This paper examines the causes and consequences of hedge fund investments in exchange traded funds (ETFs) using U.S. data from 1998 to 2018. The data indicate that transient hedge funds and quasi-indexer hedge funds are substantially more likely to invest in ETFs. Unexpected hedge fund inflows...

Return-based methods are frequently used by risk managers to estimate the exposures of hedge funds because of the limited transparency offered by such investment schemes. This paper proposes a method to assess the limitations of such methods using the Posterior Cramer-Rao Bound (PCRB). This PCRB...

This paper describes how macroeconomic factors are used to aid in the decision-making process of allocating capital to hedge fund managers (applicable to traditional managers as well). A comparison is made between traditional portfolio construction methods and the Dynamic Asset Allocation...