most strategies are negatively and significantly exposed to the Large-Small and Credit Spread risk factors. This suggests that liquidity risk and credit risk are potentially common factors for different hedge fund strategies in the down-state of the market, when volatility is high and returns are very low. We further explore the possibility that all hedge fund strategies exhibit a high volatility regime of the idiosyncratic risk, which could be attributed to contagion among hedge fund strategies. In our sample this event happened only during the LongTerm Capital Management (LTCM) crisis of 1998. Other crises including the recent subprime mortgage crisis affected hedge funds only through systematic risk factors, and did not cause contagion among hedge funds. Click here for full article Monica Billio, University of Venice Department of Economics Mila Getmansky, University of Massachusetts at Amherst Loriana Pelizzon, University of Venice - Department of Economics A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money We explore the flow-performance interrelation of hedge funds by separating the investment and divestment decisions of investors. We report three main results. First, we find a weak inflow-performance relation at quarterly horizons together with a very steep outflow-performance relation. At annual horizons, these patterns revert. We attribute this differential response time of inflows and outflows to the combined effect of liquidity restrictions, high searching costs and active investors monitoring. Second, consistent with the theory that performance persistence is more pronounced where money flows are the least responsive, we find remarkable differences in persistence levels across horizons for the subsets of funds experiencing inflows and outflows. Third, we show that investors limited response capacity precludes them from investing into the subsequent good performers. Conversely, investors appear to be fast and successful in deallocating from the subsequent poor performers. Click here for full article Studies dealing with the classification of CTAs have not effectively examined the distinction between the time frame these managers trade and the strategies they employ. Nor have such studies examined the information that rigorous due diligence adds to the process of classifying CTA s. This paper utilizes a set of CTA managers screened from the Barclay CTA (Managed Futures) Data Feeder database. Returns of these managers are analyzed using variables in this database as well as information collected in an extensive due diligence review. The results suggest that time frame and strategy are distinct factors in the classification of CTA managers. Furthermore, with ratings derived from the due diligence review, research quality is identified as a separate factor affecting CTA returns. Click here for full article We investigate an index of returns on professionally managed currency funds and a subset of returns from 34 individual currency fund managers. Over the period 1990-2006, excess returns earned by currency fund managers have averaged 25 basis points per month. We examine the relationship of these returns to four factors representing returns based on carry trading, trendfollowing, value trading and currency volatility. These four factors explain a substantial portion of the variability in index returns in the entire period and in sub-periods. We perform similar regressions for the 34 individual funds, and find many funds where returns are significantly related to these four factors. Our approach impacts the definition of alpha returns from currency speculation, modifying it from the excess return earned by the fund, to only that portion of the excess returns not explained by the four factors. While the impact on measured alpha is substantial, we find that some currency fund managers continued to generate alpha returns in the most recent sample period. Click here for full article This paper investigates potential sources of return to speculators in the commodity futures market. Initially, we focus on the classic arbitrage model based on the theories of Keynes (1930), Kaldor (1939), Hicks (1939, 1946), Working (1948) and Brennan (1958). Next our study examines the simplified arbitrage model which references the term structure of the futures price curve and provides rationale for a structural risk premium known as the roll return. We then introduce our theory of roll yield permutations which is derived from integrating the futures price curve with the expected future spot price variable. Last, we investigate Spurgins (2000) hedging response model from which asymmetric hedging response functions transfer risk premia to speculators. Our research indicates that these models have inherent shortcomings in being able to pinpoint a definitive source of structural risk premium within the complexity of the commodity futures markets. We hypothesize that the classic arbitrage pricing theory contains circular logic, and as a consequence, its natural state is disequilibrium, not equilibrium. We extend this hypothesis to suggest that the term structure of the futures price curve, while indicative of a potential roll return benefit, in fact implies a complex series of roll yield permutations. Similarly, the hedging response function elicits a behavioral risk management mechanisms, and therefore, corroborates social reflexivity. Such models are inter-related and each reflects certain qualities and dynamics within the overall futures market paradigm. With respect to managed futures, it is an observable materialization of behavioral finance, where risk, return, leverage and skill operate un-tethered from the anchor of an accurate representation of beta. In other words, it defies rational expectations equilibrium, the efficient market hypothesis and allied models - the CAPM, arbitrage pricing theory or otherwise - to single-handedly isolate a persistent source of return without that source eventually slipping away. Click here for full article Davide Accomazzo, Adjunct Professor of Finance, Pepperdine University Michael Frankfurter, Managed Account Research, Inc. Principals, Cervino Capital Management, LLC What Happened to the Quants In August 2007 During the week of August 6, 2007, a number of quantitative longshort equity hedge funds experienced unprecedented losses. Based on TASS hedge-fund data and simulations of a specific longshort equity strategy, we hypothesize that the losses were initiated by the rapid unwind of one or more sizable quantitative equity market-neutral portfolios. Given the speed and price impact with which this occurred, it was likely the result of a forced liquidation by a multi-strategy fund or proprietary-trading desk, possibly due to a margin call or a risk reduction. These initial losses then put pressure on a broader set of longshort and long-only equity portfolios, causing further losses by triggering stoploss and deleveraging policies. A significant rebound of these strategies occurred on August 10th, which is also consistent with the unwind hypothesis. This dislocation was apparently caused by forces outside the longshort equity sector in a completely unrelated set of markets and instruments suggesting that systemic risk in the hedge-fund industry may have increased in recent years. Click here for full article Natural-resource managers make or lose their bread-and-butter by structuring active bets in the commodity markets in a variety of ways. Active managers may try to call the market direction correctly make relative-value bets in the derivatives markets take on basis risk invest in naturalresources equities, particularly in emerging markets or they may trade physical commodities. Active natural-resource managers need to be clearly differentiated from Commodity Trading Advisors (CTAs) and index funds. CTAs (or systematic trend followers) exploit trends in the financial and commodity markets. Indexed commodity funds, in turn, offer the investor pure commodity exposure. The case for institutional investors to include both passive commodities portfolio exposure as well as active commodities management has been made by a variety of industry observers. Until now, however, the subset of active natural-resource managers has not seen the growth in assets that the commodity index funds have seen. Clearly, active natural-resource investing is not nearly as well understood by institutional investors. As such, an institutional investor considering an investment with a naturalresources manager needs to understand the trading strategies, risks, and potential returns in this investment category. This article will focus on the due-diligence process as it applies to investment strategies commonly used by active naturalresource managers. Click here for full article Since the publication of our first paper on hedge fund replication in 2005, our FundCreator methodology has met with many positive reactions. There have also been some negative responses though. Until now we have not responded to the criticism launched against FundCreator, other than the occasional remark when asked for comments. However, with a number of high profile conferences on the subject coming up this year and early next year and investors clearly becoming confused as a result of the amount of disinformation that is being circulated, in this short paper we will address the 10 most common points of criticism. We will argue that most of these are largely unjustified and fairly trivial at best and no reason whatsoever to doubt the capability of FundCreator to deliver exactly what it promises: returns with predefined statistical properties. Here we go. Click here for full article We examine whether hedge funds are more likely to experience extremely poor returns when equity, fixed income, and currency markets or other hedge funds have extremely poor performance than would be predicted by correlations of hedge fund returns with returns on these markets or with returns of other hedge funds (contagion). First, we consider whether extreme movements in these markets are contagious to Arbitrage, Directional, and Event Driven hedge fund indices. Second, we investigate whether extreme adverse returns in one hedge fund index are contagious to other hedge fund indices. To conduct these examinations, we estimate Poisson regressions using both monthly and daily returns on hedge fund style indices. We find no systematic evidence of contagion from equity, fixed income, and currency markets to hedge fund indices, although the Arbitrage index exhibits evidence of contagion from the equity and currency markets for monthly data. In contrast, we find systematic evidence of contagion across hedge fund styles for both monthly and daily data. Our results provide a new perspective on the systemic risks of hedge funds and suggest that diversification across hedge funds may not help as much as correlations would imply in reducing the probability of very poor returns. Click here for full article Nicole M Boyson, Northeastern University Christof W. Stahel, George Mason University Ren M. Stulz, Ohio State University A Subprimer on Risk Early in 2007, there were concerns about two issues that could wind up causing significant havoc. One was the potential unwind of the yen carry trade, which we covered in our last issue. The other was the weakness in subprime mortgages in the US. At the risk of further cursing the market, it is fair to say that the yen carry trade scenario has not come about as yet. But clearly, the subprime issue has come to a head, and by now has impacted markets directly linked to subprime, such as securitized products and the equity of mortgage lenders, and others where the link is at best indirect, such as corporate credit, leveraged buyouts, and global equities. A postmortem analysis of these market events is premature, since the situation is still quite fluid. A comprehensive analysis of subprime mortgages, the catalyst of our current excitement, is beyond the scope of our efforts here. Still, it is not a market we can ignore, and so we offer some thoughts here on what is particular about subprime, and what we might be able to learn after this storm has blown over. Click here for full article When I recently co-edited the book, Intelligent Commodity Investing (Risk Books, 2007), a risk-management professional asked me if the title of the book is an oxymoron. This question was posed soon after the Amaranth debacle so perhaps the question is an appropriate one. 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. The first two sections of this article will discuss two historically profitable approaches that take into consideration the largely mean-reverting properties of commodity prices. The final section of the article will argue that we are in the midst of a rare trend shift in prices for some commodity markets and will provide some ideas on how to benefit from this shift. Click here for full article Dubbed the Trade of the Decade by at least one website, it is difficult to imagine a single trading strategy getting more popular attention than the carry trade has over the last eighteen months. Headlines in early 2006 included Japans Boom May Explode Yen-Carry Trade and Yen Carry Trade to UnwindMarket Crash Alert. Fears rose again in early 2007: in What keeps bankers awake at night the Economist made the carry trade first on its list. But the fears seem to have subsided, with the Economist acknowledging more recently that the carry trade may have gone Out With a Whimper. Click here for full article In this article, we provide the busy reader with a survey of articles that were written over the past four years on hedge funds. Specifically, we review the economic basis for hedge fund returns and then discuss some of the logical consequences of these observations. Next, we summarize the general statistical properties of hedge fund strategies. We then examine what the appropriate performance measurement and risk management techniques are for these investments. And lastly, we briefly cover ways that investors can consider incorporating hedge funds within their overall portfolios. Click here for full article Never has an industry so extensively studied by experts produced such a surplus of myths, misunderstandings, and half-truths. Many of these myths could easily be clarified with a call or two to knowledgeable industry professionals. Too often, a seemingly logical statement that sounds-good-when-you-say-it-fast becomes accepted conventional wisdom despite the reams of evidence weighted against it. Although many of these experts are well-intentioned, they may not be sufficiently well-informed. The solution lies in enhanced collaboration between academia, industry, and the press. Click here for full article The interest in commodity trading advisers (CTAs) and hedge funds trading purely currency has increased significantly in recent times this has both been with respect to the number of participants involved and the money-under-management allocated to the sector, Middleton (2006). Performance has suffered over the past couple of years and this has led many to question how sustainable this popularity in currency will be. The purpose of this paper is to investigate the downturn in performance experienced by currency programmes over the past couple of years. Active currency indices are used, together with transparent proxies for style, to highlight the importance of assessing performance over as long a period as possible prior to making investment decisions. The paper puts forward some possible explanations for the recent difficulties investigates whether the investors appetite for currency as an asset class still remains and concludes with thoughts on the ways in which participants may have to change in order to adapt to the new environment. Click here for full article In this paper we use the hedge fund return replication technique recently introduced in Kat and Palaro (2005) to evaluate the net-of-fee performance of 875 funds of hedge funds and 2073 individual hedge funds, up to an including November 2006. Comparing fund returns with the returns on dynamic futures trading strategies with the same risk and dependence characteristics, we find that no more than 18.6 of the funds of funds and 22.5 of the individual hedge funds in our sample convincingly beat the benchmark. In other words, the majority of hedge funds have not provided their investors with returns, which they could not have generated themselves by mechanically trading a diversified basket of liquid futures contracts. Over time, we observe a substantial deterioration in overall hedge fund performance. In addition, we find a tendency for the performance of successful funds to deteriorate over time. This supports the hypothesis that increased assets under management tend to endanger future performance. Click here for full article One of the more notable trends in the hedge fund industry over the past few years is the migration toward more stringent liquidity terms. That is, managers are requiring lock ups of one year or longer and are also lengthening notice periods for redemptions. Numerous reasons exist for this shift including potential SEC registration that may be skirted by employing a lock up of two years or more, a trend toward lesser-liquid underlying investments in an attempt to generate favorable returns and, for lack of a better term, manager greed. The SEC regulation rationale appears moot for the time being given that the mandatory registration requirement has been indefinitely tabled (see Goldstein, et al v. SEC, 2006). The most legitimate argument appears to be the utilization of more strict liquidity terms in order to better match fund assets and liabilities as managers migrate toward lesser-liquid underlying investments. Manager greed on the other hand continues to exemplify a straight forward supply and demand issue: the highest quality managers with the best performance are likely to be more in demand and will best be in a position to dictate lock up requirements. Notwithstanding the aforementioned arguments, the question remains as to what longterm value is being added by managers employing more inflexible liquidity terms. In this study we revisit, albeit with a different set of data, the observations of Liang (1999) pertaining to fund lock ups and performance. We then delve further into the data on a sub-strategy basis to determine the extent of value added and to discuss the necessity of lock ups given the nature of the underlying securities employed within each sub-strategy. Click here for full article One of the most powerful tensions in the world of money management is in the pull between assets that perform well on their own and portfolios that perform well. Even the most casual students of finance know about the importance of diversification. But as soon as any one asset turns in a bad performance, the temptation to dump that asset and replace it with something that performed better is nearly irresistible. What we found in this research is that team players outperformed superstars. We found that the difference was statistically significant. We found that in most cases replacing underperforming managers with someone who would have been better did little or nothing to improve overall portfolio performance. We did find, though, that firing team players for poor individual performance and replacing them with managers with higher Sharpe ratios seriously degraded the performance of the portfolio. Click here for full article We examine how Amaranth, a respected, diversified multi-strategy hedge fund, could have lost 65 of its 9.2 billion assets in a little over a week. To do so, we take the publicly reported information on the funds Natural Gas positions as well as its recent gains and losses to infer the sizing of the funds energy strategies. We find that as of the end of August, the funds likely daily volatility due to energy trading was about 2. The funds losses on 91506 were likely a 9-standard-devation event. We discuss how the funds strategies were economically defensible in providing liquidity to physical Natural Gas producers and merchants, but find that like Long Term Capital Management, the magnitude of Amaranths energy position-taking was inappropriate relative to its capital base. Click here for full article Although commodity markets have been around for centuries, investors interest in them has always been quite limited. Over the last few years, however, this has changed completely. Commodities have very quickly become very popular and investment in commodities is growing at an unprecedented rate. It is estimated that over the past few years (institutional) investors have poured 75 billion into commodities and according to a recent institutional investor survey by Barclays Capital, many institutions expect to significantly increase their commodity exposure further over the next three years1. After initially taking a somewhat reserved view on the commodity investment boom, the supply side is rolling out a whole range of commodity-linked products funds, ETFs, trackers, and all kinds of structured products. Given investors appetite for and the very healthy profit margins earned on these products, the end of the boom may not be in sight yet. Click here for full article New research by CISDM and the Barclay Group examines the early reporting habits of hedge funds and CTAs. In the article, Early Reporting Effects on Hedge Fund and CTA Returns, published in the Journal of Alternative Investments, Fall 2006 issue, it is shown that hedge funds and to a lesser extent CTAs who delay reporting returns often report lower performance than those who report early. Hedge fund and CTA indices published by the Barclay Group are used to demonstrate the differences between early estimates and final numbers. Each month, Barclays provides an early estimate (usually within the first week of the month) of the previous months returns by strategy based on reporting managers. Typically within weeks following the early estimate, Barclays provides a final estimate for the previous months hedge fund andor CTA index returns. Note that hedge fund and CTA fundmanager returns are reported in the month following the actual month of performance. This provides enough time for firms to properly calculate returns using various administrative reporting services and report them (if desired) to several of the existing hedge fund databases. The Barclay group is one of several firms or organizations currently reporting hedge fund and CTA returns on the industry. Other major hedge fund and CTA index reporting organizations include CISDM and HFR. While some overlap exists among databases managed by various firms and organizations, past research (Jones, 2005) has shown that each database differs as to reporting managers (approximately 50). Click here for full article In this paper we study the multivariate return properties of a large variety of commodity futures. We find that between commodity groupings (such as metals, energy, etc.) correlations are very low and mostly insignificant whereas within groups they tend to be much stronger. In addition, commodity futures are roughly uncorrelated with stocks and bonds. Still, correlations may vary somewhat over the different phases of the business cycle, suggesting that not all commodities make equally good diversifiers at all times. Copula-based tests do not indicate any deviant behaviour in the tails of the joint return distribution of commodity futures and stocks or bonds. Contrary to equities and bonds, we show that commodity futures returns are positively correlated with unexpected inflation (i. e. 25 on average with CPI inflation as opposed to 30 for equities and 50 for bonds). There are significant differences between the various commodities, however, with energy, metals, cattle, and sugar offering the best hedging potential. Altogether, assuming that the observed regularities will persist, our results confirm that a well-balanced commodity futures portfolio could offer a worthwhile diversification service to the typical traditional investment portfolio. Click here for full article In this chapter, we introduce readers to commodity (natural resource) futures programs. We begin the chapter by describing the present investment landscape as one where return compression in a number of popular hedge fund strategies has led absolute-return investors to investigate other promising return sources. This includes the highly volatile natural-resource markets, which Lammey (2004) describes as a paradise for speculators. The second section of the chapter discusses how (real) spot commodity prices have been in a long-term secular decline, which has meant that in the past, most arguments for investing in commodities have had to rely on one of the two following rationales. An investment in a commodity futures program has had to (1) capture cyclical opportunities, or (2) provide an inherent risk premium that has only been available in certain futures markets. This latter concept is admittedly esoteric and will be explained later in this chapter. In the chapters third section we will argue that current commodity investment programs, which are designed to either capture cyclical opportunities or monetize risk premia, are still valid in the current environment. But we will further note that one can also make a plausible case for investing in commodities based on increases in spot commodity prices. The 1990s were marked by a series of unusually favorable supply shocks, which may not be the case going forward, as ONeill of Goldman Sachs et al. (2004) have warned. In the concluding section of the article, we will outline the risk management requirements for a commodity investment program, given that absolute-return investors require that hedge funds control downside risk rather than just capture the premium of the asset class, as Ineichen of UBS (2003) has explained. Click here for full article Optimizing fund growth maximizes fund value. We argue that growth in fund size results from managerial skill. To test this argument, we estimate a model that links fund growth to performance characteristics. We use the model to isolate significant performance characteristics, and then confirm that the model has predictive power out-of-sample. This predictive ability suggests that a manger can employ strategies to optimize his funds size and hence maximize overall fund value, thus demonstrating skill. In November, we discussed risk modeling of credit spreads. We raised two broad questions. First, we asked which market should we look to for information. And when credit is traded in more than one market, should we choose the one with the greatest liquidity, or the one that most closely matches our position Second, we asked what made a time series useful as a risk factor, and whether we could choose among a variety of definitions of spread to obtain the best properties for forecasting purposes. A third question we could have asked, but did not, was how we should model the volatility once we had obtained a useful time series. We picked up that question in our December note. In this note, we ask the first two questions again, but for futures contracts rather than credit spreads. As we will discuss, there are modeling choices we have applied for a long time which, while serving us well broadly, are in fact questionable in specific cases. Moreover, it is never a bad thing to return to models that have been around a while, and revisit the thinking that led us to those choices in the past. We examine the role of backwardation in the performance of passive long positions in soybeans, corn and wheat futures over the period, 1950 to 2004. We find that over this period, backwardation has been highly predictive of the return of a passive long futures position when measured over long investment horizons. The share of return variance explained by backwardation rises from 24 at a one-year horizon to 64 using five-year time periods. A historical examination of soybean production and trading suggests that the profitability of a passive long soybean position during the early part of our sample may have resulted from inadequate inventories and storage facilities at the time. These conditions created the conditions for demand-driven price spikes. Further, the thin margins of soybean processors likely increased hedging demand. The implications for commodity investing are considered. Click here for full article In this paper we study the univariate return properties of a large variety of commodity futures. Our analysis shows that the volatility of commodity futures is comparable to that of US large cap stocks. Yet, with the exception of energy, a consistently positive risk premium is lacking in commodity futures. We also find that for many commodities, futures returns and volatility can vary considerably over different phases of the business cycle, under different monetary conditions as well as with the shape of the futures curve. Skewness in commodity futures returns is largely insignificant, whereas kurtosis is significantly positive and comparable to that of US large cap stocks. In almost all commodities we find significant degrees of autocorrelation, which affects the properties of longer horizon returns. Click here for full article In this paper we use the hedge fund return replication technique recently introduced by Kat and Palaro (2005) to evaluate the net-of-fee performance of 1917 individual hedge funds. Comparing fund returns with the returns on dynamic futures trading strategies with the same risk and dependence characteristics, we find that no more than 17.7 of the hedge funds in our sample beat the benchmark. In other words, the majority of hedge funds have not provided their investors with returns, which they could not have generated themselves by mechanically trading SP 500, T-bond and Eurodollar futures. Over time, we observe a substantial deterioration in overall hedge fund performance. In addition, we find a tendency for the performance of successful funds to deteriorate over time. This supports the hypothesis that increased assets under management endanger future performance. Click here for full article January 5, 2006 - NEW YORK - Strategic Financial Solutions, LLC, (SFS) creator of the worlds leading asset allocation and investment analysis software, the PerTrac Desktop Analytical Platform, is pleased to present the aggregate results of the 2005 SFS Hedge Fund Database Study, an annual report that aims to shed additional light on the hedge fund industry. Click here for full article The risk-adjusted returns since inception of most hedge fund indices have been enhanced by a favorable environment and could be susceptible to a decrease in market risk appetite. However, this vulnerability is not uniform managed futures strategies have proven more robust than other hedge fund strategies, yielding positive returns under both risk-seeking and risk-averse conditions. Risk-averse periods tend to cluster and therefore the current state of market risk appetite provides information about the future state of market risk appetite. These effects in combination mean that it is possible to enhance portfolio performance by combining a measure of risk aversion with allocations to the managed futures space. Click here for full article In this paper, we attempt to fill this gap by developing a fundamental framework to project future market volatility. We then apply it to current conditions, expecting in 2006 a rebound in market volatility from depressed levels, but with high volatility delayed to 2007-08. We draw implication for asset returns, active returns, and for what policy markets should be looking out for. We come up with some expected results, but also with quite a few surprises (at least to us). Among these are that leverage by investors tends to lag, rather than lead market volatility that corporate leverage and macroeconomic volatility are more causally related to market volatility that hedge funds seem very reluctant to raise leverage, in contrast to banks and that active investors tend to do poorly when volatility rises unexpectedly. Click here for full article The Sharpe ratio is a statistic which aims to sum up the desirability of a risky investment strategy or instrument by dividing the average period return in excess of the risk-free rate by the standard deviation of the return generating process. Devised in 1966 as a measure of performance for mutual funds, it undoubtedly has some value as a measure of strategy quality, but it also has several crucial limitations (see Sharpe 1994 for a recent restatement and review of its principles). Furthermore, its widespread and often indiscriminate adoption as a quality measure is leading to distortion of proper investment priorities, as investment firms manipulate strategies and data to maximise it. Click here for full article Over 1,000 representatives from 650 firms completed the 2005 Deutsche Bank Alternative Investment Survey. These 650 investors represent 645 billion dollars in direct hedge fund assets, which we estimate is nearly two-thirds of all assets in the hedge fund industry. We asked each respondent to categorize themselves as a fund of funds, bank, corporation, consultant, insurance company, pension, endowment, foundation, family office or high net worth individual. We received responses from all these investor types, with a particularly strong showing from pensions, endowments and foundations, comprising 18 of respondents. Family offices and high net worth individuals are also well represented, at 15. Funds of funds represent the largest group, with 43 of all responses. We polled investors from all over the world, with roughly half from the United States and more than a third from Europe. Click here for full article Two studies, by Watson Wyatt and UBS (both from March 2005), give a pessimistic view of the hedge fund industrys capacity to generate long-term returns, due to its increasing size. Unfortunately, these studies focus almost exclusively on alpha. In the present paper, we show the importance of considering not only the exposure to the market (the traditional beta), but also the other exposures (the alternative betas) to cover all the sources of hedge fund returns. To do so, we examine the real extent to which the variability and level of hedge fund returns are affected by (static) betas, dynamic betas (i. e. factor timing), and pure alpha (i. e. security selection). Click here for full article Over the last 10 years hedge funds have become very popular with high net worth investors and are currently well on their way to acquire a significant allocation from many institutional investors as well. The growing popularity of hedge funds and the availability of various hedge fund databases have spawned several hundreds of academic research papers on various aspects of the hedge fund industry and especially the risk-return performance of hedge funds and fund of funds. Many of these papers apply methods, like standard mean-variance and Sharpe ratio analysis for example, which are ill-suited for the analysis of hedge funds returns and have, as a result, produced incorrect conclusions. Fortunately, some studies have taken a more sophisticated approach and have made it clear that hedge fund returns are not really superior to the returns on traditional asset classes, but primarily just different. With hedge fund performance getting worse every year, the hedge fund industry has come to more or less the same conclusion. Unlike in the early days, hedge funds are no longer sold on the promise of superior performance, but more and more on the back of a diversification argument: due to their low correlation with stocks and bonds, hedge funds can significantly reduce the risk (as measured by the standard deviation) of a traditional investment portfolio without giving up expected return. Once we accept that hedge fund returns are not superior, but just different, the obvious next question is: is it possible to generate hedge fund-like returns ourselves by mechanically trading stocks and bonds (either in the cash or futures markets) Although hedge fund managers typically put a lot of effort into generating their returns, maybe it is possible to generate very similar returns in a much more mechanical way and with a lot less effort. If it is, we may be able to do without expensive hedge fund managers and all the hassle, including the due diligence, the lack of liquidity, the lack of transparency, the lack of capacity, and the fear for style drift, which comes with investing in hedge funds. There might well be more than one road leading to Rome. Based on earlier work into hedge fund return replication by Amin and Kat (2003), we have done a lot of research in this area, which has lead to the development of a 3 general procedure that allows us to design simple trading strategies in stock index, bond, currency and interest rate futures that generate returns with statistical properties that are very similar to those of hedge funds, or any other type of managed fund for that matter. In what follows, we briefly describe this procedure as well as provide some examples of the procedures amazing results. Click here for full article U. S. stock market from 1986 through 2002. While the falling knives we identified did post a relatively high bankruptcy rate over the three-year period following their initial drop, they also outperformed the SP 500 by wide margins. We followed up our study of U. S.-based falling knives by extending our falling knife analysis to markets outside the United States - and we concluded that non-U. S. knives also tended to outdistance their benchmarks. Whats new in this paper First, we study both U. S. and non-U. S. falling knives over a synchronized time period: 1980 through the end of 2003. As a result, our analysis now includes many falling knives that were generated in 2000, when the generally high valuation levels of the late 1990s began to wind down amid the collapse of the technology stock bubble. We also take an in-depth look at falling knives over time, by sector, and - for non-U. S. knives - on a country-by-country basis. In addition, we test market capitalization and enterprise-value-to-sales ratios as possible predictors of falling knife performance. Click here for full article Demographics, climate change, debt problems, deficit worries: the list of potential life changing events goes on. Yet there is one other decision that could overwhelm all these. If Asia from Japan to China - formally begins to use the US dollar as their standard of value it will change the outlook for asset prices for decades to come. The idea is not fantasy. Chinas latest infusion of cash into State banks suggests that floating the RMB may not be as high on the political agenda as some hope. Moreover, the long-term Yen outlook looks far from assured. A simple pan-Asian dollar fix would drive Asian asset prices sky-high. And its happened before: Japan fixed to the US dollar in 1949 at Y360 and Hong Kong fixed in 1983 at HK7.80. Both markets subsequently enjoyed sharp increases in asset prices. Click here for full article Hedge funds have become increasingly popular among institutional investors due to their potential for generating positive returns in any market environment. The recent growth in the number, style, and complexity of these investments has increased the importance of the fund-offunds service provider. More recently, investable hedge fund indices have emerged to represent a quasi-passive low-cost beta approach to hedge fund investing. On the other hand, fund-of-funds are being relied upon to provide manager selection, due diligence, asset allocation, and riskmonitoring advice to institutional investors who are resource-constrained they are viewed as an active alpha-producing investment when compared with rules-based hedge fund indices. In this paper, we outline the theoretical and practical challenges of applying an investable index-based approach to an actively managed hedge fund industry, and seek to identify the potential value that fund-of-funds may provide. Click here for full article In February 2004, Everest Capital authored a White Paper titled The Continuing Case for Emerging Markets highlighting our positive outlook for emerging markets equities. We revisit our thesis below, and reiterate our favorable view for the performance of the asset class. Click here for full article In this article, we describe the reasons traditional performance evaluation approaches do not work-for traditional investments as well as hedge funds. However, unlike previous articles that have simply documented the problems, we offer a solution: Namely, performance evaluation in general, and hedge fund performance evaluation in particular, should be viewed as a hypothesis test where we assess the validity of the hypothesis Performance is good. To accept or reject this hypothesis, the textbooks say you should construct all of the possible outcomes and see where the actual performance result falls. If the observed performance is toward the top of all of the possibilities, the hypothesis is correct, and performance is good. Otherwise, it is not. In other words, the hypothesis test gives us a chance to determine if a manager truly has the skill to outperform a group of monkeys randomly playing the same game. Click here for full article The two most remarkable features in financial markets in recent years have been the plunge in stock market volatility and the bull market in credits. Together they have helped to sustain high valuation levels across world equity markets. Yet the two features are closely linked: their common factor being monetary policy, or more accurately monetary stability. In short, low currency market volatility has led to low stock market volatility, which, in turn, has fuelled the appetite for credit. We argue in this report that the world economy is operating two monetary standards. One looks rock steady the other appears close to change. The bottom line is that financial markets may be nearer to the fault line than most investors believe. Volatility could jump and credits blow out. Click here for full article Hedge funds do not easily fit into the current way institutions go about investing. Based on a survey of recent academic and practitioner research, this article reviews six competing frameworks for how to incorporate hedge funds in institutional portfolios. Each framework has very different implications for institutional asset allocation, manager selection, and benchmarking. Click here for full article Investable Hedge Fund Indices (IHFIs) have grown in numbers since the first meaningful introduction of these during 2003. While making their presence wide spread through a number of main providers, investors have been left with the task of considering whether or not IHFIs achieve in practice a better if not outright alternative to established Hedge Funds of Funds (HFOFs ). What the assessments provided by this report show is that IHFIs are not very different to HFOFs and in many ways HFOFs remain a more viable alternative. Large dispersions are shown to exist for the same types of Hedge Fund Strategies amongst the different IHFI providers. The subscription and redemption costs, notice periods and annual fees make the actual performance which investors can expect to realise from Buy and Hold investing, substantially less than that reported for the underlying indices on which the IHFIs are based. In summary, many practical challenges remain open with investing in IHFIs and will require considerable time and resources to shift the vote towards IHFIs away from HFOFs if at all. Click here for full article Longshort equity hedge funds have historically outperformed traditional long equity exposure with lower risk. This is a result of a demonstrated capability by longshort managers to generate alpha via stock selection, rotation in and out of cash and timely shifts in market exposures (e. g. large vs. small capitalization, sector, geography, etc). As a consequence, longshort managers have tended to generate a highly favorable characteristic: a higher correlation to equity markets in rising markets and lower correlation in falling markets (sometimes referred to as an asymmetrical riskreturn profile). Over the past decade, assets under management by longshort equity hedge funds have grown more than 20 annually. This expansion was the most rapid of any hedge fund strategy and longshort managers have displaced global macro funds to claim the largest share of industry assets. Although a portion of this growth in longshort assets was attributable to market appreciation, the demonstrated ability of the managers themselves was also a key factor stimulating inflows. In my view, the optimum portfolio allocation should include adequate doses of unconstrained longshort managers in lieu of passive or active long equity exposure. Indeed, if one relies solely on the historical performance record, longshort managers would entirely displace traditional long-only managers. This view holds up even when longshort manager returns are liberally adjusted downward to reflect possible survivor bias. And while there is no guarantee that longshort manager performance will hold up in the future, it would take a severe deterioration in manager capabilities to justify no allocation, in my opinion. There is no one preeminent asset allocation scheme for delineating the role of longshort hedge funds in portfolios-it depends on an investors current positions and portfolio management structure. Approaches include allocating to an aggregate longshort category and populating the space with generalist managers that invest broadly. Alternatively, one can distinguish between geographic markets (developed, emerging, etc) or invest in styles (valuegrowth) as part of the overall equity allocation. In this article, I make the case for incorporating the alpha-generating capabilities and the implicit beta exposure of longshort managers explicitly in the asset allocation process. The first section reviews the evolution of longshort hedge funds. The performance characteristics of the longshort managers are then reviewed in the second section. The third section describes the basic determinants of longshort manager returns. This is followed by an analysis of what allocations to longshort managers might make sense. The final section discusses the attributes of various longshort managers who specialize in sectors. The key conclusion is that longshort managers have a demonstrated ability to outperform on a risk-adjusted basis compared to most long-only vehicles. I believe substantial allocations to these managers are appropriate regardless of whether one views them as a substitute for active equity managers or as a stand-alone hedge fund strategy. Click here for full article Anjilvel et al 2001 emphasize the alpha advantage of hedge fund managers. They write, Our research has shown that a significant proportion of the total return to hedge funds in the past has been alpha, in contrast with a small negative total alpha for mutual funds . They hypothesize, One possible explanation for an alpha advantage. is that. the active managers can forecast expected returns better than others. This means a significant ability to exploit market inefficiencies to outperform their benchmarks, presumably by virtue of skill, knowledge, and insight. This view of hedge fund management has a direct impact on the potential capacity of the hedge fund industry. To figure out the capacity of the hedge fund industry, we start by quoting from Cochrane 1999: . the average investor must hold the market so portfolio decisions must be driven by differences between an investor and the average investor. If hedge funds are exploiting market inefficiencies, this means that other investors are supplying those inefficiencies. This means that, unfortunately, we cant all profit from exploiting inefficiencies. Therefore, there is a natural cap on the potential size of the hedge fund industry, assuming that hedge funds are indeed exploiting inefficiencies rather than taking in risk premiums. Click here for full article We construct an equallyweighted index of commodity futures monthly returns over the period between July of 1959 and December of 2004 in order to study simple properties of commodity futures as an asset class. Fully-collateralized commodity futures have historically offered the same return and Sharpe ratio as equities. While the risk premium on commodity futures is essentially the same as equities, commodity futures returns are negatively correlated with equity returns and bond returns. The negative correlation between commodity futures and the other asset classes is due, in significant part, to different behavior over the business cycle. In addition, commodity futures are positively correlated with inflation, unexpected inflation, and changes in expected inflation. Click here for full article This paper incorporates investor preferences for return distributions higher moments into a Polynomial Goal Programming (PGP) optimisation model. This allows us to solve for multiple competing hedge fund allocation objectives within a mean-variance-skewness-kurtosis framework. Our empirical analysis underlines the existence of significant differences in the return behaviour of different hedge fund strategies. Irrespective of investor preferences, the PGP optimal portfolios contain hardly any allocation to longshort equity, distressed securities, and emerging markets funds. Equity market neutral and global macro funds on the other hand tend to receive very high allocations, primarily due to their low co-variance, high co-skewness and low co-kurtosis properties. More specifically, equity market neutral funds act as volatility and kurtosis reducers, while global macro funds act as portfolio skewness enhancers. In PGP optimal portfolios of stocks, bonds, and hedge funds, where equity exposure tends to be traded off for hedge fund exposure, we observe a similar preference for equity market neutral and global macro funds. Click here for full article Illiquidity is a common feature of alternative investments, but the diversity of hedge fund investments - including OTC derivatives - present special challenges. Hilary Till of Premia Capital Management reviews developments in quantitative techniques for evaluating the effect on performance. Click here for full article OneChicago, LLC has asked Gardner Carton Douglas LLP to summarize the regulatory implications for funds and their advisors of investing or trading in security futures products (SFPs). SFPs are unique in that they are both securities and futures. Funds and investment managers must understand how the use of SFPs may affect their existing registrations andor exemptions or trigger the need for new registrations or exemptions. To navigate the analysis, we have created separate links for each type of fund or advisor. To view a summary of the regulatory implications of using SFPs, click on to the link that corresponds to the situation that is relevant to you. Of course, if more than one situation is relevant to you, you should review each relevant link. The accompanying regulatory analysis is not intended to be exhaustive. It does not include an analysis of the implications of using SFPs under the Securities Act of 1933 or Securities Exchange Act of 1934. Further, this analysis is not legal advice, which may often turn on specific facts. Readers should seek specific legal advice from qualified counsel before acting with regard to the subjects mentioned here. Click here for full article Some investors who are unfamiliar with managed futures are nervous about the volatility of the asset class. Unbeknownst to them, they may be missing an opportunity to reduce the overall risk of loss in their investment portfolios. Historically, diversified investment portfolios perform better and are less volatile when they include managed futures investments. Considering that returns from managed futures tend to be highly volatile, these assertions are counterintuitive. A clearer understanding of how this happens is obtained by studying the nature of managed futures returns and their correlation to stocks and bonds, especially during times of stress for financial markets. Click here for full article The paper tests the performance of 2894 hedge funds in a time period that encompasses unambiguously bullish and bearish trends whose pivot is commonly set at March 2000. Our database proves to be fairly trustable with respect to the most important biases in hedge fund studies, despite the high attrition rate of funds observed in the down market. We apply an original ten-factor composite performance model that achieves very significance levels. The analysis of performance indicates that most hedge funds significantly out-performed the market during the whole test period, mostly thanks to the bullish sub-period. In contrast, no significant under-performance of individual hedge fund strategies is observed when markets headed south. The analysis of persistence yields very similar results, with most of the predictability being found among middle performers during the bullish period. However, the Market Neutral strategy represents a remarkable exception, as abnormal performance is sustained throughtout and significant persistence can be found between the 20 and 69 best performers in this category, probably thanks to an extreme adaptability and a very active investment behavior. Click here for full article Emerging markets have not yet fully made their way back onto investors radar screens. Those who have not looked at the asset class since the turmoil of the late 1990s may be surprised by what they find a mere five years later. Largely unnoticed, emerging markets have outperformed developed markets over the past one-, three - and five-year periods. Investment inflows into the asset class finally showed renewed signs of life in late 2003, following net outflows over the previous five years. This lack of investor interest was in stark contrast to the acceleration of foreign direct investment (FDI) during the same period. Click here for full article The paper highlights the inadequacies of the traditional RAPMs (Risk-Adjusted Performance Measures) and proposes AIRAP (Alternative Investments Risk Adjusted Performance), based on Expected Utility theory, as a RAPM better suited to Alternative Investments. AIRAP is the implied certain return that a risk-averse investor would trade off for holding risky assets. AIRAP captures the full distribution, penalizes for volatility and leverage, is customizable by risk aversion, works with negative mean returns, eschews moment estimation or convergence requirements and can dovetail with stressed scenarios or regime-switching models. A modified Sharpe Ratio is proposed. The results are contrasted with Sharpe, Treynor and Jensen rankings to show significant divergence. Evidence of non-normality and the tradeoff between meanvariance merits vis--vis high moment risks is noted. The dependence of optimal leverage on risk aversion and track record is noted. The results have implications for manager selection and fund of hedge funds portfolio construction. Click here for full article Milind Sharma, Merrill Lynch A Detailed Analysis of the Construction Methods and Management Principles of Hedge Fund Indices - Are All Hedge Fund Indices Created Equal His analysis highlights the strengths and weaknesses of the various hedge fund indices available in the market. Click here for full article Marc Goodman, Kenneth Shewer and Richard Horwitz make the case that the style-based tailwinds that equity hedge funds have enjoyed over the past few years will shift, and could become dangerous headwinds for the unaware investor. Click here for full article Marc Goodman, Kenneth Shewer and Richard Horwitz explore whether hedge funds and fund of funds provide risk-efficient diversification, and how institutional investors can best allocate assets to achieve a superior riskreturn relationship. Click here for full article Hedge Funds are seen as an alternative asset class, but what does this really mean We argue in this report that the long-run returns from hedge funds should differ little from other financial assets. However, their risk characteristics are significantly different, particularly when differentiated by their investment style. It is this characteristic that distinguishes them from conventional assets. Hedge funds are not higher risk and they are not necessarily lower risk: they simply have a different risk profile. As such they should be part of every asset allocation. Click here for full article There are two ways to make money in financial markets. Beta - One way to make money in financial markets is to take on a systematic risk for which the market compensates you. This type of risk is known as beta. For instance, equities have a higher expected return than cash over time for the simple reason that they are a more risky investment than cash. The same is true of long duration bonds versus cash, corporate bonds versus treasuries, mortgages versus treasuries, emerging market debt versus developed market debt, etc. At any given point in time, risky financial assets may be expensive or cheap, but over time, they should return more than less risky assets. Betas are easy to capture (i. e. nave investment strategies can capture betas). Over significant periods of time, betas have positive returns. However, they have low return to risk ratios (we estimate that, over long time-frames, betas have annual Sharpe ratios ranging from 0.2 to 0.3), and for the most part, they are correlated to one another (in part because risk itself is inherent in each of them). Alpha - The other way to make money in financial markets is by taking it away from other market participants. This is known as alpha. Alpha is zero-sum. For every buyer, there is a seller, and so for every alpha trade, there is both a winner and a loser. Examples of alpha strategies include market-timing and active security selection. Only investors who are smarter than the market will be able to reliably provide alpha. Click here for full article The recovery seen in the Japanese market over the last couple of months begs the question, is this the start of a new secular bull market or a cyclical uplift in the extraordinary oversold position we saw at the end of the fiscal year We do not have the definitive answer. Fortunately as a hedge fund of funds, we do not need to time our entry into the market but to be positioned to protect funds regardless of market direction and to make money where we can. We are, however, in a position to reflect on some of the prevalent views amongst our own managers and make some observations of our own. Click here for full article As the speculative bubble of 98-99 gave way to the bear market of 00-01, pension sponsors found that traditional diversification methods have not hedged as much of the market decline as hoped - providing little absolute return protection. In particular, pension surpluses have been shrinking to the point where many organizations will be faced with a need to contribute additional funds to their pension plans just as their earnings are falling due to the economic slow-down. Therefore, its not surprising that investors are increasingly drawn to a new strategy thats relatively unaffected by the markets and the economic environment: market neutral investing. With strong positive returns and low levels of volatility, market neutral strategies are making their way into the asset allocation plans of a growing number of institutional and other qualified investors. Incorporating investment techniques that, in isolation, have historically been considered risky, investors are discovering that certain market neutral strategies are, in fact, less risky than traditional equity investments. Click here for full article I extend the classical market timing model of Merton (1981) to the case of multiple risk factors and show that the equilibrium value of a market timers forecasting ability can be written more generally as a weighted-sum of Arrow-Debreu-type contingent claim prices. Following these results I develop a class of return-based parametric tests to evaluate the ability of a portfolio manager to time multiple markets. I apply these tests to evaluate the performance of fund of funds hedge fund managers. I show that, both individually and on aggregate, fund of funds managers do not exhibit timing ability with respect to a variety of hedge fund styles. However, I argue that this result is due to frictions created by the hedge funds into which these vehicles invest. Click here for full article This paper attempts to evaluate the out-ofsample performance of an improved estimator of the covariance structure of hedge fund index returns, focusing on its use for optimal portfolio selection. Using data from CSFB-Tremont hedge fund indices, we find that ex-post volatility of minimum variance portfolios generated using implicit factor based estimation techniques is between 1.5 and 6 times lower than that of a value-weighted benchmark, such differences being both economically and statistically significant. This strongly indicates that optimal inclusion of hedge funds in an investor portfolio can potentially generate a dramatic decrease in the portfolio volatility on an out-of-sample basis. Differences in mean returns, on the other hand, are not statistically significant, suggesting that the improvement in terms of risk control does not necessarily come at the cost of lower expected returns. Click here for full article That hedge funds have started to gain widespread acceptance while remaining a somewhat mysterious asset class enhances the need for better measurement and benchmarking of their performance. One serious problem is that existing hedge fund indices provide a somewhat confusing picture of the investment universe. In this paper, we present detailed evidence of strong heterogeneity in the information conveyed by competing indices. We also attempt to provide remedies to the problem and suggest various methodologies designed to help build a pure style index, or index of the indices, for a given style. Finally, we present evidence of the ability of pure style indices to improve benchmarking of hedge fund returns. Our results can be extended to traditional investment styles such as growthvalue, small caplarge cap. Click here for full article A key measure of track record quality and strategy riskiness in the managed futures industry is drawdown, which measures the decline in net asset value from the historic high point. In this discussion we want to look at its strengths and weaknesses as a summary statistic, and examine some of its frequently overlooked features. Click here for full article The growth in demand for hedge funds since 1995 has been significant. During this period, the assets invested in hedge funds grew from an estimated 100 billion to over 500 billion. Ultimately, the sustainability of this growth depends upon the relative and absolute investment performance ofthe hedge fund industry. Hedge funds provide sophisticated investors with access to virtually every investable asset class combined with the expertise needed to manage these complex investments. These investors receive positive returns, enhanced diversification when combined with stocks and bonds, low volatility, and protection against significant drawdowns..This paper discusses systematic trend following, a hedge fund style that has a 20 year track record of producing positive annual returns with low to negative correlation to most other asset classes and hedge fund strategies. Exhibit I compares the ZCMMAR Trend Following Index versus the SP 500 and the Lehman Treasury Bond Index since 1983. Click here for full article Hilary Till continues in the spirit of her August 2002 Quantitative Finance feature on measuring risk-adjusted returns in alternative investments. Click here for full article In this paper we study the possible role of managed futures in portfolios of stocks, bonds and hedge funds. We find that allocating to managed futures allow investors to achieve a very substantial degree of overall risk reduction at limited costs. Apart from their lower expected return, managed futures appear to be more effective diversifiers than hedge funds. Adding managed futures to a portfolio of stocks and bonds will reduce that portfolios standard deviation more and quicker than hedge funds will, and without the undesirable side-effects on skewness and kurtosis. Overall portfolio standard deviation can be reduced further by combining both hedge funds and managed futures with stocks and bonds. As long as at least 45-50 of the alternatives allocation is allocated to managed futures, this again will not have any negative sideeffects on skewness and kurtosis. Click here for full article There are many benefits to investing in hedge funds, particularly when using a diversified multistrategy approach. Over the recent years, multi-strategy funds of hedge funds have flourished and are now the favorite investment vehicles of institutional investors to discover the world of alternative investments. More recently, funds of hedge funds that specialize within an investment style have also emerged. Both types of funds put forward their ability to diversify risks by spreading them over several managers. However, diversifying a hedge fund portfolio also raises a number of issues, such as the optimal number of hedge funds to really benefit from diversification, and the influence of diversification on the various statistics of the return distribution (e. g. expected return, skewness, kurtosis, correlation with traditional asset classes, value at risk and other tail statistics). In this paper, using a large database of hedge funds over the 1990-2001 period, we study the impact of diversification on naively constructed (randomly chosen and equally weighted) hedge fund portfolios. We also provide some insight into style diversification benefits, as well as the inter-temporal evolution of diversification effects on hedge funds. Click here for full article Franccedilois-Serge Lhabitant and Michelle Learned Thunderbird, the American Graduate School of International Management Managed Futures: A Real Alternative Managed Futures investments performed well during the global liquidity crisis of August 1998. In contrast to other alternative investment strategies, the performance of Managed Futures was good in that year and had once more demonstrated their diversification potential. More assets did subsequently flow into Managed Futures, but 1999 did turn out to be one of the worst performing years for the industry. Since then, the performance as well as the acceptance of Managed Futures has improved. As the global stock markets are declining, an increasing number of investors is getting attracted to the strategy. The following article will take a closer look at this asset class. Click here for full article The popular perception is that hedge funds follow a reasonably well defined market-neutral investment style. While this long - short investment strategy may have characterized the first hedge funds, today hedge funds are a reasonably heterogeneous group. They are better defined in terms of their freedom from the constraints imposed by the Investment Company Act of 1940, than they are by the particular style of investment. We study the monthly return history of hedge funds over the period 1989 through to January 2000 and find that there are in fact a number of distinct styles of management. We find that differences in investment style contribute about 20 percent of the cross sectional variability in hedge fund performance. This result is consistent across the years of our sample and is robust to the way in which we determine investment style. We conclude that appropriate style analysis and style management are crucial to success for investors looking to invest in this market. Click here for full article We study the diversification effects from introducing hedge funds into a traditional portfolio of stocks and bonds. Our results make it clear that in terms of skewness and kurtosis equity and hedge funds do not combine very well. Although the inclusion of hedge funds may significantly improve a portfolios mean-variance characteristics, it can also be expected to lead to significantly lower skewness as well as higher kurtosis. This means that the case for hedge funds includes a definite trade-off between profit and loss potential. Our results also emphasize that to have at least some impact on the overall portfolio, investors will have to make an allocation to hedge funds which by far exceeds the typical 1-5 that many institutions are currently considering. Click here for full article This column will discuss the state of the art in applying returns-based analyses to hedge funds. It will pay particular attention to those hedge fund strategies where the use of derivatives and dynamic trading strategies can lead to highly assymetric outcomes. Click here for full article Hedge funds and other actively managed strategies contain two fundamental sources of risk: 1) Systematic risk - the risk associated with exposure to market-wide influences such as the broad equity or fixed-income market, and 2) Active risk - the risk associated with the performance of active managers relative to their market benchmarks. The conventional asset allocation approach employed by most plan sponsors and consultants fails to integrate these two sources of risk. This can lead to the formation of inefficient portfolios. In this article we propose a risk allocation framework that focuses on risk exposures instead of asset class exposures. Click here for full article Brett H. Wander and Dennis M. Bein Analytic Investors Private Placement Life Insurance The New Alternative in Insurance Within this report, we attempt to illustrate a simple bridge between hedge fund and insurance language and products, attempting to uncover the edge that exists in combining these fundamental vehicles of traditional and alternative investment worlds. Click here for full article Brad Cole and Christine Kailus Cole Partners Alternative Asset Strategies: Early Performance in Hedge Fund Managers This paper investigates the effects of age on hedge fund performance. In particular, we seek to ascertain whether hedge funds perform better during the early stages of their development. Existing studies seem to lack practicality and conclusiveness, with some studies failing to address adequately the issues of survivor and market biases. Survivor bias results from the tendency of hedge funds with poor performance to drop from available databases, causing industry performance returns to appear better than they are in reality. Market bias suggests that the recent success of many hedge funds results from strong general market performance and not necessarily from hedge fund managers skills. Unfortunately, the lack of complete and consistent data makes addressing these biases difficult. As hedge funds disappear from databases, survivor bias becomes embedded in available data. In addition, since most hedge fund databases only have significant information for the past five to ten years (coincident with one of the strongest U. S. equity market periods) market bias would also seem to be inherent in the data. In order to attempt to address these issues, this study has compiled information from various sources, including deceased funds, to create a more comprehensive database of available hedge fund information. Additionally, hedge fund returns were calculated according to age rather than vintage so that not all early returns come from the same market period. Where appropriate, subsets of this database were used. In all cases, individual hedge fund return data and not hedge fund style or hedge fund index data was used.1 Based upon this data, our conclusion is that despite the biases found in the data, investors may gain enhanced returns by investing in young hedge funds if proper due diligence is completed. Hedge funds under three years of age tend to perform better than do older hedge funds without necessarily adding to the volatility of returns. Click here for full article Given the tremendous rise in hedge fund assets, one of the most common queries we receive from clients today is: Have hedge funds grown to the point where they are no longer the market tail but the entire dog And if hedge funds have become the market dog, does the dog now have fleas That is has the proliferation of hedge funds created yet one more bubble that needs to be popped before the market can resume even a vague semblance of normal behavior Click here for full article Innovative financial engineers in alternative investments are knitting a web of complex interdependencies, yet no one has a masterplan. Click here for full article In a previous article Hillary Till touched upon the difficulty of using standard measures to evaluate certain hedge fund strategies. Here, after reviewing these difficulties, she discusses state-of-the-art solutions. Click here for full article Randy Warsager examines the treasures and the pitfalls awaiting those who make the transition from traditional to hedge fund manager. Click here for full article Selling managed futures to institutional investors is like trying to get the National Bowling Championships on primetime network TV. While the networks are making unprecedented allocations of primetime to sports coverage, bowling gets a continually smaller slice. In fact, Ive heard of one venture capitalist who is buying up all the bowling alleys in the country in order to launch a new craze, Ballroom Hurdle Dancing. Really, it is easy to pick on managed futures. In fact, the only reasons more people are not kicking managed futures is because they are too busy gagging on their distressed debt, high tech and value equity investments. The Barclay Systematic Traders index which some consider to be the core CTA index was -3.63 for 1999 and is -1.70 through September 2000. But is managed futures a strategy that is just out of favor or are the wheels falling off the cart Through a series of interviews with database providers, investors, distributors and managers, we estimate a net outflow of assets due to poor performance and redemptions somewhere between of between 35 to 50 over the last eighteen months. We also feel the number of players has been trimmed by about 30. Our source for these numbers was not purely scientific, but as a 20-year participant in the futures industry, we have had to do some digging - enough to make us believe that this group is truly at a crossroads. Herein, we cut through the carnival of marketing jargon to find the real drivers running CTA-land. Click here for full article Brad Cole, President, Cole Partners Managing Investor Drawdowns Through a Risk Control Plan: A New Model for Evaluating Manager Performance Tushar Chande, President LongView Capital Management, L. L.C. The Benefits of a Long Volatility Investment Approach in a Multi-Fund Portfolio Alan R. Kaufman Chief Investment Officer, Trilogy Capital Management Group, L. L.C. Risk Management: A Practical Approach to Managing a Portfolio of Hedge Funds for a Large Insurance Company Norman Chait, CFA, AIG Global Investment Corporation Posted by April at 02:52
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