The Sharpe ratio is a commonly used measure of return/risk performance. However, the
Sharpe ratio is susceptible to gaming by managers. This article describes a derivative structure …

This study reviews the potential benefit of index option-based strategies as well as the
unique risk and return distributions that result from these strategies. The empirical results are …

Hedge funds have also been called “Absolute Return” strategies given their supposed
ability to achieve positive returns in a wide range of market environments. In addition, …

Measuring intraday volatility is one of the more difficult tasks facing financial researchers and
practitioners. There are a number of efficient methods of estimating volatility. However, the …

There’s growing evidence that mutual funds that are more different from their benchmark
indices outperform. But how do we know whether or not a fund is truly unique? And how can we …

One of the most attractive aspects of commodity investment today is that there are now a
number of passive indexes that are fully investable. The LMEX index is a narrowly focused …

While traditional forms of investment products such as public funds still dominate the
investment industry, both traditional and alternative investments have experienced recent …

Measuring return volatility remains a core issue not only in performance evaluation but also
in trading an underlying strategy. For those who desire a relatively straightforward approach, …

Benchmarks are used for two main purposes. One is to serve as a proxy for the return to some
asset class. This proxy can be used to decide how to allocate investments among broad …

GEORGE A. MARTIN AND RICHARD SPURGIN n much of traditional asset return analysis,
an asset’s return distribution is assumed to be adequately described by its first two moments (…