We examine the influence of Quantitative Easing (QE) on hedging effectiveness and performance (E&P) of international bond portfolios. During the QE period, the bond portfolios have significantly lower excess returns and variances, and their excess return and variance sensitivities are positive...

Gold objects have existed for thousands of years but for many investors gold has only recently become a tradable investment opportunity. Gold has been described as an inflation hedge, a “golden constant”, with a long run real return of zero. Yet over 1, 5, 10, 15 and 20 year investment...

Using a comprehensive dataset of hedge fund 13F filings, we analyze hedge fund trading from 1998-2010 to determine if investor redemptions cause fire sales and stock market disruptions. We find evidence of hedge fund fire sales in the two quarters with the worst stock market performance. During...

The specter of rising interest rates in the US has caused many to consider the impact this will have on the traditional “anchor” to the portfolio: US Treasury bonds. From a mathematical point of view, rising interest rates unambiguously reduce the value of long duration bond holdings,...

Risk aversion is a key element of utility maximizing hedge strategies; however, it hastypically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of riskaversion that is based on the observed risk...