We examine recent confrontational activism campaigns by hedge funds and other private investors. The main parallels between the groups are a significantly positive market reaction for the target firm around the initial Schedule 13D filing date, significantly positive returns over the subsequent year, and the activist’s high success rate in achieving its original objective. Further, both activis...

What percentage of their portfolio should investors allocate to alternative investment vehicles? The only available answers to the above question are set in a static meanvariance framework, with no explicit accounting for uncertainty on the active manager’s ability to generate abnormal return. In this paper we consider the problem of an investor who can choose between the riskfree security and ...

The standard approach to the evaluation of funds assumes a normal return distribution and uses the variance as a measure of the funds risk. A few characteristics of hedge funds, such as the remuneration mechanism of the portfolio manager, make this assumption unacceptable and the traditional approach of Risk Adjusted Performance (RAP) must be revised before applying it to hedge funds. Some auth...

RelHunter is a Machine Learning based method for the extraction of structured information from text. Here, we apply RelHunter to the Hedge Detection task, proposed as the CoNLL-2010 Shared Task1. RelHunter’s key design idea is to model the target structures as a relation over entities. The method decomposes the original task into three subtasks: (i) Entity Identification; (ii) Candidate Relatio...

Detecting speculative assertions is essential to distinguish the facts from uncertain information for biomedical text. This paper describes a system to detect hedge cues and their scope using CRF model. HCDic feature is presented to improve the system performance of detecting hedge cues on BioScope corpus. The feature can make use of crossdomain resources.

Using a comprehensive hedge fund database, we examine the role of managerial incentives and discretion in hedge fund performance. Hedge funds with greater managerial incentives, proxied by the delta of the option-like incentive fee contracts, higher levels of managerial ownership, and the inclusion of high-water mark provisions in the incentive contracts, are associated with superior performanc...

inancial Accounting Standard (FAS) No. 133 requires that all derivatives be marked to market and that changes in their market value be recognized in earnings in the current period. Derivatives may qualify for special hedge accounting treatment, however, provided they are used to hedge specific risks and an effective hedging relationship can be documented. Companies that meet these requirements ...

The proprietary nature of Hedge Fund investing means that it is common practise for managers to release minimal information about their returns. The construction of a Fund of Hedge Funds portfolio requires a correlation matrix which often has to be estimated using a relatively small sample of monthly returns data which induces noise. In this paper random matrix theory (RMT) is applied to a cros...

We compare the dynamic hedging performance of the deterministic local volatility function approach with the implied/constant volatility method. Using an example in which the underlying price follows an absolute diffusion process, we illustrate that hedge parameters computed from the implied/constant volatility method can have significant error even though the implied volatility method is able t...