Hedge fund replication strategies: implications for investors and regulators.

Over the past decade, academic research has identified a number of replication strategies capable of capturing between 40% to 80% of the average return of many popular hedge fund strategies. Investors are beginning to take notice of these replication strategies, especially because of their rule based, transparent features and the fact that they can be executed at low cost. Armed with this alternative way of accessing passive hedge fund returns, investors can effectively structure incentive fee contracts to reward skill-based returns (i.e., alternative alpha) differently from passive index-liked returns (i.e., alternative beta). This can raise the barrier to entry for new funds to the industry in that hedge fund managers must demonstrate skill in order to participate in profi t sharing. This should reduce the risk of herding by hedge fund managers who may otherwise be enticed by incentive fee contracts that rewards them for taking popular factor bets.

Dimensional crossover in a layered ferromagnet detected by spin correlation driven distortions

Magneto-elastic distortions are commonly detected across magnetic long-range ordering (LRO) transitions. In principle, they are also induced by the magnetic short-range ordering (SRO) that precedes a LRO transition, which contains information about short-range correlations and energetics that are essential for understanding how LRO is established. However these distortions are difficult to resolve because the associated atomic displacements are exceedingly small and do not break symmetry. Here we demonstrate high-multipole nonlinear optical polarimetry as a sensitive and mode selective probe of SRO induced distortions using CrSiTe$_3$ as a testbed. This compound is composed of weakly bonded sheets of nearly isotropic ferromagnetically interacting spins that, in the Heisenberg limit, would individually be impeded from LRO by the Mermin-Wagner theorem. Our results show that CrSiTe$_3$ evades this law via a two-step crossover from two- to three-dimensional magnetic SRO, manifested through two successive and previously undetected totally symmetric distortions above its Curie temperature.Comment: 17 pages main text, 4 figures, 12 pages supplementary informatio

High-speed measurement of rotational anisotropy nonlinear optical harmonic generation using position sensitive detection

We present a method of performing high-speed rotational anisotropy nonlinear optical harmonic generation experiments at rotational frequencies of several hertz by projecting the harmonic light reflected at different angles from a sample onto a stationary position sensitive detector. The high rotational speed of the technique, $10^3$ to $10^4$ times larger than existing methods, permits precise measurements of the crystallographic and electronic symmetries of samples by averaging over low frequency laser power, beam pointing, and pulse width fluctuations. We demonstrate the sensitivity of our technique by resolving the bulk four-fold rotational symmetry of GaAs about its [001] axis using second harmonic generation

Analytical technique for simplification of the encoder-decoder circuit for a perfect five-qubit error correction

Simpler encoding and decoding networks are necessary for more reliable quantum error correcting codes (QECCs). The simplification of the encoder-decoder circuit for a perfect five-qubit QECC can be derived analytically if the QECC is converted from its equivalent one-way entanglement purification protocol (1-EPP). In this work, the analytical method to simplify the encoder-decoder circuit is introduced and a circuit that is as simple as the existent simplest circuits is presented as an example. The encoder-decoder circuit presented here involves nine single- and two-qubit unitary operations, only six of which are controlled-NOT (CNOT) gates

Charge collective modes in an incommensurately modulated cuprate

We report the first measurement of collective charge modes of insulating Sr14Cu24O41 using inelastic resonant x-ray scattering over the complete Brillouin zone. Our results show that the intense excitation modes at the charge gap edge predominantly originate from the ladder-containing planar substructures. The observed ladder modes (E vs. Q) are found to be dispersive for momentum transfers along the "legs" but nearly localized along the "rungs". Dispersion and peakwidth characteristics are similar to the charge spectrum of 1D Mott insulators, and we show that our results can be understood in the strong coupling limit (U >> t_{ladder}> t_{chain}). The observed behavior is in marked contrast to the charge spectrum seen in most two dimensional cuprates. Quite generally, our results also show that momentum-tunability of inelastic scattering can be used to resolve mode contributions in multi-component incommensurate systems.Comment: 4+ pages, 5 figure

The double life of electrons in magnetic iron pnictides, as revealed by NMR

We present a phenomenological, two-fluid approach to understanding the magnetic excitations in Fe pnictides, in which a paramagnetic fluid with gapless, incoherent particle-hole excitations coexists with an antiferromagnetic fluid with gapped, coherent spin wave excitations. We show that this two-fluid phenomenology provides an excellent quantitative description of NMR data for magnetic "122" pnictides, and argue that it finds a natural justification in LSDA and spin density wave calculations. We further use this phenomenology to estimate the maximum renormalisation of the ordered moment that can follow from low-energy spin fluctuations in Fe pnictides. We find that this is too small to account for the discrepancy between ab intio calculations and neutron scattering measurements.Comment: Accepted for publication in Europhys. Lett. 6 pages, 4 figure

Don't bleach chaotic data

A common first step in time series signal analysis involves digitally filtering the data to remove linear correlations. The residual data is spectrally white (it is ``bleached''), but in principle retains the nonlinear structure of the original time series. It is well known that simple linear autocorrelation can give rise to spurious results in algorithms for estimating nonlinear invariants, such as fractal dimension and Lyapunov exponents. In theory, bleached data avoids these pitfalls. But in practice, bleaching obscures the underlying deterministic structure of a low-dimensional chaotic process. This appears to be a property of the chaos itself, since nonchaotic data are not similarly affected. The adverse effects of bleaching are demonstrated in a series of numerical experiments on known chaotic data. Some theoretical aspects are also discussed.Comment: 12 dense pages (82K) of ordinary LaTeX; uses macro psfig.tex for inclusion of figures in text; figures are uufile'd into a single file of size 306K; the final dvips'd postscript file is about 1.3mb Replaced 9/30/93 to incorporate final changes in the proofs and to make the LaTeX more portable; the paper will appear in CHAOS 4 (Dec, 1993

NP-hardness of decoding quantum error-correction codes

Though the theory of quantum error correction is intimately related to the classical coding theory, in particular, one can construct quantum error correction codes (QECCs) from classical codes with the dual containing property, this does not necessarily imply that the computational complexity of decoding QECCs is the same as their classical counterparts. Instead, decoding QECCs can be very much different from decoding classical codes due to the degeneracy property. Intuitively, one expect degeneracy would simplify the decoding since two different errors might not and need not be distinguished in order to correct them. However, we show that general quantum decoding problem is NP-hard regardless of the quantum codes being degenerate or non-degenerate. This finding implies that no considerably fast decoding algorithm exists for the general quantum decoding problems, and suggests the existence of a quantum cryptosystem based on the hardness of decoding QECCs.Comment: 5 pages, no figure. Final version for publicatio