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Browse by CategoryHome » Category List » AUDIENCE: Academic
Report: “Exposure yardsticks may provide little insight about a fund’s alpha potential”15 May 2008
A research paper by Morgan Stanley (available in the Morgan Stanley research dossier at AllAboutAlpha.com) reminds us that dollar-weighted exposure is not synonymous with beta-weighted net exposure. But the paper, another in a series by Marty Leibowitz and Anthony Bova, also argues that the beta-weighted net exposure doesn’t really tell us a lot about the potential information ratio (alpha/tracking error) of the fund. To gauge the potential IR of a fund, one should instead look at the ratio of “active” long positions to “active” short positions - or what Leibowitz and Bova call the “active ratio”. The active ratio, they argue, is more descriptive of the risk/return dynamics of a fund than the more recognized dollar-weighted or beta-weighted net exposure. They say the Active Ratio can reveal how long/short funds and 130/30 funds are really just first cousins:
Comments »Does “Sentiment Beta” beget “Sentimental Alpha”?14 May 2008
Behavioral finance has often been touted as the successor to the CAPM since it aims to explain how the grand old model doesn’t hold up under empirical analysis. Unfortunately, behavioral finance has so far lacked a unifying theory of its own capable of galvanizing the field of finance. Still, Baker and Wurgler borrow from the lexicon of the CAPM to propose a measure they call “Sentiment Beta”. As P&I points out, some big names have taken notice. Bruce Jacobs of Jacobs, Levy tells the newspaper:
At first blush, “sentiment beta” sounds kind of redundant. After all, doesn’t beta itself capture market sentiment? If sentiment rises, the market rises. And if the market rises, high-beta stocks rise anyway, right?
Comments »Research puts price on hedge fund “illiquidity premium”6 May 2008Liquidity (or lack thereof) is a perennial issue in the hedge fund industry. How much should investors expect to be compensated for the lock-ups that hedge funds often require? And does such a premium really count as “alpha”? Pierre Laroche of Innocap Investment Management (see related posting on Innocap’s hedge fund replication work) tells us of a study he recently conducted that comes to a pretty definite conclusion about the illiquidity premium. Laroche is the co-author of three books on derivatives and risk management.
Much has been done in recent years to better measure and price illiquidity. These developments had a positive impact on risk management practice. For example, some interesting liquidity-adjusted VAR models have been developed recently. There has also been quite a bit of discussion on this topic on the pages of AllAboutAlpha.com (e.g. “Liquidity Alpha“, “Liquidity Insurance“) At Innocap, we recently finished an interesting study that proposes a way to quantify the cost of illiquidity and adjust the risk-return profile of an illiquid asset. Our model aims at reproducing the trading methods and market environment of typical (median) CTA hedge funds. (We could have chosen other types of hedge funds. This one is used for illustrative purposes only). The model integrates the impact of liquidation delays, accrued bid-ask spread (BAS hereafter) and increased volatility (feedback effect). This is an improvement over other models, which only take into account one or two of these factors.
Comments »130/30 in the 1930s13 April 2008
The latest to conduct this analysis are Carl Armfelt and Daniel Somos, graduate students at the Stockholm School of Economics. Armfelt & Somos selected a set of basic Fama/French factors to create their alpha model and ran it all the way back to 1927. Here’s what they found:
Comments »Alternative Viewpoints: Sustainable Hedge Fund Performance31 March 2008Every year, pure random chance dictates that exactly half of all investors will outperform the median and half underperform the median. The Holy Grail of alpha generation, of course, is to outperform more than pure random chance should allow. In other words, to produce persistent alpha. In our monthly column featuring the thoughts of a member of the Chartered Alternative Investment Analyst (CAIA) Association, we feature one academic who may have identified a way to uncover such non-random outperformance. Daniel Capocci, Ph.D., CAIA, is a senior portfolio manager at KBL European Private Bankers, a lecturer at the Luxembourg School of Finance and a Research Associate at the Edhec Risk & Asset Management Center. Alternative Viewpoints, powered by CAIA
Three fields exist that examine hedge fund performance. The first includes studies that compare the performance of hedge funds with equity and other indices (some authors conclude that hedge funds are able to outperform these indices, whereas others are more cautious in their conclusions). The second field of hedge fund performance analysis compares the performance of hedge funds with that of mutual funds (where some have found that hedge funds constantly obtain superior performance to mutual funds, although lower and more volatile returns than the reference market indices considered.) Finally, the third group of hedge fund performance analysis examines the persistence of hedge fund returns. Persistence is particularly important in the case of hedge funds because the hedge fund industry has a higher attrition rate than mutual funds.
Comments »New Study: No hedge fund bubble…but a potentially serious capacity constraint30 March 2008
This is kind of ironic given that the industry seems to obsess over the “non-normality” of hedge fund returns. While fund and sub-strategy returns may be non-normal, there often seems to be an implicit assumption that alphas follow a bell curve. Thus, when hedge funds underperform, we assume that all hedge funds underperform - that the bell curve simply shifted to the left. But Zhaodong Zhong of Penn State University wondered if the averages hide a more complex explanation. His new study examines the performance of individual hedge funds to determine if average hedge fund alpha has fallen a) due to more unskilled managers (the “hedge fund bubble” hypothesis) or due to less superstars (the “capacity constraint” hypothesis). (Hat tip to blogger Paul Kedrosky for bringing this paper to our attention).
Comments »Study examines “mulligans” in hedge fund performance data17 March 2008
According to the US Golf Association:
There has been considerable debate over the years about whether hedge fund managers have been giving themselves mulligans when they occasionally shank their new funds into the drink. Since hedge fund managers voluntarily report their performance to the major databases (which form the foundation for most academic studies), it is felt that only their best funds eventually make it on the list - and when they do, the performance since inception is “back-filled” into the database to create what is often referred to as an “instant track record”. The result is that the returns reported by so-called “emerging managers” are not really a true representation of all attempts to launch new funds.
Comments »Dow Jones joins 130/30 index parade16 March 2008
Like CS (see related posting) and S&P (see related posting), Dow Jones simply executes a pre-existing security-selection methodology in a 130/30 format. The security-ranking methodology is called “RBPP” (”required business performance probability”) and it measures companies according to the likelihood that management will meet the business expectations implied by recent stock prices. In fact, the index is simply a combination of three existing indices. Says the index methodology overview:
Comments »Research finds most equity indices actually contain alpha28 January 2008
Andrew Lo provided some arguments in favour of such an index in his December 2007 paper “130/30: The New Long-Only“. In it, he acknowledges:
According to a paper published in the January 2008 edition of the Journal European Financial Management, the “passive buy and hold ethos of indexation” ain’t so passive after all. The paper (earlier version available here), finds that most indices are chalked full of active biases - making a truly passive index a rare animal indeed. This, of course, is the central argument made by proponents of fundamental indexation (see related posting, “Arnott: Does My Beta Produce Alpha?”)
Comments »New research illustrates wide-ranging implications of the ubiquitous “high water mark”21 January 2008
Now a new academic study by Sugata Ray and Indraneel Chakraborty at Wharton reveals that messing around with performance fees can have a material impact on the manager’s effort, the fund’s volatility and even the manager’s propensity to “walk away” from the fund altogether. As the authors acknowledge, their findings support common intuition - that managers are more likely to buckle down when the high water mark (”HWM”) is in sight, more likely to swing for the fences when it’s not, and more likely to walk away when they feel it’s totally out of reach. We’ll get into these effects below. But first, here is the authors’ take on the Goldman situation we discussed in August. It clearly illustrates the mechanics by which a seemingly benign metric can have such wide-ranging implications:
Comments »“Homemade Hedge Funds”: Delicious but deadly?8 January 2008
But most of the debate surrounding “hedge fund replication” has involved the use of futures, swaps, mechanical trading strategies, derivatives. But most investors simply don’t have these tools lying around at home. So an asset manager and an academic from Howard University recently teamed up to see if you could actually replicate hedge fund returns using the most common of household appliances - the sector ETF. In “Homemade Sector Hedge Funds: Can Investors Replicate the Returns Without Paying the Fees?” Lorenzo Newsome of Xavier Capital Management and Pamela Turner of Brown University say this has never actually been tried before. (Their paper appears in this quarter’s Journal of Investing and can also be downloaded here.) Say the duo:
Comments »More on how the ivory towers grow so tall27 December 2007The investment returns of university endowments remained a hot topic throughout 2007. And their managers, such as Yale’s David Swensen, often make it into Halls of Fame of the investments world. However, little is known of the goose that lays the endowments’ golden eggs. While in Boston at the “unnamed absolute return event” earlier this year (see related posting), we saw a presentation by Cristian Tiu of the State University of New York (SUNY) at Buffalo. Tiu, together with his co-authors Keith Brown and Lorenzo Garlappi, had something to say about this fabled goose. He also brings a real-world perspective to his research from previous work at The University of Texas endowment (UTIMCO). The Troves of Academe – or how university endowments make their money
In a recent paper, my colleagues and I asked what is, and then what explains the performance of university endowments. We found that while the average endowment performance across the years has been around 10%, the risk adjusted returns (or alpha) are not statistically significantly different from zero. Exposure to momentum stocks seems to be the main driver of the returns. Once this is accounted for, endowments don’t seem to have – on average - any alpha producing capabilities. However, some endowments obviously perform better than others. Why? To begin with, all endowments are relatively unconstrained, tax exempt and large enough to hold different asset classes; they are near academic centers; and there is a huge volume of academic literature on asset allocation. Hence asset allocation seems to be one of the first things to look at as a possible determinant of performance. But can asset allocation itself generate alpha? We found that the passive hedge fund index we used to benchmark the performance of hedge funds as an asset class has positive and significant alpha. Therefore, an endowment invested 100% in hedge funds really should have generated alpha. So if asset allocation is “smart” enough, it could generate alpha by itself. But does it? Is their asset allocation “smart enough”? And does it help performance?
Comments »130/30 a moving target according to originators of the craze19 September 2007
Many regard these four as being the originators of the craze we now know as 130/30. In an article last spring on the website of UK-based consultancy bfinance, AllAboutAlpha.com Hall of Famer Tris Lett observed that, like so many mega-trends, 130/30 was originally cooked up on the sunny shores of Southern California:
Clarke, de Silva, Thorley and Sapra have since achieved stardom by producing several papers on the topic of 130/30. Their newest production, “Long/Short Extensions: How Much is Enough?” has now been revised after a limited release over the summer at a screen near you.
Comments »Modified Kat-Palaro HF replication model heralds entry of major new competitor18 July 2007
While Schneeweis was referring to the relative advantages of managed accounts at the time, the same general theme has now made its way into the debate on hedge fund replication. Alpha Male shared a cold one with one of the luminaries of hedge fund academia a couple of months ago (a Hall of Fame member) when said guru expressed concern over the so-called “distributional replication” approach to hedge fund cloning. In his opinion, Kat’s reliance on monthly data to pump out daily trading instructions was a source of potentially considerable error. Now another group of academics, backed by one of the world’s largest hedge fund investors, has attempted to address this concern. Nicolas Papageorgiou, Bruno Remillard, and Alexandre Hocquard of Montreal’s HEC Business School have just released the first version of a paper that aims to improve on the Kat-Palaro method (available here at AllAboutAlpha.com). Papageorgiou tells AllAboutAlpha.com that Canada’s Desjardins Global Asset Management has been quietly managing a “beta” fund since late 2006 and will be adopting this approach for an official launch in September. So expect to see Desjardins and Papageorgiou on red carpets around the hedge fund conference circuit this Fall (including this one featuring a panel of both Papageorgiou and Kat for - with apologies to Seinfeld’s Mr. Peterman - ”a good old fashioned Kat fight“).
Comments »Sell-side not a bunch of snake-oil salesmen after all11 July 2007
In that study, academics suggested that managers should be measured not against the market portfolio, but rather against the average active bets of sell-side analysts. In essence, these researchers proposed a passive benchmark made up of sell-side analysts’ picks. Any return over that passive benchmark could then be declared as value-added (basically, alpha). The study concluded that managers who stray more from sell-side stock picks were more likely to outperform than those who simply took the sell-side’s advice whenever it was offered. So chalk one up for good old-fashioned internal buy-side research. But the June 23rd edition of The Economist cited a recent study that suggested sell-side advice isn’t so bad after all. The study, by researchers at Harvard and the University of North Carolina concluded that - contrary to popular opinion - sell-side analysts are actually more accurate and less optimistic than their buy-side peers.
Comments »“Operational Alpha”20 June 2007As the hedge fund industry matures and becomes more process-oriented, more and more hedge fund managers figure that if they can run their own back offices, why not run other peoples’ back offices? For example, Highbridge spun out Harmonic Fund Services in 2003 and Oak Hill spun out its back office into OpHedge in 2005. As various other managers enter this industry by spinning off their own administration functions, they bring with them a new language. Nowhere is this more evident than in the recent announcement that hedge fund behemoth Citadel is launching an arm’s length hedge fund administrator, Citadel Solutions. Hedgeco.Net reports that Citadel caused a stir at SIFMA’s Annual “Technology Management Conference & Exhibit“ in New York on Tuesday with news of their new initiative (which is slated to go live July 1):
Whoa. Hold the phone. “Operational Alpha“? At first blush, this term smacks of marketing schlock. But then we recalled a presentation given by a BGI executive to a gathering of AIMA (The Alternative Investment Management Association) last fall that could give credence to this claim. It turns out that the BGI executive, Ananth Madhavan, has since published his research in the form of an article last month called “Transaction Costs Analysis as a Source of Alpha“. While Madhavan’s paper pertains to transaction costs - not administration costs - the same lesson still applies: every dollar of expenses is a dollar is taken directly from alpha.
Comments »Quick Note on Northwater Replication Paper6 June 2007That recent paper from Northwater Capital on hedge fund replication techniques has garnered a lot of interest and is quickly becoming one of our most downloaded documents ever. But we’ve also had a few queries regarding where to download the document. Unless you’re a client of Northwater’s, you can only find the paper here at AllAboutAlpha.com. Our apologies for not making the link more prominent in our original posting. (click here to download the entire paper)
Comments »Mommy, Where do alphas come from?15 May 2007
Thankfully, MIT’s Andrew Lo just released a new paper entitled “Where Do Alphas Come from?: A New Measure of the Value of Active Investment Management”. In it, Lo proposes a new way of measuring alpha that addresses this age-old question (hat-tip to The Beta Brief for calling the AllAboutAlpha tip line with this one). (Lo, by the way, scored his own chapter in Peter Bernstein’s new book Capital Ideas Evolving. Much more on this book in the coming days as we wade through it here at AllAboutAlpha.com world headquarters.) Traditional (CAPM) measures of active management have relied on the extent to which a fund is correlated to its benchmark. Then in 1992, William Sharpe took this notion a step further by regressing mutual fund returns against not just a fund’s own benchmark, but against several passive indices.
Comments »Crystal ball discovered? New model forecasts manager success15 April 2007
As a result, endless resources have been poured into the quest to find some way to predict manager performance other than to simply rely on historical returns. Naturally, such a finding could be lucrative for advisers - particularly those who benefit from the performance of other managers like, say, funds of hedge funds. The latest attempt to do this has some intriguing possibilities. In a paper published in this month’s Journal of Finance, Marcin Kacperczyk of the University of British Columbia and Amit Seru of the University of Michigan propose a new metric called the “Reliance of Public Information” (RPI) to measure the extent to which a manager’s performance is correlated - not with the markets - but with “public information” (captured by consensus sell-side analyst recommendations). Read the rest of this entry »
Comments »CAPM’s problem? Our quest for “status” over “wealth”.6 April 2007Why Risk is not Related to Return
Hat tip to the CXO Advisory blog for bringing this recent paper to our attention. It’s an interesting addendum to our posting on beta arbitrage last month. As you may recall, Tuomo Vuolteenaho, a Harvard prof moonlighting at ArrowStreet in Boston said that high beta stocks didn’t actually provide the higher returns that CAPM would suggest. As a result, he said, an investor should short high beta stocks and go long low beta stocks. This paper (written by a mysterious author from a suburb of Minneapolis who is listed in SSRN - a database of academic papers - as having “no affiliation known“) argues that this apparent paradox can be explained by a human desire for relative, as opposed to absolute wealth - what the author calls “relative status”. This is an innovative way to approach the CAPM conundrum since it essentially mixes traditional financial theory with recently topical “happiness” research. Falkenstein lays out the paradox: Read the rest of this entry »
Comments »Focus on “Average” Mutual Fund is a Straw-man Argument: Fidelity Research Institute20 March 2007The Right Answer to the Wrong Question: Identifying Superior Active Portfolio Management
The search for alternative beta aims to explain some of the unexplained magic and mystery behind hedge fund management. Once we strip these betas from a hedge fund’s return stream, we often conclude that average hedge fund doesn’t have enough alpha left over to justify its fees. Sure, some funds beat their benchmarks. But on average, many say, managers produce no alpha - or worse yet - negative alpha. But do you need to invest in the average hedge fund (or actively managed mutual fund)? What if you were better than average at picking good managers? In this study, Harlow and Brown say we shouldn’t get obsessed with the ”average” mutual fund manager. Instead we should simply find “good” managers. They call focusing on the average mutual fund a straw-man argument - chosen by indexers because it’s easy to refute:
Comments »EDHEC Presents Much-Anticipated Hedge Fund Replication Study in Geneva13 March 2007Hedge Fund Replication: Old theory, new interest, inconclusive results
Hedge fund replication is controversial. For some, it’s a gallant effort to lower fees, increase transparency and boost liquidity. For others, it’s a work in progress whose promoters may be getting ahead of themselves. But one thing is for sure: Hedge fund replication is not a new subject according to EDHEC researchers. The general concept of factor modeling dates back decades, and one of its most famous applications to hedge fund returns was completed by Fung and Hsieh in their 2002 style-based research.
Comments »“Accidental Alpha”1 March 2007
By: William Fung, London Business School & David Hsieh, Duke University Will hedge funds succumb to the same fate as large chunks of the mutual fund industry: commoditization through ETFs and index funds? Merrill Lynch seemed to think so last October. And now, so do academics William Fung and David Hsieh. This research paper provides a “tool kit” to identify alternative beta, distinguish it from its hard-to-copy cousin, alternative alpha, and replicate it using basic trading rules that the authors say “capture the essence of hedge fund strategies”. These trading rules explain what they call an “accidental alpha” produced by traditional (linear) factor regressions. The paper draws close parallels between mutual funds and hedge funds:
Comments »Study is first to look under the hood to study hedge fund “skill”28 February 2007How Smart are the Smart Guys? A Unique View from Hedge Fund Stock Holdings.
Thanks go out to Mebane Faber at WorldBeta for giving us the heads up about this article. Mebane has an interesting blog that amounts to a live test of alpha-centric (or more accurately, beta-centric) investing. Tons of research has been conducted on the return histories of hedge funds to forecast their future returns. From Bill Sharpe to David Hsieh, factor analysis has been used to determine the amount of alpha in a mutual fund or hedge fund. But according to Griffin and Xu, no one has actually lifted the hood on hedge funds to study their actual holdings in an effort to assess their investing skill. The two set out to answer the question: Do hedge fund long holdings out perform mutual fund (long) holdings?
Comments »Even hedge funds can get “seasonal affect disorder”9 February 2007“Seasonality in Hedge Fund Strategies” By: Yan Olszewski, Kenmar Global Ever felt fatiguing and a little down this time of year? Turns out you’re not alone. Your hedge fund is also affected by the changing of the seasons - except hedge funds seem to get the blues in the late summer and fall - Q3 according to this research paper. This report also shows that hedge funds do better in December than in other months of the year (see related posting “Yes, Virginia, there is hedge fund alpha” from December 24th).
Comments »Beta arbitrage as an alpha opportunity5 February 2007By: Tuomo Vuolteenaho, Arrowstreet Capital Dresdner Kleinwort economist James Montier refered to this article in a recent piece. As Montier pointed out, Vuolteenaho argues that low beta stocks outperform higher beta stocks on a risk-adjusted basis (according to Montier’s own research, they may even outperform on an absolute basis). Vuolteenaho makes the logical step from this conclusion to the construction of a beta-neutral portfolio consisting of long positions in low beta names and short positions in high beta names. If this portfolio has a positive gross return, then “CAPM is C.R.A.P.” (to use Montier’s technical jargon). As this chart copied from the report shows, the CAPM seems especially stinky recently (the “late sample” = 1963-2001 while the “early sample” = 1927-1963).
Comments »Bill Fung’s Alpha/Beta Slides from Last Year’s GAIM Conference21 January 2007
Read background working paper (read archived AllAboutAlpha posting on this working paper)
Comments »EVENT: London Business School’s Annual Hedge Fund Programme18 January 2007Date: March 12-14, 2007
Comments »Net Inflows and Time-Varying Alphas: The Case of Hedge Funds8 January 2007By: Andrea Beltratti, Bocconi University & Claudio Morana, ICER & Michigan State University
Prevailing wisdom seems to suggest that hedge fund alpha will eventually drown in a deluge of new assets. But this study finds that the impact of asset inflows is not a significant detractor of hedge fund alpha.
But how can this be? Intuition suggests that more assets chasing the same inefficiency will eventually arbitrage- (”iron”) out that inefficiency. As Alexander Ineichen says in his new book, the market “learns” or “becomes immune” to the arbitrageur (although he does say that markets cannot be perfectly efficient). But according to Beltratti and Morana, market participants have heterogeneous utility functions (a notion also argued by Max Darnell, Joanne Hill, and William Sharpe):
Comments »Lifting the Hood2 January 2007By: Pierre St. Laurent, Advisors Edge Magazine This article from a leading Canadian publication for financial advisors contains an article that succinctly shows how a mutual fund can be thought of as a marketing package for an embedded ETF and an embedded market neutral hedge fund. In it, columnist Pierre St. Laurent interviews the head of AllAboutAlpha.com’s parent company, Holt Capital Advisors. Says St. Laurent:
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Whether one is referring to a 1X0/X0 fund or to some other long/short variant like a market neutral fund, there is often an implicit assumption that the “net exposure” provides all the insight required into the return potential of the fund. For example, many commonly assume that 130/30 funds are “beta neutral” and therefore that the “30/30″ portion will generate pure alpha. But what if that short-extension was just offsetting? To use an extreme example, if it was 30% long the S&P and 30% short the S&P, then there would be no alpha.
Pensions & Investments published a 
Special to AllAboutAlpha.com by: Pierre Laroche, Managing Director - R&D Innocap Investment Management 
Faced with a lack of track record for active extension funds, researchers are forced to re-create how these funds would have performed if they had existed for some time. The idea is to select an “alpha model” (an unfortunate term since alpha cannot technically be “modeled”) and run it back in time using real market data to see how it would have performed. The model is run once as a long-only portfolio and then again using any number of 1X0/X0 strategies. Comparing the performance of the models can yield some insight into whether the short extension itself adds value to a given alpha model.
Special to AllAboutAlpha.com by: Dr. Daniel Capocci, CAIA, KBL European Private Bankers
Several studies over the past few years have suggested that the much heralded “hedge fund alpha” is declining. These studies have examined average hedge fund performance (overall, or funds within a specific strategy). As a result, they have been unable to differentiate between two possible causes of the decline: an increase in the number of unskilled managers who generate negative alpha and a decrease in the number of hot-shots who produce large alphas (essentially, the skew of the hedge fund return distribution). 
Golfers are familiar with the term “mulligan” - the practice of re-doing a tee shot if the golfer duffs the ball into the woods, onto the next fairway or over the fence into someone’s backyard. God knows, we are quite familiar with mulligans at AllAboutAlpha.com. 
Dow Jones 
When Credit Suisse and S&P both recently announced 130/30 “indices”, we 
Remember when Goldman Sachs, smarting from mega-losses in its quant hedge funds, offered new investors a one-time opportunity to invest at a reduced fee (1% management fee plus 10% of profits, instead of 2% and 20%)? At the time, we suggested that such a fire sale can have unintended consequences (
As investors attempt to look behind the hedge fund wizards’ curtains to see how they perform their tricks, there is a significant amount of interest in “do it yourself” or “homemade” hedge funds. 
Special to AllAboutAlpha.com by Cristian Tiu, Assistant Professor, State University of New York (SUNY) Buffalo
Readers of 
Regular readers may remember an academic study we told you about in April on a method of measuring a fund manager’s ”reliance on pubic information” or RPI (
Ah, the question every parent dreads. Where do alphas come from? How can you possibly explain such a complex and miraculous process that has given life to asset managers since time began?
Active managers - particularly hedge fund managers - are notoriously inconsistent. This fact is often held up as proof of efficient markets. The assumption: all managers eventually “revert to the mean”, “hot hands don’t last”, and “what goes up must come down.”
By: Eric Falkenstein
By: W.V. Harlow, Fidelity Research Institute & Keith Brown, University of Texas
Consultant and journalist Pierre Saint-Laurent* continues his coverage of EDHEC’s 
Will hedge funds regress towards index-like products?
By: John Griffin, University of Texas & Jin Xu, Zebra Capital Management
While some of you get ready for a week of ”hard work” in Boca Raton at the 
Apparently this event is designed for those already quite familiar with hedge funds. According to the LBS website: 
Remember that kid on your block who used to get kicks out of handing you a garden hose on a hot summer day, then cranking the faucet to “full” in an attempt to squeeze the insides of your head out your eye-sockets? If any of your friends were able to withstand that torrent of water without getting sick, call them up. Ten bucks says they’re managing a hedge fund now. According to a recent study, increasing torrents of money into hedge funds don’t lead to lead to sickly returns.