scholarly journals Cointegration between Equity- and Agricultural Markets: Implications for Portfolio Diversification

2016 ◽  
Vol 6 (1) ◽  
pp. 24
Author(s):  
Marcio Genovevo da Costa ◽  
Nils Donner
Keyword(s):  
Financial Crisis ◽  
Hedge Funds ◽  
Significant Relationship ◽  
Commodity Markets ◽  
Food Price ◽  
Portfolio Diversification ◽  
Agricultural Commodities ◽  
Price Bubble ◽  
Asset Classes ◽  
Asset Managers

<p>Commodities are well known to act anti-cyclical to stocks and are therefore used for portfolio diversification. However, various banks, asset managers and hedge funds were inculpated to speculate with agricultural commodities, especially after the food price bubble in 2007/08. This paper aims to investigate whether there is a diversification effect between equity- and commodity markets in the period from 1990 until 2014. We found evidence for a significant relationship between these two asset classes after the financial crisis using a cointegration framework.</p>

scholarly journals A Risk-Adjusted Performance Evaluation Of US And EU Hedge Funds And Associated Equity Markets Over The 2007-2009 Financial Crisis

2013 ◽  
Vol 13 (1) ◽  
pp. 169
Author(s):  
Chris Van Heerden ◽  
Andre Heymans ◽  
Gary Van Vuuren ◽  
Wilme Brand
Keyword(s):  
Performance Evaluation ◽  
Financial Crisis ◽  
Hedge Funds ◽  
Market Timing ◽  
Equity Markets ◽  
Portfolio Diversification ◽  
Efficient Market

Hedge funds are considered to be market-neutral due to their unrestricted investment flexibility and more efficient market timing abilities (Ennis & Sebastian, 2003). They may also be considered as suitably unconventional assets for improving portfolio diversification (Lamm, 1999). The evidence from this study confirms the dominance of hedge funds over the CAC 40, DAX, S&P 500 and Dow Jones from 2004 to 2011. Overall, the Sharpe, Sortino, Omega, Jensens alpha, Treynor and Calmar ratios illustrate that US hedge funds outperformed both EU hedge funds and the associated equity markets over this period. Evidence was also found that both US and EU hedge funds were more correlated with the S&P 500 and Dow Jones after the financial crisis of 2007-2009 than before the crisis.

scholarly journals Are Hedge Funds Uncorrelated With Financial Markets? An Empirical Assessment

2015 ◽  
Vol 31 (5) ◽  
pp. 1631
Author(s):  
Khaled Guesmi ◽  
Saoussen Jebri ◽  
Abdelkarim Jabri ◽  
Frederic Teulon
Keyword(s):  
Financial Crisis ◽  
Financial Markets ◽  
Hedge Funds ◽  
Hedge Fund ◽  
Conditional Correlation ◽  
Dynamic Conditional Correlation ◽  
Bond Indices ◽  
Asset Classes ◽  
Recent Financial Crisis ◽  
Bull And Bear Markets

<p>In this paper, we examine the correlations between hedge fund strategy indices and asset classes. Based on the Dynamic Conditional Correlation (DCC) GARCH Model, we estimate the correlations between hedge fund, stock, and bond indices during bull and bear markets. The results reveal that there are significant correlations between hedge funds and the stock market, especially during the recent financial crisis that took place from 2007 to 2009.</p>

Institutional Investors on the Securities Market

2003 ◽  
pp. 95-101
Author(s):  
O. Khmyz
Keyword(s):  
Financial Crisis ◽  
Capital Market ◽  
Hedge Funds ◽  
Institutional Investors ◽  
Securities Market ◽  
Main Role ◽  
Investment Funds ◽  
Investment Process ◽  
The Capital Market

Acording to the author's opinion, institutional investors (from many participants of the capital market) play the main role, especially investment funds. They supply to small-sized investors special investment services, which allow them to participate in the investment process. However excessive institutialization and increasing number of hedge-funds may lead to financial crisis.

Asset Allocation Strategies and Commodities

2018 ◽  
Author(s):  
Claudio Boido
Keyword(s):  
Asset Allocation ◽  
Asset Management ◽  
Central Banking ◽  
Fixed Income ◽  
Fixed Income Securities ◽  
Asset Classes ◽  
Alternative Beta ◽  
Asset Managers ◽  
Selection Of ◽  
Allocation Strategies

As a result of the financial crisis of 2007–2008 and subsequent central banking decisions, the asset management industry changed its asset allocation choices. Asset managers are focusing their attention on the search for new asset classes by taking advantage of the new opportunities to capture risk premia with the aim of exceeding the returns given by traditional investments, including traded equities, fixed income securities, and cash. By doing so, they are trying to improve the selection of alternative assets, such as commodities that sometimes have relatively low correlations with traditional assets. The chapter begins by describing the principles of asset allocation, distinguishing between passive and active asset allocation, also focusing on beta and alternative beta. It then concentrates on how investors can gain exposure to commodities through different investment vehicles and strategies.

scholarly journals Risk Return Performance of Bitcoin and Alternative Investment Assets in Mixed Asset Portfolios in the Years 2018 to 2020

2021 ◽  
Vol 129 ◽  
pp. 03006
Author(s):  
David Elferich
Keyword(s):  
Statistical Analysis ◽  
Financial Crisis ◽  
Value Added ◽  
Financial Industry ◽  
Paired Sample ◽  
Risk Return ◽  
Efficiency Theory ◽  
Asset Classes ◽  
The Impact ◽  
Institutional Finance

Research background: Since the financial crisis in 2008, numerous other cryptocurrencies have established themselves in the financial industry alongside Bitcoin. Although the validity of the user cases is still lacking, Bitcoin is already being used extensively in the institutional finance sector, among others. Here, the comparison of Bitcoin to other asset classes in mixed portfolio structures must be taken into account. According to the latter, far-reaching areas of investigation emerge by adding Bitcoin in the evaluation of risk-return ratios of mixed portfolio weightings. Purpose of the article: The objective of this paper is to examine, within the framework of Harry Markowitz’s efficiency theory, the impact of including Bitcoin as an investment asset for the risk-return ratios of mixed portfolio structures. Methods: The statistical analysis is based, among other things, on paired sample tests, where the return and volatility values are tested for significant differences in the selected test values. Findings & Value added: The statistical investigations show that the introduction of Bitcoin leads to advantageous return structures, but at the same time to significantly increased volatility values of the examined portfolio constellations. Setting a regional focus of the investment assets in the investigations led to a simplified evaluation basis and at the same time offers the scientific space for further investigations.

scholarly journals The Rise of Institutional Investors

2019 ◽  
Author(s):  
Jan Fichtner
Keyword(s):  
Mutual Funds ◽  
Hedge Funds ◽  
Institutional Investors ◽  
Private Equity ◽  
Short Term ◽  
Equity Funds ◽  
Private Equity Funds ◽  
Important Position ◽  
State Street ◽  
Asset Managers

During the last decades, institutional investors gained an ever more important position as managers of assets and owners of corporations. By demanding (short-term) shareholder value, some of them have driven the financialization of corporations and of the financial sector itself. This chapter first characterizes the specific roles that private equity funds, hedge funds, and mutual funds have played in this development. It then moves on to focus on one group of institutional investors that is rapidly becoming a pivotal factor for corporate control in many countries – the “Big Three” large passive asset managers BlackRock, Vanguard and State Street.

Portraits of five hedge fund fraud cases

2008 ◽  
Vol 15 (2) ◽  
pp. 179-213 ◽  
Author(s):  
Majed R. Muhtaseb ◽  
Chun Chun “Sylvia” Yang
Keyword(s):  
Asset Management ◽  
Hedge Funds ◽  
Hedge Fund ◽  
Investment Fund ◽  
Good Opportunity ◽  
Content Type ◽  
Fund Managers ◽  
Management Group ◽  
Fund Industry ◽  
Asset Managers

PurposeThe purpose of this paper is two fold: educate investors about hedge fund managers' activities prior to the fraud recognition by the authorities and to help investors and other stakeholders in the hedge fund industry identify red flags before fraud is actually committed.Design/methodology/approachThe paper investigates fraud committed by the Bayou Funds, Beacon Hill Asset Management, Lancer Management Group (LMG), Lipper & Company and Maricopa investment fund. The fraud activities took place during 2000 and 2005.FindingsThe five cases alone cost the hedge fund investors more than $1.5 billion. Investors may have had a good opportunity for avoiding the irrecoverable costs of the fraud had they carefully vetted the backgrounds of the hedge fund managers and/or continuously monitored the funds activities, especially during turbulent market environments.Originality/valueThis is the first research paper to identify and extensively investigate fraud committed by hedge funds. In spite of the size of the hedge fund industry and relatively substantial level and inevitably recurring fraud, academic journals are to yet address this issue. The paper is of great value to hedge funds and their individual and institutional investors, asset managers, financial advisers and regulators.

Financial stability fears rise as ‘everything’ rallies

2021 ◽  
Keyword(s):  
Hedge Funds ◽  
Financial Stability ◽  
Global Markets ◽  
Price Expectations ◽  
Content Type ◽  
Profound Impact ◽  
Financial Conditions ◽  
Retail Investors ◽  
Asset Classes ◽  
Dot Com

Significance There are fears of a bubble reminiscent of the 1990s dot-com mania. The froth is most apparent in US stock markets, where retail traders are wielding increasing influence. Investors' exuberant behaviour across asset classes suggests many participants are losing touch with reality. Impacts If GameStop portends the start of a battle between hedge funds and retail investors, it could have a profound impact on global markets. The dollar index has plunged to its lowest since April 2018 and is set to stay relatively weak, helping to keep financial conditions loose. A market gauge of US price expectations is at its highest since 2013, with the 5-year breakeven rate surging to 2.2% from 0.1% a year ago. ‘Vaccine nationalism’, particularly in Europe, is further politicising the response to the pandemic and endangering the global recovery.

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