Hedge Funds With Style

The popular perception is that hedge funds follow a reasonably well defined market-neutral investment style. While this long-short investment strategy may have characterized the first hedge funds, today hedge funds are a reasonably heterogeneous group. They are better defined in terms of their freedom from the constraints imposed by the Investment Company Act of 1940, than they are by the particular style of investment. We study the monthly return history of hedge funds over the period 1989 through to January 2000 and find that there are in fact a number of distinct styles of management. We find that differences in investment style contribute about 20 per cent of the cross sectional variability in hedge fund performance. This result is consistent across the years of our sample and is robust to the way in which we determine investment style. We conclude that appropriate style analysis and style management are crucial to success for investors looking to invest in this market.

Elusive return predictability: Discussion

Two major conclusions follow from this very careful study. First, sophisticated prediction tools do not fare well relative to naive models predicting return based on past sample means. Second, there appear to be short-lived episodes of quite limited return predictability. These conclusions are consistent with all we know from the theoretical developments in financial economics over the past thirty five years and more. Yet how do we reconcile these facts with the widespread perception that market returns are in fact predictable, and that hedge funds in particular are adept at exploiting this predictability

The Efficient Markets Hypothesis: The Demise of the Demon of Chance?

Many commentators have suggested that economists in general and financial economists in particular have some responsibility for the recent global financial crisis. They were blinded by an irrational faith in a discredited Efficient Markets Hypothesis and failed to see the bubble in asset prices and to give due warning of its collapse. There is considerable confusion as to what this hypothesis is and what it says. The irony is that the strong implication of this hypothesis is that nobody, no practitioner, no academic and no regulator had the ability to foresee the collapse of this most recent bubble. While few economists believe it is literally true, this hypothesis is considered a useful benchmark with some important practical implications. Indeed, a case can be made that it was the failure to believe in the essential truth of this idea which was a leading factor responsible for the global financial crisi

Contextualization of an Introductory Physiology Course to Address Student Disengagement during Remote Learning in Aotearoa

Extended periods of population lockdown during the Covid-19 pandemic required many university courses to be delivered completely online, and for a student, this can lead to feelings of isolation, disconnectedness, and disengagement. This article proposes a hypothetical modification to an undergraduate course in physiology to address possible student disengagement when studying remotely. Through contextualisation, the delivery of course content is made relevant to everyday life experiences in Aotearoa (New Zealand)—this approach may improve retention of material and sustain interest in the course. Four scenarios are presented which align physiology content with information sources that present a context relevant to the lived experience in Aotearoa. Each scenario’s learning outcomes, course content, and assessment are constructively aligned, consistent with current pedagogical practices in course design. It is suggested that adopting this contextualisation approach may increase the likelihood of student course completion, reduce student attrition, and increase student engagement during periods of extended remote learning. Further, it is suggested that using contextualisation presents an opportunity to redesign a higher education course to focus more on the relevance of academic material to the real-world lived experiences of students

Pre-recorded Lectures—Is Anyone Watching?

Pre-recorded lectures for students to watch at their own convenience appears attractive, but little evidence supports the notion that if recordings are available, they will be watched. A lack of engagement with pre-recordings may be exacerbated by the remote learning environments in response to population lockdowns and social isolation requirements. In this study, downloading of pre-recordings of lectures was examined in a large cohort introductory physiology course at a publicly funded university in New Zealand. Data from four semesters impacted by the COVID-19 pandemic were examined. A trend of decreasing engagement with recordings was evident in all semesters - from week 5 onwards, less than three-quarters of recorded material was downloaded, and from week 8 onwards, less than 60% of pre-recorded material was downloaded. This lack of engagement appeared to have little impact on course pass-rates, as these were consistently above 85% throughout the semesters in question. Data presented show that even when there was only the option for viewing a pre-recorded lecture, many students chose not to. Pre-recordings of lectures may seem to have value for some students, but they may be a poor substitute for attendance and physical engagement with the on-campus lecture experience

Fees on Fees in Funds of Funds

Funds of funds are an increasingly popular avenue for hedge fund investment. Despite the increasing interest in hedge funds as an alternative asset class, the high degree of fund specific risk and the lack of transparency may give fiduciaries pause. In addition, many of the most attractive hedge funds are closed to new investment. Funds of funds resolve these issues by providing investors with diversification across manaager styles and professional oversight of fund operations that can provide the necessary degree of due diligence. In addition, many such funds hold shares in hedge funds otherwise closed to new investment allowing smaller investors access to the most sought-after managers. However, the diversification, oversight and access comes at the cost of a multiplication of fees paid by the investor. One would expect that the information advantage of funds of funds would more than compensate investors for these fees. Unfortunately, individual hedge funds dominate fund of funds on an after-fee return or Sharpe ratio basis. In this paper we argue that the disappointing after-fee performance of some fund of funds may be explained by the nature of this fee arrangement. Fund of funds providers pass on individual hedge fund incentive fees in the form of after-fee returns, although they are in a better position to hedge these fees than are their investors. We examine a new fee arrangement emerging in the industry that may provide better incentives at a lower cost to investors in these funds.

The Four-Jet Rate in e+e- Annihilation

We present an analytic expression for the four-jet rate in e+e- annihilation, calculated using the coherent branching formalism in the Durham scheme. Our result resums all the leading and next-to-leading kinematic logarithms to all orders in the QCD strong coupling constant.Comment: 7 pages; Final result for R4 and D7 corrected and a couple of typos fixe

ANALYTICAL INVESTIGATIONS IN MAGNETIC RECORDING

The Fourier method is used to provide new analytic solutions for idealized mathematical models of double-element shielded magnetoresistive (MR) recording heads. The general two-dimensional model allows analysis of various recording head configurations; a single pole head, a ring head, a dual stripe head and a differential head. The analysis accommodates both longitudinal recording (with no soft magnetic underlayer present) and perpendicular recording (in the presence of a soft underlayer). Typical field, spectral response function and output voltage pulse plots for double-element MR heads are given and compared to published, approximate solutions. The integrals arising in the determination of the Fourier series coefficients, magnetic potential and magnetic field components are expressed either as rapidly convergent infinite series or in terms of special functions to provide a more efficient means of evaluation than numerical integration. It is shown that, in many situations, it is only necessary to take the first Fourier coefficient in the calculation of output voltage pulse shapes in order to achieve sufficiently accurate results. Bi-variate regression techniques are used to provide a convenient method to approximate the first Fourier series coefficient for a broad range of typical head dimensions. The thesis goes on to examine high speed switching behaviour in two classes of recording media by considering two different particle orientation distributions; 2D random media - intended to simulate a modern thin film rigid disk, and 3D oriented media- simulating a single domain particulate tape media. The gyromagnetic switching constant of a medium is calculated directly from the Landau - Lifshitz - Gilbert (L-L-G) equation of motion, which is solved numerically. The switching constants produced are discussed and compared with published experimental values for different media

SOUSA: the Swift Optical/Ultraviolet Supernova Archive

The Ultra-Violet Optical Telescope on the Swift spacecraft has observed hundreds of supernovae, covering all major types and most subtypes. Here we introduce the Swift Optical/Ultraviolet Supernova Archive (SOUSA), which will contain all of the supernova images and photometry. We describe the observation and reduction procedures and how they impact the final data. We show photometry from well-observed examples of most supernova classes, whose absolute magnitudes and colors may be used to infer supernova types in the absence of a spectrum. A full understanding of the variety within classes and a robust photometric separation of the groups requires a larger sample, which will be provided by the final archive. The data from the existing Swift supernovae are also useful for planning future observations with Swift as well as future UV observatories.Comment: Accepted for publication in the UV issue of Astrophysics and Space Science 10 pages, 6 figures SOUSA is an archive in progress with data being posted to the Swift SN website: http://swift.gsfc.nasa.gov/docs/swift/sne/swift_sn.htm