Equity hedge funds are thought to effectively operate market timing by implementing switching strategies conditional on market circumstances. In this paper we use only the reported monthly returns on a set of funds to infer the type of switching strategies they follow, if any, as well as their...

With institutional investors increasingly involved in alternative investments, portfolio optimisation within a large universe of hedge funds has become a key area for research. This paper develops a portfolio construction model that is specifically designed for funds of hedge funds,...

In the field of optimisation models for passive investments, we propose a general portfolio construction model based on principal component analysis. The portfolio is designed to replicate the first principal component of a group of stocks, instead of a traditional benchmark, thus capturing only...

In the field of optimisation models for passive investments, we propose a general portfolio construction model based on principal component analysis. The portfolio is designed to replicate the first principal component of a group of stocks, instead of a traditional benchmark, thus capturing only...

This paper investigates the abnormal return generated through a dynamic equity indexing strategy and the extent to which this can be considered evidence against the efficient markets hypothesis. We introduce a new measure of stock price dispersion and show that it is a leading indicator for the...

This paper presents several applications of cointegration based trading strategies: a classic index tracking strategy, a long-short equity market neutral strategy and a number of strategies combining index tracking and long-short market neutral. As opposed to other traditional index tracking or...