Working paper

Author(s) : Alexander Stremme
We construct long-only dynamically managed strategies that would have allowed a portfolio manager to time this commodity boom, and indeed...
2006
Author(s) : Hilary Till
Figure 1 reviews just how superior that performance has been: from December 2001 through April 2006, the Goldman Sachs Commodity Index (GSCI)...
2006
Author(s) : Lionel Martellini
Using the value of the liability portfolio as a natural numeraire, we find that the solution to this problem involves a three-fund separation theorem...
2006
Author(s) : Barry Feldman
They find that over this period, backwardation has been highly predictive of the return of a passive long futures position when measured over...
2006
Author(s) : Barry Feldman
They find that over this period, backwardation has been highly predictive of the return of a passive long futures position when measured over...
2006
Author(s) :
They find that over this period, backwardation has been highly predictive of the return of a passive long futures position when measured over...
2006
Author(s) :
They find that over this period, backwardation has been highly predictive of the return of a passive long futures position when measured over...
2006
Author(s) : Hilary Till
They find that over this period, backwardation has been highly predictive of the return of a passive long futures position when measured over...
2006
Author(s) : Hilary Till
They find that over this period, backwardation has been highly predictive of the return of a passive long futures position when measured over...
2006
Author(s) : Noel Amenc
This is all the more striking in that funds of funds are far from transparent and, with their double-fee structure, are relatively costly investment...
2006
Author(s) : Mathieu Vaissie
This is all the more striking in that funds of funds are far from transparent and, with their double-fee structure, are relatively costly investment...
2006
Author(s) : Daniel Capocci
Nevertheless, they have been compared to classical bond and equity indices by academics since the late 1990s. Independently of their absolute or...
2006
Author(s) : Hilary Till
While the commodity markets provide a manager with ample opportunities for creating portfolios of diverse strategies, there are a number of...
2005
Author(s) : Joseph Eagleye
While the commodity markets provide a manager with ample opportunities for creating portfolios of diverse strategies, there are a number of...
2005
Author(s) : Rian Akey
We will first explain why the demand for such an investment has emerged, and then we will discuss the opportunities that an actively-managed natural-...
2005
Author(s) : Hilary Till
We will first explain why the demand for such an investment has emerged, and then we will discuss the opportunities that an actively-managed natural-...
2005
Author(s) : Aleks Kins
We will first explain why the demand for such an investment has emerged, and then we will discuss the opportunities that an actively-managed natural-...
2005
Author(s) : Hilary Till
It will be the responsibility of the investor either time to the investments in commodity indices or to create a properly balanced overall portfolio...
2005
Author(s) : Hilary Till
Specifically, we review the economic basis for hedge fund returns and then discuss some of the logical consequences of these observations. Next, we...
2005

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