Fundamental stock analysts covering the insurance industry may be overly influenced by infrequent large scale catastrophes, such as unusually strong hurricanes. It is important for these analysts to be able to put catastrophes in financial perspective in order to set an appropriate fair value on...

In contrast to some recent research, this article finds that regression approach futures hedge ratios are stationary. It shows that a previous study's failure to reject the random walk null hypothesis was due to its small sample size and the overlapping hedge ratio calculation approach's bias...

Upside and downside capture ratios are used to assess the quality of investment managers and investment strategies. We propose a theoretical model which predicts that the upside capture ratio is an increasing function of the measurement interval length and that the downside capture ratio is a...

This paper proposes that, and explains why, hedge profits and regression approach hedge ratios should be calculated using cost-of-carry-adjusted price changes. This Modified Regression Method for determining hedge ratios is denoted MRM. The paper discusses the Error-Correction Model for hedge...

This paper provides a new paradigm for thinking about performance fees. Closed-form expressions for the value and expected value of the performance fee for a popular generic structure are presented. The expected fee is decomposed into earned and unearned components. Suggestions for reducing the...

There has been considerable finger pointing since the Crash of 1987, much of it devoted to the tail wagging the dog idea. This concept may be typical of many that will influence regulators and exchanges as they decide what new measures to adopt to prevent another Crash. It is wrong, and it...

Pension fund officers, the poor unlucky souls who run pension funds, are inundated with good real or simulated investment performance records brought to them by used car salesmen investment managers. This is no accident – failure does not sell – either to the pension fund officers themselves...

In a recent paper in the Financial Analysts Journal, Sinha [1998] reviews and critiques Ferguson and Hitzig [1993] concerning the implications of cross-ownership of shares. He claims that, while our mechanisms for gen-erating our tables and circumventing consolidation requirements are cor-rect,...

In 1940, Fred Schwed, Jr. wrote a book about investing called "Where Are the Customers' Yachts?" The book begins with the following lines:"Once in the dear dead days beyond recall, an out-of-town visitor was being shown the wonders of the New York financial district. When the party arrived at...