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 allows investors to achieve a …

Authoritative, up-to-date research and analysis that provides a dramatic new understanding
of the rewards-and risks-of investing in CTAs Commodity Trading Advisors (CTAs) are an …

In this paper we investigate whether it is possible for a fund of hedge funds to not only offer
investors access to a diversified basket of hedge funds but to provide skewness protection at …

This paper investigates issues of risk-adjusted performance, value added and leverage for
hedge funds. It applies AIRAP (Alternative Investments Risk Adjusted Performance), which is …

Because VIX has a negative correlation to the S&P 500 index and a number of hedge fund
strategies, the literature has suggested that long positions in VIX can reduce the risk and …

The idea for this book came about when we realized that our book on Commodity Trading
Advisors (CTAs) was so well received. We decided that a hedge fund reader with new …

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INVERTIR EN HEDGE FUNDS ANÁLISIS DE SU ESTRUCTURA, ESTRATEGIAS Y …

The challenge in “long volatility contracts” is to minimize the cost of carrying such insurance,
as implied volatility continues to trade above realized levels. This study proposes a cost …

The challenge in long volatility strategies is to minimize the cost of carrying such insurance
due to negative roll yields and negative volatility risk premia. This study proposes a hedging …

The leveraged municipal bond arbitrage strategy was the primary investment strategy for
dozens of hedge funds. The funds were marketed based entirely on the false claim that …