Insights

Multi-manager hedge funds have offered very attractive returns at relatively low risk levels over the past few years. As a result, they have captured the attention of numerous investors, leading to an ongoing influx of assets under ...

Multi-manager funds have recently experienced remarkable growth in terms of asset acquisition. The rationale behind investors increasingly allocating their hedge fund investments towards these funds is understandable; they consistently ...

Over the past few years, Multi-PM platforms have gained significant traction due to their ability to deliver high returns, low volatility, and minimal correlation to equity markets (refer to The Exclusive Club of Multi-PM Hedge Funds). ...

Most hedge funds report returns only with lower frequency, e.g., weekly or monthly. Yet, many market events play out during a few days only. This imposes the risk that one might miss important dynamics when looking at a time series of ...

In two previous posts (Identifying Alternative Risk Premium Factors and Alternative Risk Premium Factors), we outlined how Quantitative Investment Strategy indices (QIS) can be used to construct common alternative risk factors that contain ...

In a previous post (Identifying Alternative Risk Premium Factors), we outlined how bank risk prima can be used to construct common alternative risk factors that contain largely orthogonal information. These risk factors are based on ...

Why Do We Need (New) Risk Factors? In determining a fund’s ability to generate alpha, or in evaluating a fund’s market risk, the sensitivity of the fund to risk factors is usually considered. In 2004, Fung and Hsieh proposed to measure a ...

How Unique Is My Investment? When making an investment decision, it is important to assess the attractiveness of a potential investment not only on its own, but also in relation to the existing portfolio. The ideal investment offers an ...