Special Issue "Risk Factors and Portfolio Choice in the Context of Hedge Fund Investing"

Quicklinks

A special issue of Risks (ISSN 2227-9091).

Deadline for manuscript submissions: closed (1 February 2014)

Special Issue Editor

Guest Editor
Dr. Jim Kyung-Soo Liew

The Johns Hopkins Carey Business School 100 International Drive, Baltimore, MD 21202, USA
Website | E-Mail
Phone: +1-410-234-9401
Interests: hedge funds; quant investing; capital market; finance

Special Issue Information

Dear Colleagues,

Hedge funds have been intensively employed by "sophisticated" investors over many years. Recently, we have seen a growing number of institutional investors taking the leap of faith and investing directly into hedge funds, thereby passing traditional routes of fund of funds and other hedge fund aggregation vehicles, such as replicators. Given the need to better understand the risks, both known and unknown with regards to investing in the vast array of possible hedge fund strategy, we attempt to highlight the current best practice methodologies in this domain. Our goal here is to better understand how to measure, monitor, and manage the many distinct dimension of risk when including hedge fund investments in traditional portfolios. In this volume we compile the best ideas and most controversial thoughts in regards to the current application of risks and portfolio choice in the context of hedge fund investing.

Dr. Jim Kyung-Soo Liew

Guest Editor

Submission

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. Papers will be published continuously (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are refereed through a peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Risks is an international peer-reviewed Open Access quarterly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. For the first couple of issues the Article Processing Charge (APC) will be waived for well-prepared manuscripts. English correction and/or formatting fees of 250 CHF (Swiss Francs) will be charged in certain cases for those articles accepted for publication that require extensive additional formatting and/or English corrections.

Published Papers (2 papers)

View options order results:
result details:
Displaying articles 1-2
Export citation of selected articles as:

Research

Open AccessArticle Initial Investigations of Intra-Day News Flow of S&P500 Constituents
Risks 2014, 2(2), 89-102; doi:10.3390/risks2020089
Received: 1 November 2013 / Revised: 23 January 2014 / Accepted: 5 March 2014 / Published: 1 April 2014
PDF Full-text (630 KB) | HTML Full-text | XML Full-text
Abstract
In this work, we examine Thomas Reuters News Analytics (TRNA) data. We found several fascinating discoveries. First, we document the phenomenon that we label “Jam-the-Close”: The last half hour of trading (15:30 to 16:00 EST) contains a substantial and statistically significant amount of
[...] Read more.
In this work, we examine Thomas Reuters News Analytics (TRNA) data. We found several fascinating discoveries. First, we document the phenomenon that we label “Jam-the-Close”: The last half hour of trading (15:30 to 16:00 EST) contains a substantial and statistically significant amount of news sentiment releases. This finding is robust across years and months of the year. Next, upon further investigations we found that the “novelty” score is on average 0.67 in this period vs. 2.09 prior to midday. This indicates that “new” news is flowing at a rapid pace prior to the close. Finally, we discuss the implication of such phenomena in the context of existing financial literature. Full article
Open AccessArticle U.S. Equity Mean-Reversion Examined
Risks 2013, 1(3), 162-175; doi:10.3390/risks1030162
Received: 16 October 2013 / Revised: 13 November 2013 / Accepted: 18 November 2013 / Published: 4 December 2013
Cited by 1 | PDF Full-text (656 KB) | HTML Full-text | XML Full-text
Abstract
In this paper we introduce an intra-sector dynamic trading strategy that captures mean-reversion opportunities across liquid U.S. stocks. Our strategy combines the Avellaneda and Lee methodology (AL; Quant. Financ. 2010, 10, 761–782) within the Black and Litterman framework (BL; J. Fixed
[...] Read more.
In this paper we introduce an intra-sector dynamic trading strategy that captures mean-reversion opportunities across liquid U.S. stocks. Our strategy combines the Avellaneda and Lee methodology (AL; Quant. Financ. 2010, 10, 761–782) within the Black and Litterman framework (BL; J. Fixed Income, 1991, 1, 7–18; Financ. Anal. J. 1992, 48, 28–43). In particular, we incorporate the s-scores and the conditional mean returns from the Orstein and Ulhembeck (Phys. Rev. 1930, 36, 823–841) process into BL. We find that our combined strategy ALBL has generated a 45% increase in Sharpe Ratio when compared to the uncombined AL strategy over the period from January 2, 2001 to May 27, 2010. These new indices, built to capture dynamic trading strategies, will definitely be an interesting addition to the growing hedge fund index offerings. This paper introduces our first “focused-core” strategy, namely, U.S. Equity Mean-Reversion. Full article

Planned Papers

The below list represents only planned manuscripts. Some of these manuscripts have not been received by the Editorial Office yet. Papers submitted to MDPI journals are subject to peer-review.

Article: Risk in Hedge Funds from a Capital Allocation Perspective
Author: Dr. A. Ajakh
Affiliation: Fitzroy Capital Management and Johns Hopkins Carey Business School, New York
Abstract: One of the main goal of alternative investments in hedge funds is to allocate capital where it is most needed, in order to maximize returns. Currently, the smaller hedge funds, in terms of Assets Under Management (AUM), attract a very small proportion of the capital in the hedge fund universe. We show empirically that the correlation among the largest allocators supports the view of capital flow and aggregation in the larger funds. From a risk perspective, this could lead to a lack of diversification in the development of new and more entrepreneurial strategies. The main reason for the massive capital flow
into larger funds may be related to career risk for asset allocators. Solutions to improve and enhance the role of asset allocators will be examined empirically.

Journal Contact

MDPI AG
Risks Editorial Office
St. Alban-Anlage 66, 4052 Basel, Switzerland
risks@mdpi.com
Tel. +41 61 683 77 34
Fax: +41 61 302 89 18
Editorial Board
Contact Details Submit to Risks
Back to Top