The value-added of investable hedge fund indices

This paper empirically investigates the risk and performance of three types of alternative beta products over the January 2002 to September 2009 time period: funds of hedge funds (FHFs), investable hedge fund indices (IHFIs), and hedge fund replication strategies (HFRS). We show that IHFIs are true alternative beta products with high correlations and beta to noninvestable hedge fund indices. Our results further suggest that, in a best case scenario, IHFIs outperform FHFs and HFRS on a risk-adjusted basis. However, in the worst case scenario, IHFIs underperform both investments. If we take the average of all IHFIs, we find they perform equally well as FHFs. Hence, IHFIs constitute a solid alternative to FHF investments, while costing substantially less, and offering generally more transparency and liquidity. We propose that fee-sensitive investors especially should consider taking a core-satellite approach to their hedge fund portfolio, with the core represented by cheap passive hedge fund beta through IHFIs, and the satellite represented by more expensive and actively managed alphagenerating FHFs. --Hedge funds,investable hedge fund indices,alternative beta,funds of hedge funds,hedge fund replication,Omega ratio

Empirische Analyse der Drawdowns von Dach-Hedgefonds

Funds of Hedge Funds (FHF) are perceived to be the premier choice of institutional investors for first-time allocations into the alternative investment asset class. While many papers cover the bright side of FHF investing, we in this paper empirically investigate the maximum drawdowns of FHF. Therefore, we analyze time series and descriptive variables of 649 FHF drawn from the Lipper TASS Hedge Fund database for the time period January 1996 to August 2007. Our empirical results suggest that (1) the number as well as the magnitude of drawdowns decreases with increasing experience of the FHF, (2) the average recovery is higher with older FHF, (3) there is no difference in the magnitude of a maximum drawdown between small and large FHF, (4) the higher a maximum drawdown of an FHF the longer it takes to recover, and (5) most of the maximum drawdowns happen at times of turmoil in financial markets. Therefore our findings especially question the acclaimed ability of FHF to deliver absolute returns and also show that the beta risks involved with FHF are high. The advantages of FHF should thus rather be their low long-term correlations to traditional asset classes as well as their low volatility. --Funds of hedge funds,size,age,experience,assets under management,maximum drawdown,recovery time

Möglichkeiten der Strukturierung von Hedgefondsportfolios

The year 2000 started the evolution of the German market for Structured Products with incorporated Hedge Fund exposures. This paper provides an extensive commentary on this fast growing segment. Our analysis suggests that the market for existing products is affected by significant heterogeneity. This heterogeneity relates to amongst others the underlying product and cost structure, the performance and the investment style. The diversity and flexibility that enables the investor to acquire a tailor-made and portfolio-optimized asset allocation, has proven to remain attractive, despite the events of recent years. A new investment act ('Investmentmodernisierungsgesetz') was implemented in Germany in 2004. This means that direct investments in (Fund of) Hedge Funds now compete against Structured Products. However our analysis concludes that these product groups coexist. One reason is the innovation power of financial engineers who continuously create new structured products with specific features. --Hedgefonds,Structured Products,Index Certificates,Constant Proportion Portfolio Insurance,Indizes

Heterogenität von Hedgefondsindizes

Most research on the performance and risk of hedge funds are based on calculations that just use the data from one index provider. Also most product providers and even more and more investors are using hedge fund indices for benchmarking purposes. As some academic articles pointed out, the world of hedge fund indices is very heterogeneous. So the empirical results on the optimal hedge fund allocation an investor would obtain by using the indices of one data provider could severely change if he would use another subset of indices. This paper analyses the heterogeneity of hedge fund indices that results from the fact that each index provider looks at a different subset of underlying hedge funds. Therefore we calculate different risk and return measures for the data series of six different hedge fund index providers and highlight the observed differences. In a next step, we rank the results we obtained, to find out which composite and strategy indices from which data provider are best used for benchmarking purposes from the point of view of the investor. --Heterogenität,Volatilität,Sharpe Ratio,Sterling Ratio,Calmar Ratio,Omega,Autokorrelation,Sortino Ratio,Schiefe,Wölbung,Kurtosis,Persistenz

Portfoliooptimierung mit Hedgefonds unter Berücksichtigung höherer Momente der Verteilung

Hedge Funds are often considered as a possibility for optimizing traditional portfolios due to their alternative risk factors and sources of return. But as the return distribution of hedge funds shows negative skewness and excess kurtosis, using portfolio optimization techniques, based on the Markowitz mean variance framework, may lead to an overestimation of the op-timal allocation to hedge funds. In this study we use Polynomial Goal Programming (PGP) to incorporate higher moments of the distribution into the optimization. This article is the first to use the enhanced PGP method which incorporates investors' preferences to optimize a tradi-tional portfolio consisting of equities, bonds and commodities. Even when considering higher moments we can show that hedge funds can be useful in enhancing the return and reducing the risk of the overall portfolio. Moreover, we find evidence that applying the mean variance framework to hedge funds does not result in overestimated hedge fund allocations. On the other hand PGP leads to totally different asset allocations on the strategy level. --Portfolio Selection,Hedge Funds,Mean-Variance-Skewness-Kurtosis,Polyno-mial Goal Programming,Higher Moments

Ovine Enzootic Abortion (OEA): a comparison of antibody responses in vaccinated and naturally-infected swiss sheep over a two year period

Background Prevention and control of ovine enzootic abortion (OEA) can be achieved by application of a live vaccine. In this study, five sheep flocks with different vaccination and infection status were serologically tested using a competitive enzyme-linked immunosorbent assay (cELISA) specific for Chlamydophila (Cp.) abortus over a two-year time period. Results Sheep in Flock A with recent OEA history had high antibody values after vaccination similar to Flock C with natural Cp. abortus infections. In contrast, OEA serology negative sheep (Flock E) showed individual animal-specific immunoreactions after vaccination. Antibody levels of vaccinated ewes in Flock B ranged from negative to positive two and three years after vaccination, respectively. Positive antibody values in the negative control Flock D (without OEA or vaccination) are probably due to asymptomatic intestinal infections with Cp. abortus. Excretion of the attenuated strain of Cp. abortus used in the live vaccine through the eye was not observed in vaccinated animals of Flock E. Conclusion The findings of our study indicate that, using serology, no distinction can be made between vaccinated and naturally infected sheep. As a result, confirmation of a negative OEA status in vaccinated animals by serology cannot be determined

Viraneler

Ercüment Ekrem'in Dersaadet ve Diken'de tefrika edilen Viraneler adlı romanıDersaadet'te tefrika edilirken süreli yayın kapandığından tefrika yarım kalmıştır. Devamı Diken gazetesinde yayımlanmıştır.Diken'de tefrika edilirken roman yarım kalmıştır. Kopuk adıyla İleri gazetesinde tefrika edilmiştir.Telif hakları nedeniyle romanın tam metni verilememiştir

Development of a GEM-TPC prototype

The use of GEM foils for the amplification stage of a TPC instead of a con- ventional MWPC allows one to bypass the necessity of gating, as the backdrift is suppressed thanks to the asymmetric field configuration. This way, a novel continuously running TPC, which represents one option for the PANDA central tracker, can be realized. A medium sized prototype with a diameter of 300 mm and a length of 600 mm will be tested inside the FOPI spectrometer at GSI using a carbon or lithium beam at intermediate energies (E = 1-3AGeV). This detector test under realistic experimental conditions should allow us to verify the spatial resolution for single tracks and the reconstruction capability for displaced vertexes. A series of physics measurement implying pion beams is scheduled with the FOPI spectrometer together with the GEM-TPC as well.Comment: 5 pages, 4 figures, Proceedings for 11th ICATTP conference in como (italy