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	<title>AllAboutAlpha.com &#187; Performance, Analytics &amp; Metrics</title>
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	<link>http://allaboutalpha.com/blog</link>
	<description>Hedge funds, portable alpha, 130/30 and alpha-centric investing</description>
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			<item>
		<title>Who said hedge funds don&#8217;t like chaos?</title>
		<link>http://allaboutalpha.com/blog/2010/02/18/who-said-hedge-funds-dont-like-chaos/</link>
		<comments>http://allaboutalpha.com/blog/2010/02/18/who-said-hedge-funds-dont-like-chaos/#comments</comments>
		<pubDate>Fri, 19 Feb 2010 02:18:23 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>
		<category><![CDATA[active management]]></category>
		<category><![CDATA[hedge fund]]></category>
		<category><![CDATA[hedge fund industry returns]]></category>
		<category><![CDATA[hedge fund volatility]]></category>
		<category><![CDATA[VIX]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=9952</guid>
		<description><![CDATA[A report from Moody's shows that hedge funds seem to hate volatility.  But is this always true?]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/02/18/who-said-hedge-funds-dont-like-chaos/feed/</wfw:commentRss>
		<slash:comments>5</slash:comments>
		</item>
		<item>
		<title>Research from the other side: What happens before the birth and after the death of a hedge fund?</title>
		<link>http://allaboutalpha.com/blog/2010/02/16/research-from-the-other-side-what-happens-before-the-birth-and-after-the-death-of-a-hedge-fund/</link>
		<comments>http://allaboutalpha.com/blog/2010/02/16/research-from-the-other-side-what-happens-before-the-birth-and-after-the-death-of-a-hedge-fund/#comments</comments>
		<pubDate>Wed, 17 Feb 2010 02:00:25 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>
		<category><![CDATA[backfill bias]]></category>
		<category><![CDATA[hedge fund databases]]></category>
		<category><![CDATA[hedge fund reporting]]></category>
		<category><![CDATA[survivorship bias]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=9794</guid>
		<description><![CDATA[A new academic study uses 13-F filings to peer before a hedge fund begins to report to a hedge fund database and to look beyond when those funds stop reporting.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/02/16/research-from-the-other-side-what-happens-before-the-birth-and-after-the-death-of-a-hedge-fund/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>What up with the Hedge Funds of Funds Index last year?  Theories abound.</title>
		<link>http://allaboutalpha.com/blog/2010/02/15/what-up-with-the-hedge-funds-of-funds-index-last-year-theories-abound/</link>
		<comments>http://allaboutalpha.com/blog/2010/02/15/what-up-with-the-hedge-funds-of-funds-index-last-year-theories-abound/#comments</comments>
		<pubDate>Tue, 16 Feb 2010 02:00:12 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>
		<category><![CDATA[funds of funds]]></category>
		<category><![CDATA[hedge fund index]]></category>
		<category><![CDATA[hedge fund performance]]></category>
		<category><![CDATA[HFRI]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=9604</guid>
		<description><![CDATA[Academics and researchers who study the hedge fund industry sometimes say that the best way to gauge the average performance of hedge funds is to look at an index of funds of funds (FoFs), not an index of hedge funds themselves.  The funds of funds, the argument goes, contain many funds that do not report [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/02/15/what-up-with-the-hedge-funds-of-funds-index-last-year-theories-abound/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Inferring Reporting Biases in Hedge Fund Databases from Hedge Fund Equity Holdings</title>
		<link>http://allaboutalpha.com/blog/2010/02/01/inferring-reporting-biases-in-hedge-fund-databases-from-hedge-fund-equity-holdings/</link>
		<comments>http://allaboutalpha.com/blog/2010/02/01/inferring-reporting-biases-in-hedge-fund-databases-from-hedge-fund-equity-holdings/#comments</comments>
		<pubDate>Mon, 01 Feb 2010 15:17:49 +0000</pubDate>
		<dc:creator>jblevins</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=9836</guid>
		<description><![CDATA[By: Vikas Agarwal, Georgia State University
Published: February, 2010
Introduction: This paper is a first study that formally analyzes the degree of the self-reporting bias in the hedge funds databases by exploring the quarterly equity holdings of a complete list of hedge fund companies that file the Form 13F to the SEC between 1980 and 2008 and [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/02/01/inferring-reporting-biases-in-hedge-fund-databases-from-hedge-fund-equity-holdings/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Assessing possible sources of systemic risk from hedge funds</title>
		<link>http://allaboutalpha.com/blog/2010/02/01/assessing-possible-sources-of-systemic-risk-from-hedge-funds/</link>
		<comments>http://allaboutalpha.com/blog/2010/02/01/assessing-possible-sources-of-systemic-risk-from-hedge-funds/#comments</comments>
		<pubDate>Mon, 01 Feb 2010 13:48:16 +0000</pubDate>
		<dc:creator>jblevins</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=10250</guid>
		<description><![CDATA[By: FSA, UK
Published: February, 2010
Introduction: We have an important role to play in assessing and mitigating systemic risk as we carry out our supervisory and regulatory functions. It has been suggested that hedge funds2 could pose a source of systemic risk to the financial system and this paper describes some of the survey work we [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/02/01/assessing-possible-sources-of-systemic-risk-from-hedge-funds/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Up-capture: A different way of defining value-added in fund management</title>
		<link>http://allaboutalpha.com/blog/2010/01/21/up-capture-a-different-way-of-defining-value-added-in-fund-management/</link>
		<comments>http://allaboutalpha.com/blog/2010/01/21/up-capture-a-different-way-of-defining-value-added-in-fund-management/#comments</comments>
		<pubDate>Fri, 22 Jan 2010 02:00:39 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=8872</guid>
		<description><![CDATA[A new paper suggests that just because your manager has trailed the index in the past three years doesn't mean she's going to trail in the future - particularly if you have your own expectations for the direction of markets. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/01/21/up-capture-a-different-way-of-defining-value-added-in-fund-management/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>A Statistical Comparison of the CAPM to the Fama-French Three Factor Model and the Carhart&#8217;s Model</title>
		<link>http://allaboutalpha.com/blog/2010/01/20/a-statistical-comparison-of-the-capm-to-the-fama-french-three-factor-model-and-the-carharts-model/</link>
		<comments>http://allaboutalpha.com/blog/2010/01/20/a-statistical-comparison-of-the-capm-to-the-fama-french-three-factor-model-and-the-carharts-model/#comments</comments>
		<pubDate>Wed, 20 Jan 2010 16:54:01 +0000</pubDate>
		<dc:creator>jblevins</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=9705</guid>
		<description><![CDATA[By: Zakri Y. Bello, Connecticut State University
Published: January 20, 2010
Abstract: The goal of this study is to compare the CAPM to the Fama-French (FF) Three Factor Model and to Carhart&#8217;s extension of the FF Model with regard to (1) statistical goodness of fit, and (2) the quality of prediction. My sample consists of actively managed [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/01/20/a-statistical-comparison-of-the-capm-to-the-fama-french-three-factor-model-and-the-carharts-model/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Risk-Neutral Valuation of Real Estate Derivatives</title>
		<link>http://allaboutalpha.com/blog/2010/01/14/risk-neutral-valuation-of-real-estate-derivatives/</link>
		<comments>http://allaboutalpha.com/blog/2010/01/14/risk-neutral-valuation-of-real-estate-derivatives/#comments</comments>
		<pubDate>Thu, 14 Jan 2010 18:31:01 +0000</pubDate>
		<dc:creator>jblevins</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Private Equity]]></category>
		<category><![CDATA[Real Estate]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=9727</guid>
		<description><![CDATA[By: David Van Bragt, ORTEC Consultants
Published: January 14, 2010
Abstract: We propose a novel and intuitive risk-neutral valuation model for real estate derivatives. We first model the underlying efficient market price of real estate and then construct the observed index value with an adaptation of the price update rule by Blundell and Ward (1987). The resulting [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/01/14/risk-neutral-valuation-of-real-estate-derivatives/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Leveraged CAPM</title>
		<link>http://allaboutalpha.com/blog/2010/01/14/leveraged-capm/</link>
		<comments>http://allaboutalpha.com/blog/2010/01/14/leveraged-capm/#comments</comments>
		<pubDate>Thu, 14 Jan 2010 18:27:09 +0000</pubDate>
		<dc:creator>jblevins</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Private Equity]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=9724</guid>
		<description><![CDATA[By: Jörg Seidel, Chair of Corporate and Ship Finance
Published: January 14, 2010
Abstract: This paper documents that the size effect (Banz, 1981) and the contrarian effect (DeBondt and Thaler, 1985) can be explained by a measurement error in beta. This measurement error results from a change in financial leverage during the beta estimation window. Based on [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/01/14/leveraged-capm/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>A Comparison of Quantitative and Qualitative Hedge Funds</title>
		<link>http://allaboutalpha.com/blog/2010/01/07/a-comparison-of-quantitative-and-qualitative-hedge-funds/</link>
		<comments>http://allaboutalpha.com/blog/2010/01/07/a-comparison-of-quantitative-and-qualitative-hedge-funds/#comments</comments>
		<pubDate>Thu, 07 Jan 2010 14:13:40 +0000</pubDate>
		<dc:creator>jblevins</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=10341</guid>
		<description><![CDATA[By:  Ludwig B. Chincarini, Pomona College
Published: January 7, 2010
Abstract: In the last 20 years, the amount of assets managed by quantitative and qualitative hedge funds have grown dramatically. We examine the difference between quantitative and qualitative hedge funds in a variety of ways, including management differences and performance differences. We find that both quantitative and [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/01/07/a-comparison-of-quantitative-and-qualitative-hedge-funds/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Study aims to shed light on &#8220;darkness&#8221; in hedge fund databases</title>
		<link>http://allaboutalpha.com/blog/2010/01/05/study-aims-to-shed-light-on-darkness-in-hedge-fund-databases/</link>
		<comments>http://allaboutalpha.com/blog/2010/01/05/study-aims-to-shed-light-on-darkness-in-hedge-fund-databases/#comments</comments>
		<pubDate>Wed, 06 Jan 2010 00:00:31 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=8606</guid>
		<description><![CDATA[Researchers have adjusted for a reporting bias in hedge fund databases for many years.  But a new study suggests these biases run both ways.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/01/05/study-aims-to-shed-light-on-darkness-in-hedge-fund-databases/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Simple and optimal alpha strategy selection and risk budgeting or Goodbye to 91.5% and all that</title>
		<link>http://allaboutalpha.com/blog/2009/12/03/simple-and-optimal-alpha-strategy-selection-and-risk-budgeting-or-goodbye-to-91-5-and-all-that/</link>
		<comments>http://allaboutalpha.com/blog/2009/12/03/simple-and-optimal-alpha-strategy-selection-and-risk-budgeting-or-goodbye-to-91-5-and-all-that/#comments</comments>
		<pubDate>Thu, 03 Dec 2009 21:56:07 +0000</pubDate>
		<dc:creator>Lisa Rivera</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=8010</guid>
		<description><![CDATA[By: Robert Scott, CFA, Schroders Investment Management
Published: October 15,2009 &#38; November 2, 2009 (revised)
Abstract: A simple measure is developed that can determine if investment efficiency is increased by including an alpha strategy. If the correlation between alpha and beta is lower than the ratio of information to Sharpe ratios, the strategy should be pursued. A [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/12/03/simple-and-optimal-alpha-strategy-selection-and-risk-budgeting-or-goodbye-to-91-5-and-all-that/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Two amazingly simple rules for making alpha/beta allocations</title>
		<link>http://allaboutalpha.com/blog/2009/12/02/two-amazingly-simple-rules-for-making-alphabeta-allocations/</link>
		<comments>http://allaboutalpha.com/blog/2009/12/02/two-amazingly-simple-rules-for-making-alphabeta-allocations/#comments</comments>
		<pubDate>Thu, 03 Dec 2009 01:00:40 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=7909</guid>
		<description><![CDATA[Leave it to the investment practitioners to come up with, well, "practical" tools...]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/12/02/two-amazingly-simple-rules-for-making-alphabeta-allocations/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Hedge fund alpha remains in the eyes of the beholder</title>
		<link>http://allaboutalpha.com/blog/2009/11/29/hedge-fund-alpha-remains-in-the-eyes-of-the-beholder/</link>
		<comments>http://allaboutalpha.com/blog/2009/11/29/hedge-fund-alpha-remains-in-the-eyes-of-the-beholder/#comments</comments>
		<pubDate>Mon, 30 Nov 2009 01:00:46 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=7666</guid>
		<description><![CDATA[A recent study questions the validity of alpha calculations based on common hedge fund indices.  Others have wondered the same for years, but is this concern really just a red herring?]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/11/29/hedge-fund-alpha-remains-in-the-eyes-of-the-beholder/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Do Institutional Investors Have an Ace Up Their Sleeves? Evidence from Confidential Filings of Portfolio Holdings</title>
		<link>http://allaboutalpha.com/blog/2009/11/24/do-institutional-investors-have-an-ace-up-their-sleeves-evidence-from-confidential-filings-of-portfolio-holdings/</link>
		<comments>http://allaboutalpha.com/blog/2009/11/24/do-institutional-investors-have-an-ace-up-their-sleeves-evidence-from-confidential-filings-of-portfolio-holdings/#comments</comments>
		<pubDate>Tue, 24 Nov 2009 21:17:07 +0000</pubDate>
		<dc:creator>jblevins</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=9856</guid>
		<description><![CDATA[By: Vikas Agarwal, Georgia State University
Published: November 24, 2009
Abstract: This paper studies the holdings by institutional investors that are filed with a significant delay through amendments to Form 13F and that are not included in the standard 13F holdings databases (the “confidential holdings”). We find that asset management firms (hedge funds and investment companies/advisors) in [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/11/24/do-institutional-investors-have-an-ace-up-their-sleeves-evidence-from-confidential-filings-of-portfolio-holdings/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Is the vaunted &#8220;illiquidity premium&#8221; partially an illusion?</title>
		<link>http://allaboutalpha.com/blog/2009/11/22/is-the-vaunted-illiquidity-premium-partially-an-illusion/</link>
		<comments>http://allaboutalpha.com/blog/2009/11/22/is-the-vaunted-illiquidity-premium-partially-an-illusion/#comments</comments>
		<pubDate>Mon, 23 Nov 2009 01:00:48 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Hedge Fund Operations and Risk Management]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=7743</guid>
		<description><![CDATA[An academic study finds that a hedge fund's source for pricing data can tell you a lot about its propensity to "smooth" returns.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/11/22/is-the-vaunted-illiquidity-premium-partially-an-illusion/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>How to succeed at long/short without really trying</title>
		<link>http://allaboutalpha.com/blog/2009/11/12/how-to-succeed-at-longshort-without-really-trying/</link>
		<comments>http://allaboutalpha.com/blog/2009/11/12/how-to-succeed-at-longshort-without-really-trying/#comments</comments>
		<pubDate>Fri, 13 Nov 2009 01:00:03 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=7474</guid>
		<description><![CDATA[If watching indexes and indicators made for perfect stock-picking, wouldn't everyone do it? Another methodology on how to figure out in advance where a sector might be headed. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/11/12/how-to-succeed-at-longshort-without-really-trying/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Redefining Hedge Fund Alpha and Risk Exposures after the Financial Crisis</title>
		<link>http://allaboutalpha.com/blog/2009/11/10/redefining-hedge-fund-alpha-and-risk-exposures-after-the-financial-crisis/</link>
		<comments>http://allaboutalpha.com/blog/2009/11/10/redefining-hedge-fund-alpha-and-risk-exposures-after-the-financial-crisis/#comments</comments>
		<pubDate>Tue, 10 Nov 2009 21:30:13 +0000</pubDate>
		<dc:creator>Lisa Rivera</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=7822</guid>
		<description><![CDATA[By: Raj Gupta, Hossein B. Kazemi &#38; Edward Szado
Published: November 10, 2009
Abstract: The hedge funds industry has evolved tremendously in recent years. According to the CASAM CISDM Industry Report, assets under management in hedge funds had grown from less than USD 50 billion at the end of 1990 to over USD 2.1 trillion at the [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/11/10/redefining-hedge-fund-alpha-and-risk-exposures-after-the-financial-crisis/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Out of the Dark: Hedge Fund Reporting Biases and Commercial Databases</title>
		<link>http://allaboutalpha.com/blog/2009/11/01/out-of-the-dark-hedge-fund-reporting-biases-and-commercial-databases/</link>
		<comments>http://allaboutalpha.com/blog/2009/11/01/out-of-the-dark-hedge-fund-reporting-biases-and-commercial-databases/#comments</comments>
		<pubDate>Sun, 01 Nov 2009 18:12:27 +0000</pubDate>
		<dc:creator>Lisa Rivera</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=8689</guid>
		<description><![CDATA[By: Adam L. Aiken, Christopher P. Clifford, Jesse Ellis
Published: November 2009
Abstract: We examine the self-reporting bias in hedge fund data. Using holdings data from a set of limited partners, we construct a novel set of returns for hedge funds that otherwise have never reported to a commercial database. These returns allow, for the first time, [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/11/01/out-of-the-dark-hedge-fund-reporting-biases-and-commercial-databases/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Alpha&#8217;s Razor</title>
		<link>http://allaboutalpha.com/blog/2009/10/26/alphas-razor/</link>
		<comments>http://allaboutalpha.com/blog/2009/10/26/alphas-razor/#comments</comments>
		<pubDate>Mon, 26 Oct 2009 23:33:54 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=7038</guid>
		<description><![CDATA[Here's the perfect razor for giving your hedge fund manager a fee haircut.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/10/26/alphas-razor/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Alpha Uncertainty Principle</title>
		<link>http://allaboutalpha.com/blog/2009/10/01/alpha-uncertainty-principle/</link>
		<comments>http://allaboutalpha.com/blog/2009/10/01/alpha-uncertainty-principle/#comments</comments>
		<pubDate>Thu, 01 Oct 2009 13:37:12 +0000</pubDate>
		<dc:creator>Lisa Rivera</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=7054</guid>
		<description><![CDATA[By: Sassan Zaker
Published: October 2009
Abstract: Alpha Uncertainty Principle introduces a new relationship between alpha potential and alpha uncertainty. Alpha uncertainty increases with degrees of freedom used in active management. This uncertainty cost has been largely ignored by investors. As a result free put options have been written to active managers, which if widespread could have [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/10/01/alpha-uncertainty-principle/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Market neutral funds found to be (relatively) immune when liquidity dries up</title>
		<link>http://allaboutalpha.com/blog/2009/09/21/market-neutral-funds-found-to-be-relatively-immune-when-liquidity-dries-up/</link>
		<comments>http://allaboutalpha.com/blog/2009/09/21/market-neutral-funds-found-to-be-relatively-immune-when-liquidity-dries-up/#comments</comments>
		<pubDate>Tue, 22 Sep 2009 00:00:25 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=6155</guid>
		<description><![CDATA[Some might assume that high frequency, quantitative, market neutral funds rely on market liquidity and leverage to "pick up nickles on the train track".  But here's a study that suggests market neutral funds may actually be pretty immune to liquidity shocks. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/09/21/market-neutral-funds-found-to-be-relatively-immune-when-liquidity-dries-up/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Star Creation: The Incubation of Mutual Funds</title>
		<link>http://allaboutalpha.com/blog/2009/09/18/star-creation-the-incubation-of-mutual-funds/</link>
		<comments>http://allaboutalpha.com/blog/2009/09/18/star-creation-the-incubation-of-mutual-funds/#comments</comments>
		<pubDate>Sat, 19 Sep 2009 01:23:01 +0000</pubDate>
		<dc:creator>Lisa Rivera</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=7968</guid>
		<description><![CDATA[By: Alan R. Palmiter &#38; Ahmed E. Taha (Wake Forest University &#8211; School of Law)
Published: September 18, 2009 (updated)
Abstract: Mutual fund incubation is a process by which new funds are initially operated out of public view. The high-performing funds are then marketed to investors, and the low-performing funds are quietly terminated. This selection process is [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/09/18/star-creation-the-incubation-of-mutual-funds/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>S&amp;P Securities Lending Index Series</title>
		<link>http://allaboutalpha.com/blog/2009/09/01/sp-securities-lending-index-series/</link>
		<comments>http://allaboutalpha.com/blog/2009/09/01/sp-securities-lending-index-series/#comments</comments>
		<pubDate>Tue, 01 Sep 2009 15:51:20 +0000</pubDate>
		<dc:creator>Lisa Rivera</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=7535</guid>
		<description><![CDATA[By: Standard &#38; Poor&#8217;s
Published: September 2009
Summary: The S&#38;P Securities Lending Index Series is the first public index series designed to measure the average cost of borrowing U.S. equities. Securities Lending is an over-the-counter market where participants engage in the lending of securities to one another in exchange for collateral. As payment for a loan, a [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/09/01/sp-securities-lending-index-series/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Limits to Arbitrage: Time-Varying Market Neutrality of Hedge Funds</title>
		<link>http://allaboutalpha.com/blog/2009/08/18/limits-to-arbitrage-time-varying-market-neutrality-of-hedge-funds/</link>
		<comments>http://allaboutalpha.com/blog/2009/08/18/limits-to-arbitrage-time-varying-market-neutrality-of-hedge-funds/#comments</comments>
		<pubDate>Tue, 18 Aug 2009 14:21:59 +0000</pubDate>
		<dc:creator>Lisa Rivera</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=6208</guid>
		<description><![CDATA[By: Arjen Siegmann and Denitsa Stefanova
Published: August 18, 2009
Abstract: Little is known about the exact sources and risks of hedge fund’s market neutral strategies. Based on existing views on arbitrage trading, such as done by hedge funds, we formulate and test a hypothesis that market neutrality is affected by market-wide liquidity. We find that such [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/08/18/limits-to-arbitrage-time-varying-market-neutrality-of-hedge-funds/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Mind the Performance Gap</title>
		<link>http://allaboutalpha.com/blog/2009/08/06/mind-the-performance-gap/</link>
		<comments>http://allaboutalpha.com/blog/2009/08/06/mind-the-performance-gap/#comments</comments>
		<pubDate>Fri, 07 Aug 2009 00:00:42 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=5391</guid>
		<description><![CDATA[With a sense of optimism now returning to the hedge fund industry, there has been a lot of chatter recently about the time it will take for industry-wide assets under management to return to pre-crash highs (see related post).  Most researchers seem to put that date somewhere in the 2013-2014 timeframe.  But as we learned [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/08/06/mind-the-performance-gap/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>&#8230;3.96% per annum</title>
		<link>http://allaboutalpha.com/blog/2009/08/05/3-96-per-annum/</link>
		<comments>http://allaboutalpha.com/blog/2009/08/05/3-96-per-annum/#comments</comments>
		<pubDate>Thu, 06 Aug 2009 00:00:34 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=5352</guid>
		<description><![CDATA[A new approach to measuring the hedge fund "illiquidity premium" yields one magical number.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/08/05/3-96-per-annum/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Can HF return autocorrelation actually predict how easy it will be to eventually redeem?</title>
		<link>http://allaboutalpha.com/blog/2009/08/04/can-hf-return-autocorrelation-actually-predict-how-easy-it-will-be-to-eventually-redeem/</link>
		<comments>http://allaboutalpha.com/blog/2009/08/04/can-hf-return-autocorrelation-actually-predict-how-easy-it-will-be-to-eventually-redeem/#comments</comments>
		<pubDate>Wed, 05 Aug 2009 00:00:10 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=5341</guid>
		<description><![CDATA[Ever wondered how exactly return autocorrelation is a proxy for fund liquidity?  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/08/04/can-hf-return-autocorrelation-actually-predict-how-easy-it-will-be-to-eventually-redeem/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Debate over value of Sharpe Ratio in HF analysis continues in new academic study</title>
		<link>http://allaboutalpha.com/blog/2009/07/13/debate-over-value-of-sharpe-ratio-in-hf-analysis-continues-in-new-academic-study/</link>
		<comments>http://allaboutalpha.com/blog/2009/07/13/debate-over-value-of-sharpe-ratio-in-hf-analysis-continues-in-new-academic-study/#comments</comments>
		<pubDate>Tue, 14 Jul 2009 00:00:10 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4958</guid>
		<description><![CDATA[A 2007 academic study rained on the alternative hedge fund metrics parade and claimed that the good old fashioned Sharpe ratio was all you needed.  But another study released this spring suggests that alternative metrics such as the Sortino ratio, Omega ratio and Rachev ratio have a purpose after all.  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/07/13/debate-over-value-of-sharpe-ratio-in-hf-analysis-continues-in-new-academic-study/feed/</wfw:commentRss>
		<slash:comments>5</slash:comments>
		</item>
		<item>
		<title>Investing in some stocks should have qualified as an &#8220;extreme sport&#8221; says leading quant</title>
		<link>http://allaboutalpha.com/blog/2009/07/09/investing-in-some-stocks-should-have-qualified-as-an-extreme-sport-says-leading-quant/</link>
		<comments>http://allaboutalpha.com/blog/2009/07/09/investing-in-some-stocks-should-have-qualified-as-an-extreme-sport-says-leading-quant/#comments</comments>
		<pubDate>Fri, 10 Jul 2009 00:00:44 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4912</guid>
		<description><![CDATA[Last week, a prominent academic showed how the S&#038;P 500 had become an "extreme" sport before it tanked last year.  This week, that same researcher turns his focus on an individual stock that we know all too well.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/07/09/investing-in-some-stocks-should-have-qualified-as-an-extreme-sport-says-leading-quant/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Lintner Redux: Omega Ratios and Managed Futures</title>
		<link>http://allaboutalpha.com/blog/2009/07/08/lintner-redux-omega-ratios-and-managed-futures/</link>
		<comments>http://allaboutalpha.com/blog/2009/07/08/lintner-redux-omega-ratios-and-managed-futures/#comments</comments>
		<pubDate>Thu, 09 Jul 2009 00:00:40 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4955</guid>
		<description><![CDATA[If only storied academic John Lintner had the Omega Ratio...]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/07/08/lintner-redux-omega-ratios-and-managed-futures/feed/</wfw:commentRss>
		<slash:comments>3</slash:comments>
		</item>
		<item>
		<title>Hedge Fund Valuation: Retailization, Regulation, and Investor Suitability</title>
		<link>http://allaboutalpha.com/blog/2009/07/01/hedge-fund-valuation-retailization-regulation-and-investor-suitability/</link>
		<comments>http://allaboutalpha.com/blog/2009/07/01/hedge-fund-valuation-retailization-regulation-and-investor-suitability/#comments</comments>
		<pubDate>Wed, 01 Jul 2009 21:24:45 +0000</pubDate>
		<dc:creator>Lisa Rivera</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2009/07/01/hedge-fund-valuation-retailization-regulation-and-investor-suitability/</guid>
		<description><![CDATA[By: Wulf A. Kaal
Published: July 1, 2009
Abstract: Valuation issues could become the next black eye for the hedge fund industry. The credit crunch and the global financial crisis have underscored that the valuation of complex financial products and hard-to-value assets is one of the most pressing issues affecting confidence in the financial industry today. Pricing [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/07/01/hedge-fund-valuation-retailization-regulation-and-investor-suitability/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>2008: The year of the small fund anomaly</title>
		<link>http://allaboutalpha.com/blog/2009/06/02/2008-the-year-of-the-small-fund-anomaly/</link>
		<comments>http://allaboutalpha.com/blog/2009/06/02/2008-the-year-of-the-small-fund-anomaly/#comments</comments>
		<pubDate>Wed, 03 Jun 2009 00:23:11 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4750</guid>
		<description><![CDATA[Being small and young has always been a virtue in Hedgistan.  But one of these poles reversed in 2008.  Now being big and young seems to produce results.  Too bad it's virtually impossible to achieve these ends simultaneously any more.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/06/02/2008-the-year-of-the-small-fund-anomaly/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Lintner Revisited: A Quantitative Analysis of Managed Futures in an Institutional Portfolio</title>
		<link>http://allaboutalpha.com/blog/2009/06/01/lintner-revisited-the-benefits-of-managed-futures-25-years-later/</link>
		<comments>http://allaboutalpha.com/blog/2009/06/01/lintner-revisited-the-benefits-of-managed-futures-25-years-later/#comments</comments>
		<pubDate>Mon, 01 Jun 2009 17:40:47 +0000</pubDate>
		<dc:creator>Lisa Rivera</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=6649</guid>
		<description><![CDATA[By: Ryan Abrams &#38; Ranjan Bhaduri, PhD CFA CAIA  (AlphaMetrix Alternative Investment Advisors, LLC) and Elizabeth Flores, CAIA (CME Group)
Published: June 2009
Introduction: Dr. John Lintner, a Harvard Professor, presented the seminal paper entitled “The Potential Role of Managed Commodity – Financial Futures Accounts (and/or Funds) in Portfolios of Stocks and Bonds” at the annual conference [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/06/01/lintner-revisited-the-benefits-of-managed-futures-25-years-later/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Incubation bias: Not just a hedge fund issue according to two law professors</title>
		<link>http://allaboutalpha.com/blog/2009/04/08/incubation-bias-not-just-a-hedge-fund-issue-according-to-two-law-professors/</link>
		<comments>http://allaboutalpha.com/blog/2009/04/08/incubation-bias-not-just-a-hedge-fund-issue-according-to-two-law-professors/#comments</comments>
		<pubDate>Thu, 09 Apr 2009 00:40:50 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4421</guid>
		<description><![CDATA[Academics and hedge fund investors often complain about an "incubation bias" in hedge fund data bases since reporting is voluntary (i.e., hedge fund managers will only report returns if they are good).  But according to two law professors, mutual funds have been doing the same for years.  And they say the SEC should do something about it.  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/04/08/incubation-bias-not-just-a-hedge-fund-issue-according-to-two-law-professors/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>The Benefits of Investing in Alternatives: Understanding Hedge Funds, Private Equity, and Managed Futures</title>
		<link>http://allaboutalpha.com/blog/2009/04/04/the-benefits-of-investing-in-alternatives-understanding-hedge-funds-private-equity-and-managed-futures/</link>
		<comments>http://allaboutalpha.com/blog/2009/04/04/the-benefits-of-investing-in-alternatives-understanding-hedge-funds-private-equity-and-managed-futures/#comments</comments>
		<pubDate>Sat, 04 Apr 2009 15:27:49 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4535</guid>
		<description><![CDATA[By: Shana Orczyk (Peak Financial Management)
Published: April 2009
Abstract: In a time when the headlines are abuzz with the latest hedge fund failure and growing uncertainty in the financial markets, many investors are left wondering why anyone would ever invest  in alternatives. The general public perception of alternative investments and the reality are very different. The [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/04/04/the-benefits-of-investing-in-alternatives-understanding-hedge-funds-private-equity-and-managed-futures/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>A new look at who is more susceptible to &#8220;hedge fund contagion&#8221;</title>
		<link>http://allaboutalpha.com/blog/2009/04/02/a-new-look-at-who-is-more-susceptible-to-hedge-fund-contagion/</link>
		<comments>http://allaboutalpha.com/blog/2009/04/02/a-new-look-at-who-is-more-susceptible-to-hedge-fund-contagion/#comments</comments>
		<pubDate>Fri, 03 Apr 2009 01:35:59 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4399</guid>
		<description><![CDATA[A new academic paper confirms the belief that some hedge fund strategies have a higher correlation with the S&#038;P 500 in times of stress.  But it turns out that this axiom does not apply to all hedge fund strategies.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/04/02/a-new-look-at-who-is-more-susceptible-to-hedge-fund-contagion/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Being Locked Up Hurts</title>
		<link>http://allaboutalpha.com/blog/2009/03/27/being-locked-up-hurts/</link>
		<comments>http://allaboutalpha.com/blog/2009/03/27/being-locked-up-hurts/#comments</comments>
		<pubDate>Fri, 27 Mar 2009 14:53:42 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4476</guid>
		<description><![CDATA[By: Frans De Roon, Jinqiang Guo and Jenke Ter Horst (Tilburg University)
Published: March 2009

Abstract: This paper examines multi-period asset allocation when portfolio rebalancing is difficult or impossible for some assets due to the existence of a lockup period. A lockup period restricts an investor&#8217;s ability to rebalance his portfolio and has non-trivial effects on the [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/03/27/being-locked-up-hurts/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>One HF strategy that is decoupling from the decoupling</title>
		<link>http://allaboutalpha.com/blog/2009/03/22/one-hf-strategy-that-is-decoupling-from-the-decoupling/</link>
		<comments>http://allaboutalpha.com/blog/2009/03/22/one-hf-strategy-that-is-decoupling-from-the-decoupling/#comments</comments>
		<pubDate>Mon, 23 Mar 2009 00:56:43 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4362</guid>
		<description><![CDATA["Decoupling" is back.  Only this time it refers not to the disconnection of global economies, but to the disconnection between hedge funds and the equity markets.  But it doesn't end there.  Some individual hedge fund strategies are also decoupling from the broader hedge fund industry.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/03/22/one-hf-strategy-that-is-decoupling-from-the-decoupling/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Smoothing, Persistence, and Hedge Fund Performance Evaluation</title>
		<link>http://allaboutalpha.com/blog/2009/03/18/smoothing-persistence-and-hedge-fund-performance-evaluation/</link>
		<comments>http://allaboutalpha.com/blog/2009/03/18/smoothing-persistence-and-hedge-fund-performance-evaluation/#comments</comments>
		<pubDate>Wed, 18 Mar 2009 19:28:31 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4760</guid>
		<description><![CDATA[By: Jingzhi Huang, John Liechty and Marco Rossi (Penn State University)
Published: March 2009

Abstract: Hedge funds often hold illiquid assets whose true value is slowly reflected in reported returns. As a result, reported returns can become a smoothed version of true realized returns and, thus, bias the evaluation of hedge fund performance. To address this problem, [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/03/18/smoothing-persistence-and-hedge-fund-performance-evaluation/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Study says return-chasing could be &#8220;driving a wedge between fund and investor returns&#8221;</title>
		<link>http://allaboutalpha.com/blog/2009/03/12/study-says-return-chasing-could-be-driving-a-wedge-between-fund-and-investor-returns/</link>
		<comments>http://allaboutalpha.com/blog/2009/03/12/study-says-return-chasing-could-be-driving-a-wedge-between-fund-and-investor-returns/#comments</comments>
		<pubDate>Fri, 13 Mar 2009 01:47:00 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4338</guid>
		<description><![CDATA[Research has previously shown that hedge fund investors, like all investors, tend to exhibit "return chasing" behavior.  Now a new academic study shows the real cost of this unfortunate proclivity.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/03/12/study-says-return-chasing-could-be-driving-a-wedge-between-fund-and-investor-returns/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Academic study breaks with pack on one of the most common assumptions about hedge fund returns</title>
		<link>http://allaboutalpha.com/blog/2009/03/09/academic-study-breaks-with-pack-on-one-of-the-most-common-assumptions-about-hedge-fund-returns/</link>
		<comments>http://allaboutalpha.com/blog/2009/03/09/academic-study-breaks-with-pack-on-one-of-the-most-common-assumptions-about-hedge-fund-returns/#comments</comments>
		<pubDate>Tue, 10 Mar 2009 01:23:05 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4321</guid>
		<description><![CDATA[A new academic paper questions the popular assumption that hedge funds are really just option-writers in drag.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/03/09/academic-study-breaks-with-pack-on-one-of-the-most-common-assumptions-about-hedge-fund-returns/feed/</wfw:commentRss>
		<slash:comments>4</slash:comments>
		</item>
		<item>
		<title>Polynomial Goal Programming and the Implicit Higher Moment Preferences of U.S. Institutional Investors in Hedge Funds</title>
		<link>http://allaboutalpha.com/blog/2009/03/01/polynomial-goal-programming-and-the-implicit-higher-moment-preferences-of-us-institutional-investors-in-hedge-funds/</link>
		<comments>http://allaboutalpha.com/blog/2009/03/01/polynomial-goal-programming-and-the-implicit-higher-moment-preferences-of-us-institutional-investors-in-hedge-funds/#comments</comments>
		<pubDate>Sun, 01 Mar 2009 21:15:48 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Institutional Investing]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4619</guid>
		<description><![CDATA[By: Juliane Proelss (Otto Beisheim School of Management) and Denis Schweizer (Otto Beisheim School of Management)
Published: March 2009

Abstract: Polynomial goal programming (PGP) has been successfully introduced in the hedge fund allocation literature. The method is intuitive, and flexible enough to incorporate investor preferences in higher moments of the return distribution. However, until now, PGP could [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/03/01/polynomial-goal-programming-and-the-implicit-higher-moment-preferences-of-us-institutional-investors-in-hedge-funds/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Higher Risk, Lower Returns: What Hedge Fund Investors Really Earn</title>
		<link>http://allaboutalpha.com/blog/2009/03/01/higher-risk-lower-returns-what-hedge-fund-investors-really-earn/</link>
		<comments>http://allaboutalpha.com/blog/2009/03/01/higher-risk-lower-returns-what-hedge-fund-investors-really-earn/#comments</comments>
		<pubDate>Sun, 01 Mar 2009 21:04:45 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4774</guid>
		<description><![CDATA[By: Ilia D. Dichev and Gwen Yu (University of Michigan)
Published: March 2009
Abstract: This study makes a critical distinction between the returns of hedge funds and the returns of investors in these funds. Investor returns depend not only on the returns of the funds they hold but also on the timing and magnitude of their capital [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/03/01/higher-risk-lower-returns-what-hedge-fund-investors-really-earn/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>On Tournament Behavior in Hedge Funds: High Water Marks, Managerial Horizon, and the Backfilling Bias</title>
		<link>http://allaboutalpha.com/blog/2009/03/01/on-tournament-behavior-in-hedge-funds-high-water-marks-managerial-horizon-and-the-backfilling-bias/</link>
		<comments>http://allaboutalpha.com/blog/2009/03/01/on-tournament-behavior-in-hedge-funds-high-water-marks-managerial-horizon-and-the-backfilling-bias/#comments</comments>
		<pubDate>Sun, 01 Mar 2009 18:22:02 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4660</guid>
		<description><![CDATA[By: George O. Aragon (Arizona State University) and Vikram K. Nanda (Georgia Institute of Technology)
Published: March 2009
Abstract: We analyze the risk choices by hedge funds that perform poorly, relative to other funds and in absolute terms &#8212; and test predictions on the extent to which these decisions are related to the fund&#8217;s incentive contract, investment [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/03/01/on-tournament-behavior-in-hedge-funds-high-water-marks-managerial-horizon-and-the-backfilling-bias/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Best Ideas</title>
		<link>http://allaboutalpha.com/blog/2009/03/01/best-ideas/</link>
		<comments>http://allaboutalpha.com/blog/2009/03/01/best-ideas/#comments</comments>
		<pubDate>Sun, 01 Mar 2009 15:06:46 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Investment Management Fees]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4822</guid>
		<description><![CDATA[By: Randolph B. Cohen (Harvard Business School), Christopher K. Polk (London School of Economics) and Bernhard Silli (N/A)
Published: March 2009
Abstract: We examine the performance of stocks that represent managers&#8217; &#8220;Best Ideas.&#8221; We find that the stock that active managers display the most conviction towards ex-ante, outperforms the market, as well as the other stocks in [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/03/01/best-ideas/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Monitoring Daily Hedge Fund Performance When Only Monthly Data is Available</title>
		<link>http://allaboutalpha.com/blog/2009/03/01/monitoring-daily-hedge-fund-performance-when-only-monthly-data-is-available/</link>
		<comments>http://allaboutalpha.com/blog/2009/03/01/monitoring-daily-hedge-fund-performance-when-only-monthly-data-is-available/#comments</comments>
		<pubDate>Sun, 01 Mar 2009 14:48:42 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4818</guid>
		<description><![CDATA[By: Daniel Li, Michael Markov (Markov Processes International) and Russ Wermers (University of Maryland)
Published: March 2009

Abstract: This paper introduces a new approach to replicating hedge fund returns. Specifically, we use low-frequency (monthly) models to forecast high-frequency (daily) hedge fund returns. This approach addresses the common problem that confronts investors who wish to monitor their hedge [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/03/01/monitoring-daily-hedge-fund-performance-when-only-monthly-data-is-available/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>If hedge fund &#8220;overcrowding&#8221; was bad for returns, is recent &#8220;undercrowding&#8221; going to be good?</title>
		<link>http://allaboutalpha.com/blog/2009/02/24/if-hedge-fund-overcrowding-was-bad-for-returns-is-recent-undercrowding-going-to-be-good/</link>
		<comments>http://allaboutalpha.com/blog/2009/02/24/if-hedge-fund-overcrowding-was-bad-for-returns-is-recent-undercrowding-going-to-be-good/#comments</comments>
		<pubDate>Wed, 25 Feb 2009 00:07:21 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4284</guid>
		<description><![CDATA[Research has long suggested that inflows of capital into the hedge fund industry hurt alpha returns.  But does the opposite hold true?  Do outflows bode well for the industry?]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/02/24/if-hedge-fund-overcrowding-was-bad-for-returns-is-recent-undercrowding-going-to-be-good/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Calculating alpha as the market crashes</title>
		<link>http://allaboutalpha.com/blog/2009/02/18/calculating-alpha-as-the-market-crashes/</link>
		<comments>http://allaboutalpha.com/blog/2009/02/18/calculating-alpha-as-the-market-crashes/#comments</comments>
		<pubDate>Thu, 19 Feb 2009 03:20:35 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4188</guid>
		<description><![CDATA[Two experts weight in on how traditional views of manager value-add need to be revisited during a violent market downturn. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/02/18/calculating-alpha-as-the-market-crashes/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance</title>
		<link>http://allaboutalpha.com/blog/2009/02/05/the-road-less-traveled-strategy-distinctiveness-and-hedge-fund-performance/</link>
		<comments>http://allaboutalpha.com/blog/2009/02/05/the-road-less-traveled-strategy-distinctiveness-and-hedge-fund-performance/#comments</comments>
		<pubDate>Thu, 05 Feb 2009 14:02:32 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4576</guid>
		<description><![CDATA[By: Zheng Sun, Ashley Wang and Lu Zheng (University of California)
Published: February 2009
Abstract: Presumably, hedge fund managers pursue unique strategies because they have great new ideas and superior investment skills, while less skilled managers are more likely to herd and follow publicly known investment strategies. For investors, knowing how innovative and skillful their managers are [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/02/05/the-road-less-traveled-strategy-distinctiveness-and-hedge-fund-performance/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>New spin on an old metric</title>
		<link>http://allaboutalpha.com/blog/2009/02/03/new-spin-on-an-old-metric/</link>
		<comments>http://allaboutalpha.com/blog/2009/02/03/new-spin-on-an-old-metric/#comments</comments>
		<pubDate>Wed, 04 Feb 2009 02:10:40 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4123</guid>
		<description><![CDATA[The Sharpe ratio is the granddaddy of financial metrics.  But a graphical take on the old stalwart provides a new way to keep portfolios in good shape.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/02/03/new-spin-on-an-old-metric/feed/</wfw:commentRss>
		<slash:comments>5</slash:comments>
		</item>
		<item>
		<title>Short-Put Exposures in Hedge Fund Returns: Are They Really There?</title>
		<link>http://allaboutalpha.com/blog/2009/02/01/short-put-exposures-in-hedge-fund-returns-are-they-really-there/</link>
		<comments>http://allaboutalpha.com/blog/2009/02/01/short-put-exposures-in-hedge-fund-returns-are-they-really-there/#comments</comments>
		<pubDate>Sun, 01 Feb 2009 20:39:45 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4642</guid>
		<description><![CDATA[By: Andre Lucas, Arjen Siegmann (VU University Amsterdam) and Marno Verbeek (Erasmus University)
Published: February 2009
Abstract: Previous studies have shown that systematic risk in hedge fund returns is partly captured by short positions in put option returns. This is suggestive of a potential `peso problem&#8217; in hedge fund returns: a series of steady returns may alternate [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/02/01/short-put-exposures-in-hedge-fund-returns-are-they-really-there/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Asymmetric Dependence between Domestic Equity Indices and its Effect on Portfolio Construction</title>
		<link>http://allaboutalpha.com/blog/2009/02/01/asymmetric-dependence-between-domestic-equity-indices-and-its-effect-on-portfolio-construction/</link>
		<comments>http://allaboutalpha.com/blog/2009/02/01/asymmetric-dependence-between-domestic-equity-indices-and-its-effect-on-portfolio-construction/#comments</comments>
		<pubDate>Sun, 01 Feb 2009 19:15:09 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>
		<category><![CDATA[no graphic]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4242</guid>
		<description><![CDATA[By: Jamie Alcock (University of Cambridge) and Anthony Hatherley (University of Queensland)
Published: February 2009
Abstract: We demonstrate a means of incorporating asymmetric dependency structures during the portfolio construction process using copula functions. Specifically, we investigate how asymmetric return dependencies affect the efficient frontier and subsequent portfolio performance under a dynamic rebalancing framework assuming normally distributed marginal [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/02/01/asymmetric-dependence-between-domestic-equity-indices-and-its-effect-on-portfolio-construction/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>One for the History Books: Hedge Fund Performance in 2008</title>
		<link>http://allaboutalpha.com/blog/2009/01/27/one-for-the-history-books-hedge-fund-performance-in-2008/</link>
		<comments>http://allaboutalpha.com/blog/2009/01/27/one-for-the-history-books-hedge-fund-performance-in-2008/#comments</comments>
		<pubDate>Tue, 27 Jan 2009 15:01:46 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4477</guid>
		<description><![CDATA[By: Credit Suisse
Published: January 2009
Abstract: The hedge fund industry as a whole suffered significant losses in 2008 following a number of extraordinary events that rocked financial markets worldwide. The Broad Index, a diversified, asset weighted hedge fund index comprised of 496 underlying hedge funds, finished the year down 19%, while the MSCI World and S&#38;P [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/01/27/one-for-the-history-books-hedge-fund-performance-in-2008/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Strength of Performance Based Compensation: Evidence from Hedge Fund Closing and Reopening Events</title>
		<link>http://allaboutalpha.com/blog/2009/01/26/strength-of-performance-based-compensation-evidence-from-hedge-fund-closing-and-reopening-events/</link>
		<comments>http://allaboutalpha.com/blog/2009/01/26/strength-of-performance-based-compensation-evidence-from-hedge-fund-closing-and-reopening-events/#comments</comments>
		<pubDate>Tue, 27 Jan 2009 00:09:27 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Alternative Beta & Hedge Fund Replication]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Investment Management Fees]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Portable Alpha & Alpha/Beta Separation]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4199</guid>
		<description><![CDATA[By: Bing Liang (University of Massachusetts at Amherst) and Christopher Schwarz (University of California)
Published: January 2009    
Abstract: Previous results find CEOs&#8217; pay packages typically have low sensitivities to performance. Therefore, CEOs have incentives to increase firm size, even if those actions cause losses for current shareholders. Using nine versions of the Lipper/TASS [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/01/26/strength-of-performance-based-compensation-evidence-from-hedge-fund-closing-and-reopening-events/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Predicting alpha: Not that hard after all finds new study</title>
		<link>http://allaboutalpha.com/blog/2009/01/22/predicting-alpha-not-that-hard-after-all-finds-new-study/</link>
		<comments>http://allaboutalpha.com/blog/2009/01/22/predicting-alpha-not-that-hard-after-all-finds-new-study/#comments</comments>
		<pubDate>Fri, 23 Jan 2009 01:15:34 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4119</guid>
		<description><![CDATA[A new study adds fuel to the debate over whether you can actually predict which money manager will produce alpha.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/01/22/predicting-alpha-not-that-hard-after-all-finds-new-study/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Leverage as a Measure of Risk</title>
		<link>http://allaboutalpha.com/blog/2009/01/14/leverage-as-a-measure-of-risk/</link>
		<comments>http://allaboutalpha.com/blog/2009/01/14/leverage-as-a-measure-of-risk/#comments</comments>
		<pubDate>Thu, 15 Jan 2009 01:07:49 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Institutional Investing]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4248</guid>
		<description><![CDATA[By: Daniel L. Chertok 
Published: January 2009
Abstract: The unfolding nancial crisis has brought the issue of leverage into the limelight. &#8220;Overleveraging&#8221; is often blamed for the demise of structured nance yet the issue is often viewed from the traditional, purely accounting standpoint. This technical note expands the concept of leverage to derivative products and provides [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/01/14/leverage-as-a-measure-of-risk/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Capital at Risk &#8211; A More Consistent and Intuitive Measure of Risk</title>
		<link>http://allaboutalpha.com/blog/2009/01/14/capital-at-risk-a-more-consistent-and-intuitive-measure-of-risk/</link>
		<comments>http://allaboutalpha.com/blog/2009/01/14/capital-at-risk-a-more-consistent-and-intuitive-measure-of-risk/#comments</comments>
		<pubDate>Thu, 15 Jan 2009 00:50:06 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Hedge Fund Operations and Risk Management]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4230</guid>
		<description><![CDATA[By: David J. Cowen (Quasar Capital) and David Abuaf (University of Chicago) 
Published: January 2009
Abstract: This paper will explain a risk methodology for traders and hedge funds that trade in the most liquid of markets like G10 futures and foreign exchange. The methodology is called Capital at Risk (CaR) and is a replacement for Value [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/01/14/capital-at-risk-a-more-consistent-and-intuitive-measure-of-risk/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Share Restrictions, Risk Taking and Hedge Fund Performance</title>
		<link>http://allaboutalpha.com/blog/2009/01/14/share-restrictions-risk-taking-and-hedge-fund-performance/</link>
		<comments>http://allaboutalpha.com/blog/2009/01/14/share-restrictions-risk-taking-and-hedge-fund-performance/#comments</comments>
		<pubDate>Thu, 15 Jan 2009 00:17:08 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4205</guid>
		<description><![CDATA[By: Juha Joenväärä and Pekka Tolonen (University of Oulu) 
Published: January 2009
Abstract: This paper examines the impact of share restrictions on the risk-taking and on the performance of hedge funds using the Hedge Fund Research (HFR) database. Share restrictions, in the form of longer lockup as well as notice and redemption periods, provide flexibility for [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/01/14/share-restrictions-risk-taking-and-hedge-fund-performance/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Higher Moment Diversification Benefits of Hedge Fund Strategy Allocation</title>
		<link>http://allaboutalpha.com/blog/2009/01/14/higher-moment-diversification-benefits-of-hedge-fund-strategy-allocation/</link>
		<comments>http://allaboutalpha.com/blog/2009/01/14/higher-moment-diversification-benefits-of-hedge-fund-strategy-allocation/#comments</comments>
		<pubDate>Wed, 14 Jan 2009 23:57:10 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4191</guid>
		<description><![CDATA[By: Mikael Haglund (Altevo Research) 
Published: January 2009
Abstract: Hedge funds are often used by institutional investors as a risk reduction tool in order to decrease portfolio volatility and create more stable return patterns. Normally, the portfolio construction process is utilizing a mean-variance approach and does not account for non-normal return distributions. In this paper we [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/01/14/higher-moment-diversification-benefits-of-hedge-fund-strategy-allocation/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Hidden Risks in Mean-Variance Optimization: An Intergrate-Risk Asset Allocation Proposal</title>
		<link>http://allaboutalpha.com/blog/2009/01/04/hidden-risks-in-mean-variance-optimization-an-intergrate-risk-asset-allocation-proposal/</link>
		<comments>http://allaboutalpha.com/blog/2009/01/04/hidden-risks-in-mean-variance-optimization-an-intergrate-risk-asset-allocation-proposal/#comments</comments>
		<pubDate>Mon, 05 Jan 2009 03:24:33 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3993</guid>
		<description><![CDATA[By: Jose L. B. Fernandes and Jose Renato Haas Ornelas (Central Bank of Brazil)
Published: October 2008
Abstract: The traditional mean-variance asset allocation approach considers the volatility of returns as the only risk factor. However, some asset classes present other types of risk, and so offer a premium embedded in their returns to compensate for the additional [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/01/04/hidden-risks-in-mean-variance-optimization-an-intergrate-risk-asset-allocation-proposal/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>&#8220;Putting it all on black&#8221;</title>
		<link>http://allaboutalpha.com/blog/2008/12/11/putting-it-all-on-black/</link>
		<comments>http://allaboutalpha.com/blog/2008/12/11/putting-it-all-on-black/#comments</comments>
		<pubDate>Fri, 12 Dec 2008 01:40:43 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3862</guid>
		<description><![CDATA[For years, hedge fund investors have wondered whether their managers would ever goose their fund's risk profile just to try for a performance fee.  Apparently, the answer may depend on how far into the year your talking about. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/12/11/putting-it-all-on-black/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Decentralized Downside Risk Management</title>
		<link>http://allaboutalpha.com/blog/2008/12/03/decentralized-downside-risk-management/</link>
		<comments>http://allaboutalpha.com/blog/2008/12/03/decentralized-downside-risk-management/#comments</comments>
		<pubDate>Wed, 03 Dec 2008 17:27:46 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3975</guid>
		<description><![CDATA[By: Andrea Reed (N/A), Cristian Ioan Tiu (SUNY at Buffalo) and Uzi Yoeli (University of Texas at Austin)
Published: December 2008
Abstract: The process of risk management for institutional investors faces two challenges. First, since most institutions are decentralized as opposed to being direct investors in assets, it is difficult to separate the risks of the assets [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/12/03/decentralized-downside-risk-management/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>High-Water Marks: High Risk Appetites? Convex Compensation, Long Horizons, and Portfolio Choice</title>
		<link>http://allaboutalpha.com/blog/2008/12/03/high-water-marks-high-risk-appetites-convex-compensation-long-horizons-and-portfolio-choice/</link>
		<comments>http://allaboutalpha.com/blog/2008/12/03/high-water-marks-high-risk-appetites-convex-compensation-long-horizons-and-portfolio-choice/#comments</comments>
		<pubDate>Wed, 03 Dec 2008 17:26:11 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Investment Management Fees]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3973</guid>
		<description><![CDATA[By: Stavros Panageas (University of Chicago GSB) and Mark M. Westerfield (University of Southern California)
Published: December 2008
Abstract: We study the optimal portfolio choice of hedge fund managers who are compensated by high-water mark contracts. Surprisingly, we find that even risk-neutral managers will not place unboundedly large weights on the risky assets, despite the option-type features [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/12/03/high-water-marks-high-risk-appetites-convex-compensation-long-horizons-and-portfolio-choice/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Back-of-the-envelope analysis shows hedge fund indexes not lining up with each other this fall</title>
		<link>http://allaboutalpha.com/blog/2008/12/01/back-of-the-envelope-analysis-shows-hedge-fund-indexes-not-lining-up-with-each-other-this-fall/</link>
		<comments>http://allaboutalpha.com/blog/2008/12/01/back-of-the-envelope-analysis-shows-hedge-fund-indexes-not-lining-up-with-each-other-this-fall/#comments</comments>
		<pubDate>Tue, 02 Dec 2008 02:07:15 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3749</guid>
		<description><![CDATA[Investors, academics and media outlets rely on a bevy of hedge fund indexes each month to get a big picture view of the global hedge fund industry.  But our analysis of October's index results shows little agreement in the data. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/12/01/back-of-the-envelope-analysis-shows-hedge-fund-indexes-not-lining-up-with-each-other-this-fall/feed/</wfw:commentRss>
		<slash:comments>3</slash:comments>
		</item>
		<item>
		<title>Liquidity Adjusted VaR Model: An Extension</title>
		<link>http://allaboutalpha.com/blog/2008/12/01/liquidity-adjusted-var-model-an-extension/</link>
		<comments>http://allaboutalpha.com/blog/2008/12/01/liquidity-adjusted-var-model-an-extension/#comments</comments>
		<pubDate>Mon, 01 Dec 2008 15:34:51 +0000</pubDate>
		<dc:creator>Lisa Rivera</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=7528</guid>
		<description><![CDATA[By: Emmanuel Fragnière, Nils S. Tuchschmid and Qun Zhang
Published: December 2008
Abstract:  The model presented in this paper is extended from Almgren and Chriss’s meanvariance optimal trading approach (1999 and 2000). Contrary to Almgren and Chriss’s model,we express price fluctuation dynamic in terms of return and allow variations for both bid-ask spread and price impact. [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/12/01/liquidity-adjusted-var-model-an-extension/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Study finds many hedge funds simply hold back liquidity to power returns</title>
		<link>http://allaboutalpha.com/blog/2008/11/26/study-finds-many-hedge-funds-simply-hold-back-liquidity-to-power-returns/</link>
		<comments>http://allaboutalpha.com/blog/2008/11/26/study-finds-many-hedge-funds-simply-hold-back-liquidity-to-power-returns/#comments</comments>
		<pubDate>Thu, 27 Nov 2008 01:25:17 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3721</guid>
		<description><![CDATA[As many hedge fund investors are now discovering, their holdings aren't as liquid as they thought.  So has the alpha they have come to expect actually just been fair compensation for this liquidity risk all along?  Unfortunately, the answer is yes according to a new study (at least, for several hedge fund categories).  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/11/26/study-finds-many-hedge-funds-simply-hold-back-liquidity-to-power-returns/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Recovering Delisting Returns of Hedge Funds</title>
		<link>http://allaboutalpha.com/blog/2008/10/31/recovering-delisting-returns-of-hedge-funds/</link>
		<comments>http://allaboutalpha.com/blog/2008/10/31/recovering-delisting-returns-of-hedge-funds/#comments</comments>
		<pubDate>Fri, 31 Oct 2008 21:20:50 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3770</guid>
		<description><![CDATA[By: James E. Hodder (University of Wisconsin), Jens Carsten Jackwerth and Olga Kolokolova (University of Konstanz)
Published: October 2008
Abstract: Numerous hedge funds stop reporting to commercial databases each year. An issue for hedge-fund performance estimation is: what delisting return to attribute to such funds? This would be particularly problematic if delisting returns are typically very different [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/10/31/recovering-delisting-returns-of-hedge-funds/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>The Performance Persistence of Equity Long/Short Hedge Funds</title>
		<link>http://allaboutalpha.com/blog/2008/10/31/the-performance-persistence-of-equity-longshort-hedge-funds/</link>
		<comments>http://allaboutalpha.com/blog/2008/10/31/the-performance-persistence-of-equity-longshort-hedge-funds/#comments</comments>
		<pubDate>Fri, 31 Oct 2008 15:05:23 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3837</guid>
		<description><![CDATA[
By: Samuel Manser and Markus M. Schmid (Swiss Institute of Banking and Finance)
Published: October 2008
Abstract: This paper examines the persistence of raw and risk-adjusted returns for equity long/short hedge funds using the portfolio approach of Hendricks, Patel, and Zeckhauser (1993). Only limited evidence of persistence is found for raw returns. Funds with the highest raw returns [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/10/31/the-performance-persistence-of-equity-longshort-hedge-funds/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Exactly how bad was September for hedge funds?</title>
		<link>http://allaboutalpha.com/blog/2008/10/22/exactly-how-bad-was-september-for-hedge-funds/</link>
		<comments>http://allaboutalpha.com/blog/2008/10/22/exactly-how-bad-was-september-for-hedge-funds/#comments</comments>
		<pubDate>Thu, 23 Oct 2008 02:10:20 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3583</guid>
		<description><![CDATA[If hedge funds beat equity markets in September, then what's all the fuss about?  For a visual answer to that question, just take a look at these charts...]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/10/22/exactly-how-bad-was-september-for-hedge-funds/feed/</wfw:commentRss>
		<slash:comments>4</slash:comments>
		</item>
		<item>
		<title>Look-Ahead Benchmark Bias in Portfolio Performance Evaluation</title>
		<link>http://allaboutalpha.com/blog/2008/10/03/look-ahead-benchmark-bias-in-portfolio-performance-evaluation/</link>
		<comments>http://allaboutalpha.com/blog/2008/10/03/look-ahead-benchmark-bias-in-portfolio-performance-evaluation/#comments</comments>
		<pubDate>Fri, 03 Oct 2008 17:40:21 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3991</guid>
		<description><![CDATA[By: Gilles Daniel (Swiss Federal Institute of Technology Zurich), Didier Sornette (ETH Zurich) and Peter Wohrmann (University of Zurich)
Published: October 2008
Abstract: Performance of investment managers are evaluated in comparison with benchmarks, such as financial indices. Due to the operational constraint that most professional databases do not track the change of constitution of benchmark portfolios, standard [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/10/03/look-ahead-benchmark-bias-in-portfolio-performance-evaluation/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>What Happened to the Quants in August 2007?: Evidence from Factors and Transactions Data</title>
		<link>http://allaboutalpha.com/blog/2008/10/03/what-happened-to-the-quants-in-august-2007-evidence-from-factors-and-transactions-data/</link>
		<comments>http://allaboutalpha.com/blog/2008/10/03/what-happened-to-the-quants-in-august-2007-evidence-from-factors-and-transactions-data/#comments</comments>
		<pubDate>Fri, 03 Oct 2008 17:35:28 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3985</guid>
		<description><![CDATA[By: Amir Khandani and Andrew W. Lo (MIT)
Published: October 2008
Abstract: During the week of August 6, 2007, a number of quantitative long/short equity hedge funds experienced unprecedented losses. It has been hypothesized that a coordinated deleveraging of similarly constructed portfolios caused this temporary dislocation in the market. Using the simulated returns of long/short equity portfolios [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/10/03/what-happened-to-the-quants-in-august-2007-evidence-from-factors-and-transactions-data/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Far from straightforward, performance fees revealed by study to be a dog&#8217;s breakfast</title>
		<link>http://allaboutalpha.com/blog/2008/09/28/far-from-straightforward-performance-fees-revealed-by-study-to-be-a-dogs-breakfast/</link>
		<comments>http://allaboutalpha.com/blog/2008/09/28/far-from-straightforward-performance-fees-revealed-by-study-to-be-a-dogs-breakfast/#comments</comments>
		<pubDate>Mon, 29 Sep 2008 00:34:59 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3442</guid>
		<description><![CDATA[It turns out that man's best friend should actually be his accountant - particularly if he is involved with a performance fee contract in any way.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/09/28/far-from-straightforward-performance-fees-revealed-by-study-to-be-a-dogs-breakfast/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Researchers to hedge fund investors: Don&#8217;t throw away Sharpe ratios just yet</title>
		<link>http://allaboutalpha.com/blog/2008/09/14/researchers-to-hedge-fund-investors-dont-throw-away-sharpe-ratios-just-yet/</link>
		<comments>http://allaboutalpha.com/blog/2008/09/14/researchers-to-hedge-fund-investors-dont-throw-away-sharpe-ratios-just-yet/#comments</comments>
		<pubDate>Mon, 15 Sep 2008 01:00:54 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3395</guid>
		<description><![CDATA[It's commonly believed that hedge funds require new and special metrics to evaluate properly.  But research is beginning to find that plain old Sharpe ratios work fine after all.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/09/14/researchers-to-hedge-fund-investors-dont-throw-away-sharpe-ratios-just-yet/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Strategy Distinctiveness and Hedge Fund Performance</title>
		<link>http://allaboutalpha.com/blog/2008/09/14/strategy-distinctiveness-and-hedge-fund-performance/</link>
		<comments>http://allaboutalpha.com/blog/2008/09/14/strategy-distinctiveness-and-hedge-fund-performance/#comments</comments>
		<pubDate>Mon, 15 Sep 2008 00:26:29 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4211</guid>
		<description><![CDATA[By: Lu Zheng and Ashley Wang (University of California)
Published: September 2008
Abstract: Presumably, hedge fund managers pursue unique strategies because they have great new ideas and superior investment skills, while less skilled managers are more likely to herd and follow publicly known investment ideas. For investors, knowing how innovative and skillful their managers are is thus [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/09/14/strategy-distinctiveness-and-hedge-fund-performance/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Hedge Fund Indices: Seeing the industry through a prism</title>
		<link>http://allaboutalpha.com/blog/2008/09/04/hedge-fund-indices-seeing-the-industry-through-a-prism/</link>
		<comments>http://allaboutalpha.com/blog/2008/09/04/hedge-fund-indices-seeing-the-industry-through-a-prism/#comments</comments>
		<pubDate>Fri, 05 Sep 2008 02:51:27 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3344</guid>
		<description><![CDATA[The same industry reports in, but a kaleidoscope of color comes out the other side.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/09/04/hedge-fund-indices-seeing-the-industry-through-a-prism/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Hedge Fund Structure, Skewness and Liquidity</title>
		<link>http://allaboutalpha.com/blog/2008/09/03/hedge-fund-structure-skewness-and-liquidity/</link>
		<comments>http://allaboutalpha.com/blog/2008/09/03/hedge-fund-structure-skewness-and-liquidity/#comments</comments>
		<pubDate>Wed, 03 Sep 2008 17:32:24 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Investment Management Fees]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3981</guid>
		<description><![CDATA[By: Chekib Ezzili (ESSEC Business School)
Published: September 2008
Abstract: The paper develops a model of the hedge fund industry in which the different fees charged (management fees and redemption fees) are determined endogenously in a competitive market setting. The heterogeneity in managerial skills, the wide variety of the hedge fund strategies and the existence of investors [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/09/03/hedge-fund-structure-skewness-and-liquidity/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>That&#8217;s quite a &#8220;distinctive&#8221; strategy&#8230;</title>
		<link>http://allaboutalpha.com/blog/2008/09/02/thats-quite-a-distinctive-strategy/</link>
		<comments>http://allaboutalpha.com/blog/2008/09/02/thats-quite-a-distinctive-strategy/#comments</comments>
		<pubDate>Wed, 03 Sep 2008 01:00:45 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3292</guid>
		<description><![CDATA[A new study finds that "distinctive" hedge funds outperform in the long run.  Can you guess which strategies have the most "distinctive" funds?]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/09/02/thats-quite-a-distinctive-strategy/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Estimating hedge fund leverage</title>
		<link>http://allaboutalpha.com/blog/2008/09/02/estimating-hedge-fund-leverage/</link>
		<comments>http://allaboutalpha.com/blog/2008/09/02/estimating-hedge-fund-leverage/#comments</comments>
		<pubDate>Tue, 02 Sep 2008 05:13:33 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3516</guid>
		<description><![CDATA[By: Bank for International Settlements
Published: September 2008
Abstract: Hedge funds are major players in the international financial system and nimble investment strategies including the use of leverage allow them to build up large positions. Yet the monitoring of systemic risks posed by the build-up of leverage is hampered by incomplete information on hedge funds’ balance sheet [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/09/02/estimating-hedge-fund-leverage/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>&#8220;Higher Moment&#8221; Betas</title>
		<link>http://allaboutalpha.com/blog/2008/08/26/alternative-viewpoints-higher-moment-betas/</link>
		<comments>http://allaboutalpha.com/blog/2008/08/26/alternative-viewpoints-higher-moment-betas/#comments</comments>
		<pubDate>Wed, 27 Aug 2008 00:00:52 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAIA Alternative Viewpoints Columns]]></category>
		<category><![CDATA[Guest Posts]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3248</guid>
		<description><![CDATA[Thought beta was a pretty down-to-earth concept?  That's what we thought too...]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/08/26/alternative-viewpoints-higher-moment-betas/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Portfolio Pumping, Trading Activity and Fund Performance</title>
		<link>http://allaboutalpha.com/blog/2008/08/20/portfolio-pumping-trading-activity-and-fund-performance/</link>
		<comments>http://allaboutalpha.com/blog/2008/08/20/portfolio-pumping-trading-activity-and-fund-performance/#comments</comments>
		<pubDate>Thu, 21 Aug 2008 00:37:06 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Institutional Investing]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4222</guid>
		<description><![CDATA[By: Sugato Bhattacharyya (University of Michigan) and Vikram K. Nanda (Arizona State University) 
Published: August 2008
Abstract: Fund managers compensated on their funds&#8217; Net Asset Values (NAV) have incentives to pump their portfolios by buying more of the securities they already hold. Portfolio pumping generates extra trading volume proportional to the level of holdings and leads [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/08/20/portfolio-pumping-trading-activity-and-fund-performance/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Failure Risk and the Cross-Section of Hedge Fund Returns</title>
		<link>http://allaboutalpha.com/blog/2008/08/07/failure-risk-and-the-cross-section-of-hedge-fund-returns/</link>
		<comments>http://allaboutalpha.com/blog/2008/08/07/failure-risk-and-the-cross-section-of-hedge-fund-returns/#comments</comments>
		<pubDate>Fri, 08 Aug 2008 00:15:35 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4203</guid>
		<description><![CDATA[By: Jung-Min Kim (Ohio State University) 
Published: August 2008
Abstract: On average, hedge funds fail slowly rather than through sudden crashes. I model a fund&#8217;s probability of failure using a dynamic logit regression and find that fund failures are predicted by past performance and fund flows measured with a lag of seven months. Hedge funds fail [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/08/07/failure-risk-and-the-cross-section-of-hedge-fund-returns/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>&#8220;Return persistence&#8221; can now be viewed with the naked eye</title>
		<link>http://allaboutalpha.com/blog/2008/08/04/return-persistence-can-be-now-viewed-with-the-naked-eye/</link>
		<comments>http://allaboutalpha.com/blog/2008/08/04/return-persistence-can-be-now-viewed-with-the-naked-eye/#comments</comments>
		<pubDate>Tue, 05 Aug 2008 02:00:36 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/08/04/return-persistence-can-be-now-viewed-with-the-naked-eye/</guid>
		<description><![CDATA[There are a million ways to calculate "return persistence".  But one new approach seems to yield some pretty striking results.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/08/04/return-persistence-can-be-now-viewed-with-the-naked-eye/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Short positions throwing a wrench in the works for traditional (long-only) institutional investors</title>
		<link>http://allaboutalpha.com/blog/2008/07/17/short-positions-throwing-a-wrench-in-the-works-for-traditional-long-only-institutional-investors/</link>
		<comments>http://allaboutalpha.com/blog/2008/07/17/short-positions-throwing-a-wrench-in-the-works-for-traditional-long-only-institutional-investors/#comments</comments>
		<pubDate>Fri, 18 Jul 2008 03:58:22 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/07/17/short-positions-throwing-a-wrench-in-the-works-for-traditional-long-only-institutional-investors/</guid>
		<description><![CDATA[Traditional long-only investors are finding out that short selling can lead to some weird analytical quirks. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/07/17/short-positions-throwing-a-wrench-in-the-works-for-traditional-long-only-institutional-investors/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Risk Budgeting Using Expected Shortfall (CVaR)</title>
		<link>http://allaboutalpha.com/blog/2008/06/24/risk-budgeting-using-expected-shortfall-cvar/</link>
		<comments>http://allaboutalpha.com/blog/2008/06/24/risk-budgeting-using-expected-shortfall-cvar/#comments</comments>
		<pubDate>Tue, 24 Jun 2008 17:12:29 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3961</guid>
		<description><![CDATA[By: Mohsen Mazaheri
Published: June 2008
Abstract: This paper provides an overview of using Expected Shortfall (CVaR) for risk budgeting. It is argued that for strategies exhibiting fat tails, portfolio construction and allocation decisions are best formulated with CVaR as the risk measure. Furthermore, the level of unincumbered cash for a hedge fund should be determined based [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/06/24/risk-budgeting-using-expected-shortfall-cvar/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Day one from the un-named event in London</title>
		<link>http://allaboutalpha.com/blog/2008/06/02/day-one-from-the-un-named-event-in-london/</link>
		<comments>http://allaboutalpha.com/blog/2008/06/02/day-one-from-the-un-named-event-in-london/#comments</comments>
		<pubDate>Mon, 02 Jun 2008 23:34:24 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Hedge Fund Industry Trends]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Portable Alpha & Alpha/Beta Separation]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/06/02/day-one-from-the-un-named-event-in-london/</guid>
		<description><![CDATA[A meeting this week in London features the movers and shakers from the intersection of hedge funds and institutional investing. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/06/02/day-one-from-the-un-named-event-in-london/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Mean-Variance versus Mean-VaR and Mean-Utility Spanning</title>
		<link>http://allaboutalpha.com/blog/2008/06/01/mean-variance-versus-mean-var-and-mean-utility-spanning/</link>
		<comments>http://allaboutalpha.com/blog/2008/06/01/mean-variance-versus-mean-var-and-mean-utility-spanning/#comments</comments>
		<pubDate>Sun, 01 Jun 2008 20:49:23 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4854</guid>
		<description><![CDATA[By: Laurent Bodson and Georges Hubner (University of Liège)
Published: June 2008
Abstract: In this chapter, we contrast the optimal spanning properties of portfolios built under the traditional mean-variance (VAR) or mean-modified value-at-risk (MVaR) approaches with those created with the linear-exponential (linex) utility function. Unlike asset allocation procedures that build on volatility or MVaR as a measure [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/06/01/mean-variance-versus-mean-var-and-mean-utility-spanning/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Performance Measurement of Hedge Funds Using Data Envelopment Analysis</title>
		<link>http://allaboutalpha.com/blog/2008/05/03/performance-measurement-of-hedge-funds-using-data-envelopment-analysis/</link>
		<comments>http://allaboutalpha.com/blog/2008/05/03/performance-measurement-of-hedge-funds-using-data-envelopment-analysis/#comments</comments>
		<pubDate>Sat, 03 May 2008 17:55:27 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4003</guid>
		<description><![CDATA[By: Martin Eling (University of St. Gallen)
Published: May 2008
Abstract: Data envelopment analysis (DEA) is a nonparametric method from the area of operations research that measures the relationship of produced outputs to assigned inputs and determines an efficiency score. This efficiency score can be interpreted as a performance measure in investment analysis. Recent literature contains intensive [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/05/03/performance-measurement-of-hedge-funds-using-data-envelopment-analysis/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Do the Best Hedge Funds Hedge?</title>
		<link>http://allaboutalpha.com/blog/2008/04/25/do-the-best-hedge-funds-hedge/</link>
		<comments>http://allaboutalpha.com/blog/2008/04/25/do-the-best-hedge-funds-hedge/#comments</comments>
		<pubDate>Fri, 25 Apr 2008 15:00:49 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3835</guid>
		<description><![CDATA[By: Sheridan Titman (University of Texas at Austin) and Cristian Ioan Tiu (SUNY at Buffalo)
Published: April 2008
Abstract: We provide a simple argument that suggests that better informed hedge funds choose to have less exposure to factor risk. Consistent with this argument we find that hedge funds that exhibit lower R-squares with respect to systematic factors have [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/04/25/do-the-best-hedge-funds-hedge/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Hedge Funds: An Analytic Perspective</title>
		<link>http://allaboutalpha.com/blog/2008/04/14/hedge-funds-an-analytic-perspective/</link>
		<comments>http://allaboutalpha.com/blog/2008/04/14/hedge-funds-an-analytic-perspective/#comments</comments>
		<pubDate>Mon, 14 Apr 2008 23:26:38 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Recommended Books]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=2266</guid>
		<description><![CDATA[Title: Hedge Funds: An Analytic Perspective
Author: Andrew Lo
Published: April 2008
From Publisher: The hedge fund industry has grown dramatically over the last two decades, with more than eight thousand funds now controlling close to two trillion dollars. Originally intended for the wealthy, these private investments have now attracted a much broader following that includes pension funds [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/04/14/hedge-funds-an-analytic-perspective/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Skeptics to hedge fund managers: Your alpha has been faked!</title>
		<link>http://allaboutalpha.com/blog/2008/04/03/skeptics-to-hedge-fund-managers-your-alpha-has-been-faked/</link>
		<comments>http://allaboutalpha.com/blog/2008/04/03/skeptics-to-hedge-fund-managers-your-alpha-has-been-faked/#comments</comments>
		<pubDate>Fri, 04 Apr 2008 02:00:22 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Investment Management Fees]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/04/03/skeptics-to-hedge-fund-managers-your-alpha-has-been-faked/</guid>
		<description><![CDATA[There's a debate brewing in the hedge fund community right now over an academic paper on hedge fund alpha.  Here's what you need to know.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/04/03/skeptics-to-hedge-fund-managers-your-alpha-has-been-faked/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Alpha-centric Newsreel</title>
		<link>http://allaboutalpha.com/blog/2008/03/14/alpha-centric-newsreel/</link>
		<comments>http://allaboutalpha.com/blog/2008/03/14/alpha-centric-newsreel/#comments</comments>
		<pubDate>Fri, 14 Mar 2008 21:23:52 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[130/30]]></category>
		<category><![CDATA[AAA Newsreels]]></category>
		<category><![CDATA[Alternative Beta & Hedge Fund Replication]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/03/14/alpha-centric-newsreel/</guid>
		<description><![CDATA[Here is a sample of the news stories we didn&#8217;t get a chance to explore in detail this week.  As usual, all of them can be found on the Alpha-ticker above or in the news items section of AllAboutAlpha.com (free registration may be required for a few of these).
Morgan Stanley says Alpha/Beta Separation &#8220;the way [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/03/14/alpha-centric-newsreel/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Shadwick to Quants: &#8220;Financial models should come with health warnings!&#8221;</title>
		<link>http://allaboutalpha.com/blog/2008/03/09/shadwick-to-quants-financial-models-should-come-with-health-warnings/</link>
		<comments>http://allaboutalpha.com/blog/2008/03/09/shadwick-to-quants-financial-models-should-come-with-health-warnings/#comments</comments>
		<pubDate>Mon, 10 Mar 2008 01:43:29 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Alternative Beta & Hedge Fund Replication]]></category>
		<category><![CDATA[Guest Posts]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/03/09/shadwick-to-quants-financial-models-should-come-with-health-warnings/</guid>
		<description><![CDATA[Dr. William Shadwick, developer of the Omega Function used in risk management, warns that "over-modeling" has "negative consequences"]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/03/09/shadwick-to-quants-financial-models-should-come-with-health-warnings/feed/</wfw:commentRss>
		<slash:comments>4</slash:comments>
		</item>
		<item>
		<title>Academic study: Morningstar ratings have &#8220;unintended consequence&#8221; of being &#8220;manipulation proof&#8221;</title>
		<link>http://allaboutalpha.com/blog/2008/03/02/academic-study-morningstar-ratings-have-unintended-consequence-of-being-manipulation-proof/</link>
		<comments>http://allaboutalpha.com/blog/2008/03/02/academic-study-morningstar-ratings-have-unintended-consequence-of-being-manipulation-proof/#comments</comments>
		<pubDate>Mon, 03 Mar 2008 01:56:45 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/03/02/academic-study-morningstar-ratings-have-unintended-consequence-of-being-manipulation-proof/</guid>
		<description><![CDATA[Following the launch of Morningstar's "Risk Adjusted Rating" for hedge funds, we examine this metric and find that - if not predictive - it is at least "manipulation proof".]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/03/02/academic-study-morningstar-ratings-have-unintended-consequence-of-being-manipulation-proof/feed/</wfw:commentRss>
		<slash:comments>4</slash:comments>
		</item>
		<item>
		<title>Long-Short Portfolio Analytics</title>
		<link>http://allaboutalpha.com/blog/2008/01/15/2437/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/15/2437/#comments</comments>
		<pubDate>Tue, 15 Jan 2008 21:03:45 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=2437</guid>
		<description><![CDATA[By: BNY Mellon Asset Servicing
Published: First Quarter 2008
Abstract: The purpose of this paper is to highlight the best practices in aggregating and interpreting performance analytics for enhanced active equity (e.g., 120/20, 130/30, etc.) and market-neutral portfolios. Performance analytics is defined in this paper as fundamental and quantitative characteristics (PE ratios, Book Value, etc.) and portfolio [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/15/2437/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Why Does Hedge Fund Alpha Decrease Over Time? Evidence from Individual Hedge Funds</title>
		<link>http://allaboutalpha.com/blog/2008/01/14/why-does-hedge-fund-alpha-decrease-over-time-evidence-from-individual-hedge-funds-2/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/14/why-does-hedge-fund-alpha-decrease-over-time-evidence-from-individual-hedge-funds-2/#comments</comments>
		<pubDate>Tue, 15 Jan 2008 01:11:40 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4252</guid>
		<description><![CDATA[By: Zhaodong Zhong (State University of New Jersey) 
Published: January 2008
Abstract: Why has the aggregate level of hedge fund alpha (risk-adjusted return) decreased over the last decade? By studying the distribution of individual hedge fund alphas, we find that the large right tail (funds with positive alphas) that was once present has shrunk over time, [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/14/why-does-hedge-fund-alpha-decrease-over-time-evidence-from-individual-hedge-funds-2/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>The Performance of Emerging Hedge Fund Managers</title>
		<link>http://allaboutalpha.com/blog/2008/01/10/the-performance-of-emerging-hedge-fund-managers/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/10/the-performance-of-emerging-hedge-fund-managers/#comments</comments>
		<pubDate>Thu, 10 Jan 2008 12:34:11 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=2724</guid>
		<description><![CDATA[By: Rajesh Aggarwal (UoM) and Phillipe Jorion (UoC)
Published: January 2008
Abstract: This paper provides the first systematic analysis of performance patterns for emerging managers in the hedge fund industry. Emerging managers have particularly strong financial incentives to create investment performance and, because of their size, may be more nimble than established ones. Performance measurement, however, needs [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/10/the-performance-of-emerging-hedge-fund-managers/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>New paper explains &#8220;muted demand&#8221; for portable alpha</title>
		<link>http://allaboutalpha.com/blog/2008/01/03/new-paper-explains-muted-demand-for-portable-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/03/new-paper-explains-muted-demand-for-portable-alpha/#comments</comments>
		<pubDate>Fri, 04 Jan 2008 01:00:11 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Investment Management Fees]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Portable Alpha & Alpha/Beta Separation]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/01/03/new-paper-explains-muted-demand-for-portable-alpha/</guid>
		<description><![CDATA[When arguments can be made that 130/30 investing and portable alpha are cousins, why then has 130/30 become the cat's meow and portable alpha growth is "muted"?  Two academics have a theory.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/03/new-paper-explains-muted-demand-for-portable-alpha/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
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		<title>Rethinking Performance in the Hedge Fund Industry</title>
		<link>http://allaboutalpha.com/blog/2007/12/17/rethinking-performance-in-the-hedge-fund-industry/</link>
		<comments>http://allaboutalpha.com/blog/2007/12/17/rethinking-performance-in-the-hedge-fund-industry/#comments</comments>
		<pubDate>Tue, 18 Dec 2007 02:27:39 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=2583</guid>
		<description><![CDATA[By: BNY Mellon
Published: December 2007
Introduction: The purpose of this briefi ng is to provide an overview of the current state of hedge fund classifi cation; to off er an analysis of the risk and return characteristics of the major types of hedge funds; to introduce cluster analysis and to describe the hedge fund universe in [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/12/17/rethinking-performance-in-the-hedge-fund-industry/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
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		<title>Fifth birthday of bull run making mutual funds look better than they are</title>
		<link>http://allaboutalpha.com/blog/2007/12/12/fifth-birthday-of-bull-run-making-mutual-funds-look-better-than-they-are/</link>
		<comments>http://allaboutalpha.com/blog/2007/12/12/fifth-birthday-of-bull-run-making-mutual-funds-look-better-than-they-are/#comments</comments>
		<pubDate>Thu, 13 Dec 2007 01:00:11 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Investment Management Fees]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/12/12/fifth-birthday-of-bull-run-making-mutual-funds-look-better-than-they-are/</guid>
		<description><![CDATA[Markets hit rock bottom five years ago this fall.  As a result, 5 year returns are currently peaking - making closet indexing mutual funds look pretty smart...too smart.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/12/12/fifth-birthday-of-bull-run-making-mutual-funds-look-better-than-they-are/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
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