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Hedge Funds - Science topic
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I am trying to perform a series of regressions that Teo (2012, The Impact of More Frequent Portfolio Disclosure on Mutual Fund Performance, 101-2) did.
For a sample of about 300 funds, I'm trying to rank them according to their 12-month abnormal return (alpha, for CAPM, Fama-French, Carhart) for one particular month.
How would I do this, especially since the alpha is often statistically insignificant?
Some economists, bankers, investment hedge funds, corporations are expecting a financial crisis by 2020, what do you think? Please elaborate the reasoning behind your answer.
In developed countries, where technology and information are included in significant production factors, innovative startups are created, inter alia, in the technology sectors.
Some of the big start-ups created big online technology companies.
During the dynamic development and expansion on the market, they carried out investment and development projects, usually on the basis of partially borrowed capital as part of external financing.
In some countries, traditional borrowing instruments for borrowing financial capital, which include bank loans, dominate in the field of external financing.
In other countries, innovative startups raise financial capital from loan funds, venture capital funds, and investment funds. In addition, some innovative startups raise capital for development from government programs of targeted subsidies or from business angels, etc.
Some startups have gained financial capital for development purposes from new sources of external financing developing in new online media, such as crowdfunding. After several years of development and strengthening of their position on the markets, then the growing companies raise financial capital for development purposes, inter alia, from financial instruments of the capital market, from issuing securities, from issuing corporate bonds and shares.
However, in individual countries, financial systems and dominant financial instruments in the offer of financial institutions may differ significantly. In view of the above, the current question is:
What forms of external financing dominate your country in the area of financing the development of innovative startups?
Please reply,
Please comments,
I invite everyone to the discussion,
Thank you very much,
Best regards,
Dariusz Prokopowicz
Dear all,
currently I work on hedge funds. Therefore, I need some single hedge fund data (single time series of a hedge fund). Does someone know how I can get (purchase) these data?
Kind regards,
Sven Thies
SEC Form ADV is filed by hedge funds and is used to disclose basic information about the hedge fund and highlight legal issues and conflicts of interest.
In the context of the development of large capital markets, the development of stock exchanges, increasingly globalized and related, the importance of globalization of financial markets, including capital markets and stock exchanges, is increasing.
On these capital markets, there are also increasingly larger, more nationally operating investment banks and investment funds, whose profits are increasingly generated from speculative transactions of securities issued by companies and the public sector, including Treasury bonds of other countries.
In addition, there are growing currency markets, which are also speculatively operated by interneconegally operating banks and investment funds, hedge funds.
The recent global financial crisis that appeared in autumn 2008 was an example of the increase in potential systemic credit risk in many countries in which the governments of these countries through the issue of government bonds and their sale to foreign investors led to a significant increase in the risk of a liquidity crisis in the state finances and in many smaller economies, they generated major crises in the debt of state finances.
In view of the above, I am asking you the following question:
Does the globalization of financial markets and the development of growing global banks and investment funds increase the level of potential systemic credit risk, increases the risk of destablization on many capital markets and thus increases the likelihood of generating another global financial crisis?
Do you agree with my opinion?
In view of the above, I am asking you the following question:
Does the globalization of financial markets and the development of growing global banks and investment funds increase the level of potential systemic credit risk, increases the risk of destablization on many capital markets and thus increases the likelihood of generating another global financial crisis?
Please reply
This issue is described in the following publication:
I invite you to discussion and scientific cooperation
Best wishes
In my research I try to find to most effective method of estimating Hedge Ratio using Futures and Forwards in commodities market using different methods of estimation. The question is: " How can I explain a negative hedge ratio?"
Is it short selling or something?
I look forward to listen to your opinions.
Need Micro Data of the Volume of Derivative Instruments used by Chinese companies for hedging exchange rate and interest rate exposure.
Right now I look at every annual report but unfortunately some reports are only in Chinese. Is there any data already collected for the years 2010-2013 or any faster way to collect the data?
I am now engaging in a yield curve estimation project.
I met very strange market data and I would like to ask how I should understand this paradox to practitioners and/or researchers in R.G. who have experiences with the derivative valuation. If there are other proper forums to post this theme, please teach me those forums’ names.
The problem is an inconsistency between 6month Libor, 12-month Libor and 1year swap rate.
I got the following rate as on 2/23/2017 from Bromberg.
USD 6-month Libor USD: 1.36239%
USD 12-month Libor: 1.74428%
USD 1-year swap rate: 1.2965%
Apparently, 6 month Libor and 12-month Libor higher than 1-year swap rate mean an arbitrage opportunity and it can be verified as follows.
We can get the discount rates with 6-month maturity and 12-month maturity from 6-month Libor and 12-month Libor as follows.
6 month discount rate=1/(1+0.5*1.36239/100)=0.993234139
12 month discount rate=1/(1+1.74428/100)=0.982856235
Applying these to 1-year swap cash flow leads to its present value as
0.5*1.2965/100*0.993234139+(1+0.5*1.2965/100)*0.982856235=0.995666241.
The present value should be 1 to satisfy the no-arbitrage condition.
The difference between 1 and 0.995666241 is not negligible since implied 12-month Libor consistent with the swap present value 1 is 1.299427122% which is very lower than the actual rate.
The explanation such as a swap contract is a bilateral contract cancelling out counterparties' credit risks each other partially and the Libor deposit is one-sided transaction seems inappropriate to me.
Suppose a bank A enters into 1-year swap agreement as a fix-payer with a bank B and at the same time bank A borrow a 6-month loan and make it 12-month deposit with another bank C.
6 month later, bank A will pass through 6-month Libor from bank B to bank C and roll over the loan with 6 moths Libor.
12 month later, bank A will pass through 6-month Libor again and redemptions of the initial 12-month deposit and 6 months later bellowing cancel out.
Receipt 12-month Libor from bank C and payment the lower fix rate to bank B shows an arbitrage opportunity.
Best regards
Brian M. Lucey suggest that gold is a hedge and safe heaven, he has a lot of work on this topic. Now, Perry Sadorsky (well know name in oil related topics, see Basher, S. A., & Sadorsky, P. (2016). Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. Energy Economics, 54, 235-247) recently show that oil is better hedge than gold and even better than VIX, isn't it counter intuitive? Or is there some problem with their framework?
VIX is the volatility index and has the highest negative correlation with S&P 500 so is it logical to hedge S&P 500 investment by VIX?
We know in the literature that in a market extended to contain swap contracts whose payoffs depend on the realized higher moments of the state variable process, a perfect hedge can be achieved. Are there any other conditions that lead to a perfect hedge in a market characterized by random jumps and stochastic volatility?
I'm staying away from quadratic utility function from Markowitz's modern portfolio theory for now since the goal is to have a robust corporate risk measure other than mean and variance.
