PhD Program

The paper discusses global macro as a strategy which went out of favour after the LTCM debacle. It uses four case studies and despite the draw backs - a small number of experienced managers - concludes that the strategy can offer diversification and hedging in a portfolio.

90 years ago – in October 1929 - the crash on Wall Street created chaos in the financial markets. The Great Crash of 1929 led to the Great Depression the longest period of unemployment and contraction in modern history. The market crash of 1929 is considered a unique, five sigma event, occurring only once-in–a-lifetime. Seventy nine years after the Great Crash of 1929 (GC), the financial markets collapsed again in the Global Financial Crisis of 2008 (GFC) and threatened the financial stability of the world like in 1929. Explanations for the causes of a market crash can range from over-indebtedness, asset bubbles, speculation to massive leverage in the system. Crises can have different forms ranging from classic hunger crises to modern forms of demand crises, corporate crises and financial market crises. While the causes of a hunger crisis is often the result of a series of poor harvest, the causes of a financial market crisis can be complex and are not always easy to identify. In this paper I focus on the worst financial market crisis in history the GC in the USA. It was argued that funds and short sellers were the culprits of the crisis, and that they benefited from it. This paper covers the speculators in the GC by analysing their role, their strategies and their returns. I introduce an analysis of the role of speculators in their function as either liquidity providers or liquidity takers. As far as the theory of speculation is concerned I use Minsky’s Financial Instability Hypothesis. The analysis shows that in a systematic crisis there are no winners and there is no place to hide.

The 1920s often called the "Golden 20s" because the equity markets were booming but there were a series of structural issues. Only a few years after the 1st World War the global economy was still suffering from the consequences of the brutal war. The market crash of 1929 came unexpected and shocked the world. It is considered a unique, five sigma event, occurring only once-in-a-lifetime. This paper covers the period before, during and after the Great Crash on Wall Street.

Les structures de frais des fonds de fonds sont parfois opaques et complexes. Elles ont souvent un impact négatif sur la performance. Pour améliorer la qualité des produits multi-managers ainsi que le potentiel de performances des stratégies d'investissement alternatives, de nouvellles structures de frais, plus flexibles, paraissent indispensables.

Europe has witnessed a plethora of hedge funds of funds launches in recent months, but many questions remain as to how best to construct a hedge fund of funds, especially with so many European hedge funds still in their infancy with little track record. We look at sucessful methodologies for building a hedge fund of funds and examine the related issues of performance measurement, controlling and justifying a second level of fees, optimum diversification levels for a hedge fund of funds and the advantages (and disadvantages) of a multi-manager against a stand-alone fund.

In this paper we analyse the current state of the European hedge fund industry and give an outlook for 2003 and beyond. We focus on the fabric of the hedge fund industry and its growth potential in the institutional world. We also address issues of cylces in hedge funds, trends in strategies and the pace of European hedge fund closures.

In this article we discuss the topic of benchmarks in alternative investment strategies. For many years, firms in the US and Europe have been trying to develop hedge fund indices. Many argue that hedge fund indices will help develop the industry, make it more transparent, accessible and comparable to other markets. Others, including the author, adopt a more cautious approach as to the real benefits of new indices.

Hedge funds have become a panacea for investors who are looking for diversification and protection of their investments in times of greater correlation in global markets. Hedge fund strategies have gone a long way from their secretive, aggressive and unpopular past to the respectable position in the modern investor's portfolio.
The main attraction of hedge funds can be described as better risk-return profiles, lower correlations and higher absolute return. But how have hedge funds fared over the last few years? A critical analysis of the last 5 year returns shows that hedge funds do not always deliver what they promise: while the industry experiences an exponential growth in a few funds and assets under management, returns decline.
We compute the performance of single and maulti-manager hedge funds (funds of funds) using several database in order to compare the returns in different years. While the returns for 2001 cover only 7 months we believe that they can give us a good idea what to expect from hedge fun dreturns in 2001.

This research report studies the risk-adjusted performance of the major international equity indices against their ESG screened equivalents (MSCI World, MSCI USA, MSCI Emerging Markets, and MSCI Europe). The daily closing prices, returns, standard deviations, and Sharpe ratio characteristics are analyzed from 2013 to 2020. The current literature available from highly rated journals on the subject is also considered, which provided mixed results on the subject matter. We found no academic papers focusing specifically on analyzing the performance of indices and their ESG screened equivalents. With this paper, we intend to fill this gap in the current research available. We conclude that for the passive investor, choosing ESG screened indices over the conventional equivalent has consistently provided better risk-adjusted returns over the long-term period. These findings are robust with the consistently higher Sharpe ratios over the eight-year period for each index. We predict ESG investments may continue to outperform due to changing retail and institutional investor preferences.

In this paper "Establishing an optimal performance measurement strategy" I cover latest risk management tools for fund and strategy performance measurement, arguments for and against the standardisation of performance measurement, testing performance measurement and developing a framework to compare the risks and performance of different hedge funds within funds of funds.

Environmental, Social and Governance (ESG) and sustainability investing have become very popular with institutional, family office and more recently, retail investors. In the UK the range of ESG and sustainable funds for retail and high net worth (HNW) investors is still relatively small but growing fast. This paper studies both the supply side and risk-adjusted performance of ESG funds for UK retail investors. Based on secondary data from the Financial Express (FE) Analytics database the authors find that funds in the equity, bond and multi-asset sector are investable, from qualitative as well as quantitative perspectives, but property, alternative and other asset classes are still underdeveloped. Choosing ESG objectives has provided better risk-adjusted returns over the long-term for the retail investor, but with a tilt towards the quality growth factor as ESG favors these sectors over typical old economy value. These findings are robust with top quartile rankings and the consiste...

This paper looks at performance and risks of hedge funds as compiled and analysed by Allenbridge
Hedgeinfo. The objective of this study was the detailed analysis of the major strategies and their substrategies:
We classify hedge funds as follows:
1. Hedged Strategies (Long/Short strategies ("L/S"): L/S US, L/S Europe, L/S Global, L/S Japan et
al.)
2. Arbitrage (Convertible Bond Arbitrage ("CB Arb"), Merger Arbitrage, Mixed Arbitrage, Fixed Income,
Volatility Arbitrage)
3. Directional (Trading, High Yield, Distressed, Emerging Markets, Mutual Fund Timing, Short Selling)
For the purpose of this study we computed rolling returns, rolling volatilities and rolling Sharpe ratios
for our average (the Allenbridge Hedgeinfo (" AHI") Average and its major strategies and substrategies
for a period of six years (1996-2001).
Our database covers currently more than 2000 hedge funds of which we used the data of 1806 single
manager hedge funds (single and multi strategy funds).
All returns are net of fees.

This study looks at performance and risks of over 400 hedge funds of funds as compiled and ana­lysed by Allenbridge Hedgeinfo. We do not intend to provide another benchmark, but to list and compare funds and to show who are the outstanding and who are the worst performers.
We analyse portfolios of hedge funds (hedge funds of funds) according to their asset allocation and risk-return profile as follows:
1. Absolute Return Funds (" ARF", diversified in main strategy and styles with a no correlation to traditional market indices / low volatility/ steady return objectives)
2. Relative Return Funds ("RRF", diversified portfolios with higher correlation to traditional mar­kets and downside protection, e.g. 80% of upside, 20% of downside)
3. Sector Funds (diversification in one or a few styles, grating access to a special market segment, higher risk return than ARF and RRF)
Our database covers currently almost three thousand funds (single and multi-manager hedge funds), however for the purpose of this analysis we use the data of 446 multi-manager hedge funds (hedge funds of funds). All returns are net of fees.
The average performance of hedge funds of funds reached a low of 4.13% in 2001, compared with high single-digit (9%) in 2000 and double-digit numbers before that. ARF produced 4.26% (361 funds), RRF 3.09% (52 funds) and SF 4.62% (33 funds).
Based on the downward trend of returns of the underlying funds in 2000 (10.07%) and 2001 ( 4.03 % ), (please refer to our study on the performance of single managers for details), we believe that many hedge funds of funds will gravitate towards mean performance of single hedge funds. We believe that we will see more hedge funds of funds closing in order to protect existing investors and avoid the dilution of top holdings. All investors, but in particular new institutional investors with large mandates, will have to evaluate the added value of hedge fund of funds managers.

In this paper we discuss the downside protection that hedge funds of funds can provide in a portfolio.
We will analyse the performance of hedge funds of funds and compare them with long-only investments over the last ten years both on an absolute and a risk-adjusted basis. This will allow us to make a case for or against hedge fund investments purely on a quantitative level. The important qualitative (e.g. manager selection, monitoring, portfolio construction, asset allocation et al.) and structural analysis1 (documentation, structure, et al), which an investor or advisor should carry out before and during allocation, is not part of this paper.
First we will choose hedge funds of funds with the common minimal track record (at least ten years) and similar investment style (international hedge funds, diversified). Then we will calculate the growth of investments over ten years, the statistical data, the return - risk profiles and finally the correlation numbers.
As many hedge funds of funds target equity type returns with bond type risk, it should be interesting to find out whether this has been achieved over the last ten years.
It will be our objective to show whether hedge funds of funds are able to provide the three important pillars of alternative investments: protection, risk-adjusted returns and "alpha".

Die Due-Diligence-Prüfung ist ein zentraler Bestandteil des Entscheidungsprozesses von Investoren, Dienstleistern und Geschäftspartner, um Risiken zu minimieren. Da sich die Finanzmärkte durch die Einführung neuer, sehr ausgefeilter Technologien verändert haben, musste sich auch die Due-Diligence anpassen. In diesem Whitepaper (Weissbuch) wird ein Standard-Due-Diligence-Prozess vorgestellt, der auf der Methodik von Schmidt Research Partners (SRP) basiert, die von Dr. Jacob H. Schmidt im Jahr 2000 entwickelt und ständig aktualisiert, innoviert und verbessert wurde. Die Schlussfolgerung ist, dass mit dem Aufkommen von Künstlichen Intelligenzen (KI) die Sorgfaltspflicht mehr kritisches Denken erfordert als je zuvor.

Why are there so few women in finance and even fewer managing funds? There is a major discrepancy between the number of female and male fund managers worldwide. The aim of this paper is to ascertain if gender is a contributing factor to fund managers’ performance. This is examined through analysis of data from 2012-2022 attained from eight major IA sectors of funds (Asian, European, North American, UK All Companies and UK Income equity funds; Targeted Absolute Return, Sterling Corporate Bond and 40-85 Sector funds) which are available to UK retail investors. This paper aims to compare the performance of all funds in the data pool with funds that involve one or more female managers through a quantitative and qualitative analysis. There is no significant research on the performance of women fund managers for UK investors. The authors intend to fill this gap with this paper. We find that funds managed by women or mixed teams produce similar and sometimes better risk-adjusted returns th...