Overnight Changes? Evolving trends in hedge funds performance

Overnight Changes? Evolving trends in hedge funds performance  Laurent Favre - AlternativeSoft AG This report questions whether the hedge funds industry is slowly moving towards using outperformance like long only funds. It finds that there is no convergence in tracking error for each hedge fund Vs its HFR strategy index and the out/underperformance for each hedge…

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Monthly Hedge Fund Performance (June to December 2013)

Monthly Hedge Fund Performance (June to December 2013)  Sagar Amlani - AlternativeSoft AG This report details top performing hedge funds by strategy, based on data provided in the Barclayhedge database. In the report, we screen Hedge Funds to those typically desired by large institutional investors with: a minimum track record of 36 months, a minimum of…

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The evolving role of Portfolio Management – November 2014

The evolving role of Portfolio Management - November 2014  Laurent Favre – AlternativeSoft AG Hedge fund managers face a more competitive environment, driven by investor and regulatory demands. The quality of a fund manager’s technological infrastructure is key to achieving a sustainable competitive advantage. Portfolio management sits at the core of this operating model. The good…

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Driving Factors During the 2007-2009 Credit Crisis – February 2013

Driving Factors During the 2007-2009 Credit Crisis – February 2013 Dr Krishna Nehra & Laurent Favre – AlternativeSoft AG This article focuses on investigating the temporal evolution of four asset classes – equity (S&P 500 Index), bond (JPM emerging markets bond Index), hedge fund (HFRI fund weighted composite index non-investable) and commodity (S&P GSCI commodity…

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Asset Classes’ Expected Performance Based on Macro-Economic Views – Jan 2013

Asset Classes’ Expected Performance Based on Macro-Economic Views – Jan 2013 Dr Krishna Nehra & Laurent Favre – AlternativeSoft AG The table provided in this article displays the relationship between economic factors and equity, fixed income, commodity or hedge fund indices monthly returns. Assuming current trends will continue in 2013, then MSCI Emerging Markets and…

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Black-Litterman Based Portfolio Optimization – Sept 2012

Black-Litterman Based Portfolio Optimization – Sept 2012 Dr Krishna Nehra & Laurent Favre – AlternativeSoft AG This article presents an example of portfolios optimized by AlternativeSoft’s BL model based optimization with the following objectives: – Minimize portfolio volatility – Produce a well-diversified portfolio – Allow the investors to define their views (absolute as well as…

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Focus On: Portfolio Construction – Oct 11

Focus On: Portfolio Construction – October 2011 Laurent Favre – AlternativeSoft AG The proposed portfolio construction technique is an equal volatility contribution technique. It allows building of well diversified strategic portfolios, but is not recommended for tactical portfolios (when horizon <12months). However, with this technique, we have not been able to reach our three objectives:…

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