Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds

We economically motivate and then test a range of hypotheses regarding performance and risk differences between UCITS-compliant and other hedge funds. The latter exhibit more suspicious return patterns than do absolute return UCITS (ARUs), but ARUs exhibit higher levels of operational risk. We find evidence of a strong liquidity premium: hedge funds offer investors less liquidity than do ARUs yet exhibit better risk-adjusted performance. Our findings are substantially unchanged under various robustness tests and adjustments for possible selection bias. The liquidity premium for ARUs and their lack of performance persistence have implications for both investors and policy makers

The effect of investment constraints on hedge fund investor returns

This paper examines the effect of investor-level real-world investment constraints, including several which had not been studied before, on hedge fund performance and its persistence. Using a large consolidated database, we demonstrate that hedge fund performance persistence is significantly reduced when rebalancing rules reflect fund size restrictions and liquidity constraints, but remains statistically significant at higher rebalancing frequencies. Hypothetical investor portfolios that incorporate additional minimum diversification constraints and minimum investment requirements suggest that the performance and its persistence documented in earlier studies of hedge funds is not easily exploitable, especially by large investors

Strategies used as spectroscopy of financial markets reveal new stylized facts

We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed order flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This enormous dataset allows us to compare (i) a closed national market (A-shares) with an international market (B-shares), (ii) individuals and institutions and (iii) real investors to random strategies with respect to timing that share otherwise all other characteristics. We find that more trading results in smaller net return due to trading frictions. We unveiled quantitative power laws with non-trivial exponents, that quantify the deterioration of performance with frequency and with holding period of the strategies used by investors. Random strategies are found to perform much better than real ones, both for winners and losers. Surprising large arbitrage opportunities exist, especially when using zero-intelligence strategies. This is a diagnostic of possible inefficiencies of these financial markets.Comment: 13 pages including 5 figures and 1 tabl

Bandwidth Constrained Multi-interface Networks

International audienceIn heterogeneous networks, devices can communicate by means of multiple wired or wireless interfaces. By switching among interfaces or by combining the available interfaces, each device might establish several connections. A connection is established when the devices at its endpoints share at least one active interface. Each interface is assumed to require an activation cost, and provides a communication bandwidth. In this paper, we consider the problem of activating the cheapest set of interfaces among a network G = (V,E) in order to guarantee a minimum bandwidth B of communication between two specified nodes. Nodes V represent the devices, edges E represent the connections that can be established. In practical cases, a bounded number k of different interfaces among all the devices can be considered. Despite this assumption, the problem turns out to be NP-hard even for small values of k and Δ, where Δ is the maximum degree of the network. In particular, the problem is NP-hard for any fixed k ≥ 2 and Δ ≥ 3, while it is polynomially solvable when k = 1, or Δ ≤ 2 and k = O(1). Moreover, we show that the problem is not approximable within ηlogB or Ω(loglog|V|) for any fixed k ≥ 3, Δ ≥ 3, and for a certain constant η, unless P=NP. We then provide an approximation algorithm with ratio guarantee of b max , where b max is the maximum communication bandwidth allowed among all the available interfaces. Finally, we focus on particular cases by providing complexity results and polynomial algorithms for Δ ≤ 2

Almost optimal asynchronous rendezvous in infinite multidimensional grids

Two anonymous mobile agents (robots) moving in an asynchronous manner have to meet in an infinite grid of dimension δ> 0, starting from two arbitrary positions at distance at most d. Since the problem is clearly infeasible in such general setting, we assume that the grid is embedded in a δ-dimensional Euclidean space and that each agent knows the Cartesian coordinates of its own initial position (but not the one of the other agent). We design an algorithm permitting the agents to meet after traversing a trajectory of length O(d δ polylog d). This bound for the case of 2d-grids subsumes the main result of [12]. The algorithm is almost optimal, since the Ω(d δ) lower bound is straightforward. Further, we apply our rendezvous method to the following network design problem. The ports of the δ-dimensional grid have to be set such that two anonymous agents starting at distance at most d from each other will always meet, moving in an asynchronous manner, after traversing a O(d δ polylog d) length trajectory. We can also apply our method to a version of the geometric rendezvous problem. Two anonymous agents move asynchronously in the δ-dimensional Euclidean space. The agents have the radii of visibility of r1 and r2, respectively. Each agent knows only its own initial position and its own radius of visibility. The agents meet when one agent is visible to the other one. We propose an algorithm designing the trajectory of each agent, so that they always meet after traveling a total distance of O( ( d)), where r = min(r1, r2) and for r ≥ 1. r)δpolylog ( d r

The Minangkabau Healers And Healing Methods: A Structural Analysis

In this thesis the researcher wants to illustrate the healing methods of the Minangkabau in West Sumatra. It looks at one village of the interior and describes the different healing methods of the Minangkabau in that village. The aim is to illustrate the different ways of treatment and to analyze it in a structural way by following the ideas of Claude Levi-Strauss and Josselin de Jong. For many anthropologists, structuralism and its methodology are outdated, but this thesis intends to show that a structural approach is still fruitful and could contribute to analyze traditional healing methods. Furthermore, this thesis will illustrate that there are different types of healers with their own ways of treatment within one village society and its network. The research objectives are to explore the Minangkabau healers and their healing methods. The different types of healers, healing methods and plants should be categorized. This thesis will also examine whether Frederick Errington’s hypothesis that the Minangkabau are sign-oriented is correct in the field of healing. The Minangkabau society is both part of Southeast Asia and part of the Islamic world and therefore this research shows in how far these healing methods are embedded within a greater context. The research discovers that there are three types of healers who still play an important role in the health of the local population. There are three elements of healing methods that play a certain role. Unique patterns of the Minangkabau healing methods are described by the researcher and give an impression why traditional healing methods are still relevant

Min-Max Coverage in Multi-interface Networks

International audienceWe consider devices equipped with multiple wired or wireless interfaces. By switching among interfaces or by combining the available interfaces, each device might establish several connections. A connection is established when the devices at its endpoints share at least one active interface. Each interface is assumed to require an activation cost. In this paper, we consider the problem of establishing the connections defined by a network G = (V,E) while keeping as low as possible the maximum cost set of active interfaces at the single nodes. Nodes V represent the devices, edges E represent the connections that must be established. We study the problem of minimizing the maximum cost set of active interfaces among the nodes of the network in order to cover all the edges. We prove that the problem is NP-hard for any fixed Δ ≥ 5 and k ≥ 16, with Δ being the maximum degree, and k being the number of different interfaces among the network. We also show that the problem cannot be approximated within Ω(ln Δ). We then provide a general approximation algorithm which guarantees a factor of O((1 + b)ln (Δ)), with b being a parameter depending on the topology of the input graph. Interestingly, b can be bounded by a constant for many graph classes. Other approximation and exact algorithms for special cases are presented

Investor heterogeneity and the cross-section of U.K. investment trust performance

We use the upper and lower bounds derived by Ferson and Lin (2010) to examine the impact of investor heterogeneity on the performance of U.K. investment trusts relative to alternative linear factor models. We find using the upper bounds that investor heterogeneity has an important impact for nearly all investment trusts. The upper bounds are large in economic terms and significantly different from zero. We find no evidence of any trusts where all investors agree on the sign of performance beyond what we expect by chance. Using the lower bound, we find that trusts with a larger disagreement about trust performance have a weaker relation between the trust premium and past Net Asset Value (NAV) performance