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Displaying 451 - 465 of 466
What is Right & What is Wrong With the Sharpe Ratio?
William Sharpe’s 1975 article, “Adjusting for Risk in Portfolio Performance Measurement,” applied Harry…
Risk Management
Eurex Clearing and DB Group: New Paper on CCPs
The Deutsche Börse Group and Eurex Clearing have together issued a white paper on “How central counter-…
Risk Management, Hedge Funds, Access to Alternatives
A Challenge to Bayesian Probability
A surprising dust-up in the blogosphere in recent days concerns Thomas Bayes, and the distinctive branch of…
Risk Management, Manager Selection
Winner Takes All, and Liquidity Takers Win
A new report stresses the extent to which the world of high-frequency trading is winner-take-all. Three…
State of the Industry, Risk Management, Hedge Funds
Questions in Risk: The Different Faces of Private Equity Investing
By Donna Marie Howe, CFA Last week when we met, one of my friends (Jim Purnell, CRO at Kenmar Group) and I…
Risk Management, Private Equity
GMI Numbers-Crunching Predicts Stock Returns
Nobody ever said winning alpha was going to be easy. Among the people who don’t say that, count the author of…
Risk Management, Manager Selection, Hedge Funds
Remembering Enron and Contending with Warren Buffett
Last year legendary investor Warren Buffett, with help from a law professor, Lawrence Cunningham, brought out…
Risk Management, Hedge Funds, Asset Allocation
Europe’s Valuation Practitioners Say: To Heck With Theory
A recent survey of firm-valuation experts from 10 European countries indicates that they can produce wildly…
Risk Management
Axioma on those Low-Vol Picnic Baskets
Our regular readers will remember that we have discussed low-vol strategies here before, as recently as…
Risk Management, Hedge Funds
Stop Loss (and Gain) Rules as Alpha Generators
Austin Shelton, a Ph.D. candidate at the University of Arizona, has applied quantitative rigor to the…
State of the Industry, Risk Management
Rajaratnam Prosecution Sends a Signal: Traders Notice
A recent study looks at the degree to which pre-merger trading activity has changed since the arrest of Raj…
Risk Management, Hedge Funds, Access to Alternatives
Doing Penance for the Draw-down
A new paper by David H. Bailey and Marcos Lopez de Prado suggests that one of the consequences of over-…
Risk Management, Manager Selection, Hedge Funds
A Reductionist View of BAB, Debunked
Clifford S. Asness and two associates have made the case in a recent paper not only that a strategy of…
Risk Management, Hedge Funds, Asset Allocation
A Bayesian Rethinks CAPM
D.J. Johnstone, a professor at the University of Sydney Business School in Sydney, Australia, is re-working…
Risk Management
A Long-Dead Mathematician and Some Very Lively Problems
The dour-looking fellow you see before you is Thomas Bayes, a mid-eighteenth century English mathematician,…
Risk Management