The traditional asset allocation to equities and bonds is characterized by high volatility and
lacks sufficient diversification, particularly during periods of distress. The meltdown of 2001 …

Investigation of an index of returns on professionally managed currency funds and a subset
of returns from 34 individual currency fund managers finds that over the 1990–2006 period …

We make use of a new database on daily currency fund manager returns over a three-year
period, 2005–2008. This higher frequency data allows us to estimate both alpha measures …

We describe the narrative framework called modern portfolio theory, including mean-
variance optimization, the capital asset pricing model, arbitrage pricing theory, and the …

Delve into ETFs for smarter investing and a weatherproof portfolio Beyond Smart Beta is the
investor's complete guide to index investing, with deep analysis, expert clarification and …

Descriptive statistics of the alternative asset classes are based on quarterly net of fees log
returns data from March 1990 to December 2009. The total number of observations is 80 …

Active asset management involves the search for investments and strategies yielding high
alphas. In estimating alpha, it is necessary to find some way to measure the risk-adjusted …

Agency theory is about striking the right balance between principals and their agents. In any
agency relationship, the motives and desires of the agent may be different from that of the …

This research employs the Random Forests methodology to identify the relationship
between the betas and 13 variables of financial and non-financial nature for the stocks listed …

Use powerful C++ algorithms and Object Oriented Programming (OOP) to aid in hedge fund
decision making Low interest rates, overcrowded markets and greater regulatory oversight …