Hedge fund “contagion” researcher addresses CAIA gathering in Zurich
|Sep 3rd, 2007 | Filed under: Hedge Fund Industry Trends | By: Alpha Male||
Special to AllAboutAlpha by: Timothy Laing CFA, CAIA, Unicredit
Last week, we covered a Spring 2007 research paper on hedge fund “contagion”. The paper, by Nicole Boyson of Northeastern University, Christof Stahel of George Mason University and Rene Stulz of Ohio State, showed the interconnectedness of various hedge fund strategy indexes. Today, AllAboutAlpha contributor Timothy Laing reports on a speech given by Christof Stahel last Friday in Zurich.
The Swiss chapter of the CAIA Association showed remarkable foresight earlier this year when they scheduled Christof Stahel to speak at their quarterly meeting on August 31st. Stahel and his co-authors released a paper in March 2007 that has seen a fair bit of press coverage since the recent subprime crisis led to a flurry of hedge fund losses (or was it the other way around?). Their paper “Is there hedge fund contagion?” has been quoted in industry journals, the mainstream press, and a number of financial blogs, assuring that Professor Stahel´s presentation last Friday in Zurich was well attended by a cross section of the traditional and alternative investment community.
As Stahel describes it, the research is only a first step. In fact, it raises as many questions as it answers. Stahel indicated during his presentation that his team plans to continue the research, which will attempt to drill down into the results of its first paper - exploring individual funds in an attempt to discover more precisely the origins of the “contagion”.
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