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.

Was the Federal Reserve Fettered? Devaluation Expectations in the 1932 Monetary Expansion

A key question about the Great Depression is whether expansionary monetary policy in the United States would have led to a loss of confidence in the U. S. commitment to the gold standard. This paper uses the $1 billion expansionary open market operation undertaken in the spring of 1932 as a crucial case study of the link between monetary expansion and expectations of devaluation. Data on forward exchange rates are used to measure expectations of devaluation during this episode. We find little evidence that the large monetary expansion led investors to believe that the United States would devalue. The financial press and the records of the Federal Reserve also show little evidence of expectations of devaluation or fear of a speculative attack. We find that a flawed model of the effects of monetary policy and conflict among the twelve Federal Reserve banks, rather than concern about the gold standard, led the Federal Reserve to suspend the expansionary policy in the summer of 1932.

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

Investigation of nonlinear absorption processes with femtosecond light pulses in lithium niobate crystals

The propagation of high-power femtosecond light pulses in lithium niobate crystals (LiNbO3) is investigated experimentally and theoretically in collinear pump-probe transmission experiments. It is found within a wide intensity range that a strong decrease of the pump transmission coefficient at wavelength 388 nm fully complies with the model of two-photon absorption; the corresponding nonlinear absorption coefficient is betap~=3.5 cm/GW. Furthermore, strong pump pulses induce a considerable absorption for the probe at 776 nm. The dependence of the probe transmission coefficient on the time delay Deltat between probe and pump pulses is characterized by a narrow dip (at Deltat~=0) and a long (on the picosecond time scale) lasting plateau. The dip is due to direct two-photon transitions involving pump and probe photons; the corresponding nonlinear absorption coefficient is betar~=0.9 cm/GW. The plateau absorption is caused by the presence of pump-excited charge carriers; the effective absorption cross section at 776 nm is sigmar~=8×10^–18 cm^2. The above nonlinear absorption parameters are not strongly polarization sensitive. No specific manifestations of the relaxation of hot carriers are found for a pulse duration of ~=0.24 ps

Femtosecond time-resolved absorption processes in lithium niobate crystals

emtosecond pump pulses are strongly attenuated in lithium niobate owing to two-photon absorption; the relevant nonlinear coefficient beta_p ranges from ~3.5 cm/GW for lambda_p = 388 nm to ~0.1 cm/GW for 514 nm. In collinear pump-probe experiments the probe transmission at the double pump wavelength 2lambda_p=776 nm is controlled by two different processes: A direct absorption process involving pump and probe photons (beta_r ~ or = 0.9 cm/GW) leads to a pronounced short-duration transmission dip, whereas the probe absorption by pump-excited charge carriers results in a long-duration plateau. Coherent pump-probe interactions are of no importance. Hot-carrier relaxation occurs on the time scale of < or ~0.1 ps

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

A parity-breaking electronic nematic phase transition in the spin-orbit coupled metal Cd2_2Re2_2O7_7

Strong electron interactions can drive metallic systems toward a variety of well-known symmetry-broken phases, but the instabilities of correlated metals with strong spin-orbit coupling have only recently begun to be explored. We uncovered a multipolar nematic phase of matter in the metallic pyrochlore Cd$_2$Re$_2$O$_7$ using spatially resolved second-harmonic optical anisotropy measurements. Like previously discovered electronic nematic phases, this multipolar phase spontaneously breaks rotational symmetry while preserving translational invariance. However, it has the distinguishing property of being odd under spatial inversion, which is allowed only in the presence of spin-orbit coupling. By examining the critical behavior of the multipolar nematic order parameter, we show that it drives the thermal phase transition near 200 kelvin in Cd$_2$Re$_2$O$_7$ and induces a parity-breaking lattice distortion as a secondary order.Comment: 9 pages main text, 4 figures, 10 pages supplementary informatio

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

Doping driven structural distortion in the bilayer iridate (Sr1−x_{1-x}Lax_x)3_3Ir2_2O7_7

Neutron single crystal diffraction and rotational anisotropy optical second harmonic generation data are presented resolving the nature of the structural distortion realized in electron-doped (Sr$_{1-x}$La$_x$)$_3$Ir$_2$O$_7$ with $x=0.035$ and $x=0.071$. Once electrons are introduced into the bilayer spin-orbit assisted Mott insulator Sr$_3$Ir$_2$O$_7$, previous studies have identified the appearance of a low temperature structural distortion and have suggested the presence of a competing electronic instability in the phase diagram of this material. Our measurements resolve a lowering of the structural symmetry from monoclinic $C2/c$ to monoclinic $P2_1/c$ and the creation of two unique Ir sites within the chemical unit cell as the lattice distorts below a critical temperature $T_S$. Details regarding the modifications to oxygen octahedral rotations and tilting through the transition are discussed as well as the evolution of the low temperature distorted lattice as a function of carrier substitution.Comment: 8 pages, 4 figure