In this analysis, we simply take a step back and remind investors and researchers alike, that there is no simple answer to the dependency of empirical results on the data, period of analysis, or methods of quantitative analysis used to address issues of academic research. Over a common time...

The data and time dependency of empirical financial research is a common concern to both academics and practitioners. Changes in regulatory, trading and investor environments may result in dramatic changes in the underlying viability of any investment vehicle and/or trading process. This is...

Under the Commodity Exchange Act, all individuals and firms (with certain exceptions) that intend to do business as futures professionals must register with the Commodity Futures Trading Commission (CFTC). The commission has authorized the National Futures Association (NFA), a self-regulatory...

Private equity is a widely encompassing term for any equity-type investment in a company that generally is not listed on a stock exchange. Private equity investment strategies represent an increasingly significant component of institutional portfolios.According to the Russell Survey on...

The growth in hedge fund has in part been due to their historical return to risk performance. Concern, however, has been expressed that one reason for the superior return to risk tradeoff for hedge funds, is that, unlike traditional mutual funds, hedge funds often trade in illiquid securities...

In this paper we provide: 1) a brief synopsis of the benefits of managed futures investment; 2) a short review of manager based CTA benchmark construction; and 3) an empirical analysis on the relative performance of various CTA benchmarks (non-investible manager based indices, investible manager...

While the impact of backfill bias, survivor bias other database construction issues (e.g., onshore versus offshore) on hedge fund performance have received considerable research attention, the impact on hedge fund performance of differences in the underlying quality or number of reporting...

The data dependency of empirical financial research is of common concern to both academics and practitioners. This is especially true for hedge funds since no one single commonly accepted database exists and since many of the databases may hold different sets of reporting managers. Each database...

A fundamental question in regard to the Madoff scandal is whether there was any reasonable means by which the typical investor and/or their consultants could have determined that the various investment vehicles by which investors accessed Madoff were in fact not offering what they claimed. In...