Analytic formulae for Commodity Contingent Valuation
In this article we present up to date techniques and ready-to-implement solutions to perform the valuation, using some well known results in stochastic cal...The Impact of Short Sales Restrictions
The literature on the impact of constraints on short selling would suggest that we might initially expect to see higher skewness in the returns of stocks s...Excerpts from the Guide to Sound Practices for Funds of Hedge Fund Managers
2. INVESTMENT PROCESS AND PORTFOLIO RISK MANAGEMENT
This chapter deals with the sound practices relating to the creation of an investment process an...The Alleged Fraud at Madoff Securities
However, investors should be reminded that Madoff was not structured as, and is not representative of, a typical hedge fund.
read more...Podcast
Financial Stability Report: Oct 2008
The Bank’s responsibilities for monetary stability are set out in the Bank of England Act 1998. Responsibility for financial stability in the United Kingdo...ETF and ETP Industry Review
· At the end of May 2009 the Global ETF industry had 1,660 ETFs with 3,008 listings, assets of $775.20 billion, from 90 providers on 42 exc...
ETF Landscape: Industry Review, June 2009
The remarkable growth of the ETF industry has had many positive consequences for investors. The entrance of more asset managers has boosted competition and...Metals Magnifier - November 2008
- Demand is of course only half of the story and the impact of the recent dramatic price declines is leading to a rapid supply response. By metal, the scal...The new global balance
In recent years, economic doomsayers have predicted an apocalyptic scenario in which investors turn their back on US assets, leading to a downward spiral of dol...
An Annus Horribilis, But Not the End
Already the industry’s once estimated $2 trillion in assets under management has shrunk by 25%, perhaps more, owing to the combined impact of redemptions a...Madoff Begs Questions, Promises Litigation
For investors, the big issue is how funds of funds portfolio managers missed such a big diversion. FoFs, afterall, get paid a 1% fee to carry out basic dil...Odey funds gain amid turmoil
Odey European, the firm’s flagship fund run by founding partner Crispin Odey, earned double digit percentage returns across its four fund classes. The euro...Simon Kerr talks
to Ian Ellis of MicroCapital
Ian, what has been happening in your area of investment recently?Well we have been through the typical shape of relative perf...
Talk of Swiss Exodus Is Exaggerated
In recent years, of course, there hasn’t been much competition to London. Surveys show that upwards of 90% of the European industry’s $300 billion plus in ...Bob Doll investment commentary
– Many observers have been pointing to the extreme run-up in equity prices over the last six months as a sign that stocks may have come too far, too fas...Bob Doll investment commentary
Average rose 4.0% to 9,093, the S&P 500 Index advanced 4.1% to close at 979 and
the Nasdaq Composite added 4.1% to close the week at 1,966. This puts th...Bob Doll Investment Commentary
– In many ways, financial markets have been following the typical pattern associated with economic recoveries. The stock market has been rising, with tho...Bob Doll Investment Commentary
- The bulls, on the other hand, believe that a global inventory upswing is beginning, reflation policy has taken hold, the housing market is bottoming,...Bob Doll Investment Commentary
The key points are below:- While the Fed seems to be doing everything in its power to help the economy and the banking system to rec...
The Credit Crisis, Government Action and the Economic and Investment Outlook
In the attached newsletter, Bob Doll, Vice-Chairman and Chief Investment Officer for Global Equities at BlackRock, and Peter Fisher Co-Head of BlackRock’s ...Tomorrow's Risk Management: How behavioral economics, cognitive studies and complexity science add up to more than their own sum
The thought-provoking study, “Tomorrow’s Risk Management: How behavioral economics, cognitive studies and complexity science add up to more than their own ...Fear Is Good
...
Guernsey - New Fund and Prospectus Rules
Commission has published new rules to govern.
Click here to see the update in ful...Guernsey - Exciting new framework of regulation for funds
Castle Hall Alternatives: Hedge Fund Investing in a New World
The hedge fund industry will not be immune: while some hedge funds have performed well, many have faltered and some have failed spectacularly. Curren marke...Flawed Assumptions about the
Credit Crisis
While there is no denying that we are mired in a very serious financial crisis, this does not yet appear to have transformed into a general credit crisis. ...RiskTech 100
This year’s study incorporates a refinement to the ranking methodology by introducing the new scoring category of “innovation”. The rapid pace of change in...Viability Challenges to Funds of Hedge Funds
In the wake of portfolio pressures coming from hedge funds with questionable prime brokers (Lehman, Bear), credit facilities and liquidity, combined with invest...
Committee on Oversight and Government Reform
The hearing examined systemic risks to the financial markets posed by hedge funds and proposals for regulatory and tax reforms.
Please click on th...Swedish Presidency Compromise text on AIFM
http://hfj.postcms.com/cms/preview/research/council-of-the-eu/...Behind the Gates: Hedge Funds in Focus
In this report Credit Suisse examines the industry's assets and fund flows. Credit Suisse also review the profile of the industry by number of funds, redem...Credit Suisse Liquid Alternatives
Monthly Hedge Fund Commentary
Key findings from the report:- Emerging Markets was the top performing strategy, returning 5.2%, benefiting from global optimism ...
Credit Suisse/Tremont Commentary
A monthly commentary provides insight into June hedge fund performance. Some key findings from the report include:- Convertible Arbi...
Monthly Hedge Fund Commentary
March saw a return of risk appetite as some equity markets had 20%+ rallies, catalyzed by positive news from Citibank and other large financial institution...Credit Suisse/Tremont - Oct. Hedge Fund Performance
Hedge Funds Decouple as Equity Markets Continue to Decline
A monthly publication from Credit Suisse/Tremont offers a 360 degree review of the events that shaped hedge fund performance over the previous month. The r...One for the History Books
History Books: Hedge Fund Performance in 2008, a review of the factors which contributed to hedge funds’ dismal -19% return in 2008.
The report discuss...Dechert On Point
This DechertOnPoint examines these and other related regulatory developments intended to clarify the fair value accounting standard.
read more...Hedge Funds: Redefining the Course
This year’s survey was executed in cooperation with Ipsos MORI, an independent research company. A total of 113 senior operational executives from leading ...Opportunity to bring hedge funds onshore
The potential benefits are enormous: governments would gain fiscally; considerable employment would be generated; enhanced governance and transparency woul...Survey on risk management for asset management
In such an environment, we believe that careful thought about future developments and possible improvements in risk management should be extremely valuable...Hugh Hendry is a bear of others’ views on inflation
However the piquancy of the bon mot should not detract from the seriousness of his messages. Or the analysis and consideration which goes into his views. I...December Hedge Fund Returns (Estimates)
After six months of losses, the Convertible Arbitrage strategy managed a positive return (+1.70%). This monthly return is mostly due to Convertible Bonds, ...April Report
Hedge Fund Performance in 2008
Even after the impact of a calamitous year, half the strategies still post cumulative returns above 100% for the past ten years, that is, a compound annual...Hedge Fund Reporting Survey
The survey, which targeted hedge fund managers, hedge fund investors and fund of hedge fund managers, was taken in the summer of 2008. The first response w...Impact of
Regulations
on the ALM of
European
Pension Funds
In a context in which accounting standards and prudential regulations are tightening, requiring greater attention to the volatility of the surplus and less...The Pros and Cons of Passive
Hedge Fund Replication
The conflict between the institutional investor’s requirements for highly transparent investments and the black box nature of hedge funds has prompted atte...January Hedge Fund Returns (Estimates)
As the credit spread increased significantly, the Convertible Arbitrage strategy confirmed last month’s recovery with a second positive return in a row (+5...November Hedge Fund Returns (Estimates)
Similarly, the commodities market produced a severe loss (-13.09%), although again less than half October’s, and has now returned to its level of June 2005...The Undesirable Effects of Banning Short Sales
One can hardly argue that they were over-informed and that they earned abnormal returns. As a result, short sellers perhaps did not really merit the punish...European CLO Asset Managers
Changes in the European structured credit and leveraged loan market since January 2007 have created an unprecedented and challenging environment for CLO ma...Reviewing and Rating Fund of Hedge Fund Managers
These specific criteria subsets have been developed to incorporate, within the general Asset Manager Rating framework used by the agency to rate asset mana...Hard Times Come To The Hedge Funds
Financial Crime Newsletter
The NFSA aims to coordinate the public and private sectors effort to make the UK a hostile environment for fraudsters. This is of particular importance at ...Market Watch – Issue 30
This article sets out the FSA’s findings around three main areas:
- Firms’ policies on rumours
- Training and communication o...FSA Market Watch
- Unauthorised trading at Société Générale: update
- Market abuse controls: follow-up visits to hedge fund managers
- Alternative Instrument Ide...FSA: Short selling
proposals on the regulation of short selling in our DP9/01 Short Selling, published in February 2009. This followed our comprehensive review of policy on short ...
The Turner Review
This does not mean that the economic recession which many countries in the world now face will be anything like as bad as that of 1929-33. The crisis of th...The Currency Crises of 2009 & Australia is Swimming Upstream
In this letter over the next few months, we plan to outline our idea that the world is currently in the eye of this powerful financial storm and that it w...April Fools’ Month
MARKET INSIGHT REPORT
"After reading the recent press about the economic and political maneuverings in and around Latvia over the past few weeks, I became very depressed. To me,...When Something Looks Inevitable, It Isn’t
To view to Market Insight Report in full, please click here
...GFIA Market Review
- Generally poor economic news coming from the markets
- Currency depreciation the main loss driver in Japan and Korea
- Concerted in...GFIA Market Review
- India comes a close second to domestic China for suffering the biggest losses
- Most Asian currencies weakened against the US$ despite better sovere...Investing in hedge funds in emerging
markets:
In this report, GFIA analyzes and discusses how hedge funds specializing in emerging market investing can both exploit these market inefficiencies, and pro...Market Review
- Market Review- The only direction was up
- Good news aplenty in Taiwan
- no contraction in GDP can dampen the ral...Growth outlook remains anaemic despite risk of meltdown easing
Although there may be an economic recovery next year, the level of rebound will remain subdued for an extended period due to the need for households to con...Global Investment Views
Global Investment Views
In summary:- The risk to earnings remains to the downside as the contraction in economic growth creates an increasingly difficult en...
Valuations following stock market rally no longer compelling
Second quarter corporate earnings continue to beat forecasts. But as earnings expectations for 2009 were reduced to extremely pessimistic levels, it makes ...Hedge funds’ assets to
fall by over a fifth
in 2009
After a decade of growth averaging around 20 per cent a year, assets under management of the global hedge fund industry fell by nearly 30per cent in 2008 t...IKOS Investor Newsletter
The futures strategy performed well in October, generating positive returns in all sectors and most model groups. Only longer term value did poorly, as hig...IMS Asset Management and Securities Regulatory Update
closer both in the UK (and Europe) and the United States. With significant rear guard action being fought against the Alternative Investment Fund Management Dir...
Hedge Funds Oversight:
Final Report
The aim of this Final Report is to recommend the following six high level principles on the regulation of hedge funds, taking into account the outcome of ...The Emergence of a two tier Insurance Market
believe they are owed.
Investors are, unsurprisingly, looking for scapegoats and the many different plantiffs' lawyers are taking aim at targets with ...Winds of Change
Investors breathed a collective sigh of relief, however, as stimulus programs began to take hold and signs of recovery appeared, sending stock markets soar...Kaye Scholar Client Alert
To read the Alert in full, please click here (41KB)
For information, pleas...Focus Newsletter
asset management community. It provides a synopsis of the latest news
and updates within the industry as well as challenging thinking around
key topic...Kinetic Partners: Focus
It provides a synopsis of the latest news and updates within the industry as well as challenging thinking around key topics .This issue looks at what we ha...Kinetic Partners: Focus
It provides a synopsis of the latest news and updates within the industry as well as challenging thinking around key topics .This issue looks at what we ha...Investment Management Alerts
Lehman Brothers International (Europe) — Proposed Scheme of Arrangement for Trust Property
On 16 March 2009, the High Court of Justice heard the application of the administrators of LBIE for an order that:
a. the administrators b...
Hedge Fund Standards:
Best Practice
Following a consultation process the HFWG published a report outlining 28 principles-based standards for best practice (‘the Standards’) and in February 2...ASSET FLOWS
REPORT· Net outflows of the hedge fund industry in first quarter 2009 decreased 21% quarter on quarter to US$115.71 billion - the second largest ...
HEDGE FUND PERFORMANCE SNAPSHOT
· Overall, hedge funds continued their winning streak in August, with all hedge fund strategies except Dedicated Short-Bias (-1.22%) ending the month i...Hedge Funds Insight Report
· Over May all hedge fund strategies except Dedicated Short-Bias posted positive performance. Confirming the trend of the previous two months, the best...A Checklist for Hedge Fund M&A and Consolidation
Deals in the Works
M&A will continue to be a key theme for hedge fund managers entering the midway point of 2009. Firms will either see...Shedding light on responsible investment: Approaches, returns and impacts
To view the summary report and learn more about purchasing the full report, please click here.
<...How will the SEC Protect the Market from Exposure to Naked Short Sales and other Abusive Transactions?
The SEC has had time to reflect on the measures adopted in 2008. In addition, the new administration is anxious to be proactive, especially in light of rec...MSCI Barra
But does currency hedging pay off in the long run? We investigate this question using data from the hedged and unhedged versions of the MSCI Global Investa...Currency Hedging: A Free Lunch?
Contrary to some prior studies, there is no free lunch for the equity investor. Instead, the usual, intuitive relationships hold: less risk usually means l...Efficient Replication of Factor Returns
Examining Risk in GCC Markets
Impact of shorting restrictions on portfolio efficiency
Download PDF...Results of MSCI Barra Semi-Annual Index Review
Download results from November 2008 Semi-Annual Index Review:
MSCI US...Pension Provision and the Economic Crisis
The survey shows that, over the last five months, the likelihood that employers will make changes to their scheme in the wake of the current economic envir...South African Hedge Fund Suvey October 2009
This voluntary survey is conducted by means of a questionnaire sent to hedge fund managers. Only local domiciled, rand denominated funds classifying themse...Cayman in Calm Waters
relayed by journalists and commentators with anti-Offshore Financial Centres agendas.
In short, Cayman's financial position is sound and its business ...Hedge Funds 12 Months After September 15 - Emerging From The Wreckage
Finally, the Madoff scandal further tarnished the reputation of hedge funds. By the end of December 2008, some market participants and the financial press ...A first guess for the hedge fund attrition rate in 2008
After a decade of dramatic growth, the hedge fund industry is experiencing the greatest shock of its short history. First estimates indicate that the hedge...Managed accounts and tracking error risk
Moreover, many hedge funds had to restrict the liquidity of their funds by implementing gates or side pockets. This was the result of both an asset and lia...“2 & 20” Fee Structure being driven Down by Institutional Pressure
Please see the attached Research Report for more information on the latest trends on the terms and conditions of management and performance fees for hedge funds...
2009 Global Hedge Fund Investor Review
This month’s research report draws upon this vital analysis to provide an overview of the current Investor Universe, with fascinating statistics along with...73% of investors: hedge fund returns meet or exceed expectations
The report is based upon an extensive survey carried out in September 2009 of over 50 institutional investors including private and public sector pension f...Changing rules
The business environment remains extremely challenging yet the regulatory consequences of the credit crunch and their potential impact on the marketplace a...Hedge Fund Regulation
Highlights:
- New regulatory and legislative action is likely to result in greater oversight of hedge funds and other alternative investment man...Hedge funds key to global market stability
Operational Risk: An Alternative Challenge
We predicted that the influx of institutional money would have two effects on the marketplace – first, there would be a degree of polarisation towards the ...The Cayman Islands tax arrangement signed
Raising Capital in a New Era
The survey reveals some interesting insights about how lenders and borrowers view current economic conditions and how they have affected capital markets.The Madoff Case:
Even though some pointed to Madoff as a possible scam since the turn of the millennium too few investors listened. The Madoff situation clearly shines impo...A New World Order
Confronted with an undeniable recession and a full-scale global economic crisis, the once optimistic view of the hedge fund community has been tempered and...Rothstein Kass research
Administration is likely to increase regulation of the hedge fund industry, according to 'A New Regime: The Regulatory Climate for Hedge Funds,' the latest repo...
SFAS 157 Fair Value Measurements
Under generally accepted accounting principles (“GAAP”), there are various pronouncements throughout its authoritative literature that make reference to “f...Under Fire, Rated Hedge Funds Will Likely Retool and Rise Again
In the current market turbulence, critics are blaming the hedge fund industry for contributing to market volatility and steep dives in equity share prices ...S&P Fund Services FOHFs sector update
“Many funds of hedge funds are still dealing with liquidity issues beyond the recovery in equity and credit markets,” said S&P Fund Serv...
The Risks of Financial Modeling, VaR and the Economic Breakdown
“Economics has not been known in the past for mathematical precision. The supposedly immutable ‘laws’ underlying the quantitative analyst models didn’t wor...Discounting a better future
“We are in a period where exceptional stimulus packages are being launched around the world. This affects real economies but also financial ...
Regulating Hedge Funds and Other Private Investment Pools
Please click on a name below to view the respective testimony:
Majority Statements
Jack Reed<...Corporate Governance: fact or fiction?
With the demise of the (old) UK banks and problems of the (newly reorganised) UK banks, it is interesting to note some analysts and experts are now suggest...Galleon edge illegal, but information flows to hedge funds can be important
To a great extent, and particularly in America, hedge fund managers are paid their large fees to be experts in a particular area. As America is home to so ...A wolf in sheep's clothing
We are increasingly asked by clients whether it is possible to run a Hedge Fund as a UCITS* Fund. For the purposes of this note, UCITS are referred to in t...Barbarians at the Hedge Fund Gates
Against the background that hedge funds have generally outperformed both the equity and debt markets year to date, it is a little surprising that confidenc...Financial markets alert
For those interested in responding, you have until the end of this week to do so: the 9 January deadline has been chosen "… as we are seeking to resolve th...The Case of Volkswagen
On 29 October, the Federal Financial Supervisory Authority ("BaFin"), the German financial regulator, revealed that it would look into the issue to decide ...Minimising Regulatory Capital Requirements
With the implementation of the Markets in Financial Instruments Directive ("MiFID") and the implementation of the Re-Cast Capital Adequacy Directive ("CRD"...Not just Contracts for Difference (CfDs)
Background
The use of CfDs to build secret stakes in listed companies has in recent years attracted controversy, notably in October last year wh...SJ Berwin Financial Markets Alert
Background
The FSA first introduced disclosure requirements in relation to net short positions of 0.25% of the issued share capi...February Client Alerts
On Feb. 10, 2009, the Federal Reserve Board announced that it will expand the TALF program. In addition, Treasury Secretary Timothy Geithner i...Shareholder Activism Insight
56% of overall respondents expect to see an increase in shareholder activism over the next 12 months. 66% of respondents expect hedge funds in particular t...State Street Global Markets
The sentiment of institutional investors is key and the evidence that this has changed for the good will be found in cross-border equity flows. Broadly, th...Research Note
The Jane Austen industry appears to be recession proof. Her six novels have been endlessly adapted for stage, film and television since her untimely death ...Sovereign Wealth Funds: Emerging from the Financial Crisis
This new Vision paper updates an earlier Vision Series report on sovereign wealth funds published in mid-2008, and highlights the dramatically altered inv...State Street Global Markets
Technical driven ideas on strategical hedge funds allocation
Outflows in Q1 2009, still high, were less than expected. According to HFR the industry manages $1.33 trillion meaning that the loss in AUM since the peak ...Regulators and companies need to recognise ‘gaming’
We seem to accept peculiar stockmarket behaviour as a feature of economic turbulence, without asking what actually creates the patterns. What is evident is...Hedge Fund Managed Accounts
Summary
The debate over the use of managed accounts [1] within the hedge fund industry rumbles on and looks set to run for a good while yet. The ma...UK international financial services –
the future
“This report looks to the future. I am determined that the financial services industry remains an essential and important part of the global economy. Th...Secular Growth in Emerging Markets and How to Access It
Putting to one side the immense market swings we have seen, are the secular growth trends that underpinned such significant emerging market outperformance ...What impact will quantitative easing have on UK pension
schemes?program. The key objective was to stimulate growth in the UK by increasing the amount of money in the economy. The BoE is doing this by buying up assets from in...
