Working paper

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Working paper

Term Structure Analysis of Option Implied Volatility in the Brazilian Market using a Continuous-Time GARCH Model

Author(s) : Carlos Eduardo Fucci
This paper aims at predicting the volatility term structure of a given asset. The model is based on the GARCH modelling of the asset's volatility,...
2016

Working paper

An Introduction to U.S. Commodity Futures Markets: A Historical Perspective Along with Commodity Trading Principles

Author(s) : Hilary Till
This paper provides an introduction to U.S. commodity futures markets, which is especially relevant for individuals in developing markets who are...
2016

Working paper

A Primer on the Tax Framework of Offshore and Onshore Hedge Funds

Author(s) : Michel Brocard
We discuss in particular the case of U.S. domestic hedge funds set up as a limited partnership as well as the case of offshore funds based in the...
2016

Working paper

A Primer on the Tax Framework of Offshore and Onshore Hedge Funds

Author(s) : Francois-Serge Lhabitant
We discuss in particular the case of U.S. domestic hedge funds set up as a limited partnership as well as the case of offshore funds based in the...
2016

Working paper

Market Efficiency and Hedge Fund Trading Strategies

Author(s) : Marie Lambert
This paper investigates the role that hedge funds, a proxy for sophisticated investors, play in the price discovery process between stock and option...
2016

Working paper

Market Efficiency and Hedge Fund Trading Strategies

Author(s) : Nicolas Papageorgiou
This paper investigates the role that hedge funds, a proxy for sophisticated investors, play in the price discovery process between stock and option...
2016

Working paper

Market Efficiency and Hedge Fund Trading Strategies

Author(s) : Federico Platania
This paper investigates the role that hedge funds, a proxy for sophisticated investors, play in the price discovery process between stock and option...
2016

Working paper

Frictional Diversification Costs: Evidence from a Panel of Fund of Hedge Fund Holdings

Author(s) : Juha Joenvaara
Instead we find a positive log-linear relation between the number of constituent funds in a fund of hedge fund (n) and the respective assets under...
2016

Working paper

Frictional Diversification Costs: Evidence from a Panel of Fund of Hedge Fund Holdings

Author(s) : Bernd Scherer, PhD
Instead we find a positive log-linear relation between the number of constituent funds in a fund of hedge fund (n) and the respective assets under...
2016

Working paper

Is Smart Beta just Monkey Business? An Analysis of Factor Exposures, Upside-Down Strategies and Rebalancing Effects

Author(s) : Noel Amenc
They also claim that similar results are obtained by any random portfolio strategy, including the inverse of such strategies. We analyse these claims...
2015

Working paper

Is Smart Beta just Monkey Business? An Analysis of Factor Exposures, Upside-Down Strategies and Rebalancing Effects

Author(s) : Felix Goltz
They also claim that similar results are obtained by any random portfolio strategy, including the inverse of such strategies. We analyse these claims...
2015

Working paper

Is Smart Beta just Monkey Business? An Analysis of Factor Exposures, Upside-Down Strategies and Rebalancing Effects

Author(s) : Ashish Lodh
They also claim that similar results are obtained by any random portfolio strategy, including the inverse of such strategies. We analyse these claims...
2015

Working paper

Structural Position-Taking in Crude Oil Futures Contracts

Author(s) : Hilary Till
In answering this question, this paper will cover the following three considerations: (1) the case for structural positions in crude oil futures...
2015

Working paper

Skewness Strategies in Commodity Futures Markets

Author(s) : Adrian Fernandez-Perez
As a result, equities with positive skews tend to be overpriced and thus offer low expected returns, while equities with negative skews tend to be...
2015

Working paper

Skewness Strategies in Commodity Futures Markets

Author(s) : Bart Frijns
As a result, equities with positive skews tend to be overpriced and thus offer low expected returns, while equities with negative skews tend to be...
2015

Working paper

Skewness Strategies in Commodity Futures Markets

Author(s) : Ana-Maria Fuertes
As a result, equities with positive skews tend to be overpriced and thus offer low expected returns, while equities with negative skews tend to be...
2015

Working paper

Skewness Strategies in Commodity Futures Markets

Author(s) : Joelle Miffre
As a result, equities with positive skews tend to be overpriced and thus offer low expected returns, while equities with negative skews tend to be...
2015

Working paper

When Has OPEC Spare Capacity Mattered for Oil Prices?

Author(s) : Hilary Till
This article will argue the answer is yes, and we will discuss the circumstances when this has been the case in the past.
2015

Working paper

What are the Sources of Return for CTAs and Commodity Indices? A Brief Survey of Relevant Research

Author(s) : Hilary Till
The paper specifically covers (a) the long-term return sources for both managed futures programs and for commodity indices; (b) the investor...
2015

Working paper

The Limitations of Factor Investing: Impact of the Volkswagen Scandal on Concentrated versus Diversified Factor Indices

Author(s) : Noel Amenc
While there is a consensus on the factors that are rewarded over the long term, it must be acknowledged that the implementation of factor investing,...
2015

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