This article examines two approaches that many institutions consider when investing in hedge funds: multi-strategy hedge funds and funds of hedge funds. Since data at the index level is limited for these strategies a number of underlying drivers of risk and return are analyzed. The ability to rapidly move capital between strategies is also examined. Further the differences between the business models of multi-strategy managers and funds of funds and the potential impact for investors are explored. The results show that manager selection dominates strategy allocation for hedge funds.

Infrastructure as a new asset class is said to have several distinct and attractive investment characteristics. This article reviews concepts, market developments and empirical evidence on the risk-return and cash flow profile, and the potential for diversification and inflation protection in investor portfolios. Furthermore, a new, global analysis of the historical performance of infrastructure funds is undertaken. There is no proper financial theory to back the proposition of infrastructure as a separate asset class.

Investors face numerous challenges when seeking to estimate the prospective performance of a longonly investment in commodity futures. For instance, historically, the average annualized excess return of the average individual commodity futures has been approximately zero and commodity futures returns have been largely uncorrelated with one another.

For this study of the simple properties of commodity futures as an asset class, an equally weighted index of monthly returns of commodity futures was constructed for the July 1959 through December 2004 period. Fully collateralized commodity futures historically have offered the same return and Sharpe ratio as U.S. equities. Although the risk premium on commodity futures is essentially the same as that on equities for the study period, commodity futures returns are negatively correlated with equity returns and bond returns.

The essence of structured finance activities is the pooling of economic assets like loans, bonds, and mortgages, and subsequent issuance of a prioritized capital structure of claims, known as tranches, against these collateral pools. As a result of the prioritization scheme used in structuring claims, many of the manufactured tranches are far safer than the average asset in the underlying pool.

This paper introduces a number of quantitative tools for manager selection, due diligence, and the ongoing monitoring of hedge funds that the authors believe to be particularly suited to the nature of hedge fund returns. The analyses introduced typically address information relevant to the entire distribution function, as compared to the more conventional practice of utilizing lower moments such as mean returns and standard deviations.

For decades, the standard deviation of investment returns and beta have been the dominant risk metrics and guideposts for building portfolios of risky assets, but these risk measures have provided little help in explaining the cross-asset and cross-market volatility experienced over the last two years. The most recent spate of selling-contagion arose largely as a result of fund flows across asset classes. These flows were related to the urgent and large need to reduce risk and leverage by those investors who found themselves on the brink of financial ruin as a result of losses incurred.

Timberland is a relatively new asset class, having emerged as an attractive investment option for institutional investors in the early 1980s.

Over the past 20 years, distressed debt investing has become increasingly popular. The distressed debt market has increased in size – private equity firms and hedge funds have become key players.

The market for insurance-linked securities (ILS) expanded strongly during the past few years. Although exact data on issuance volumes is not available – due to the private nature of many transactions – estimates suggest that the market grew tenfold during the past decade and more than doubled during the past five years.