This text explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field.

In this article, we measure and compare the risk adjusted performance, the correlation and the covariance of global macro funds and funds of funds. Specifically, Global macro hedge fund manager focus to generate positive returns based on currency futures and options. He/she focused on fixed –...

In this paper, we investigate the performance persistence of hedge funds over time horizons between 6 and 36 months based on a merged sample from the Lipper/TASS and CISDM databases for the time period from 1994 to 2008. Unlike previous literature, we use a panel probit regression approach to...