We provide evidence that speculative capital of hedge funds is a key determinant for the profitability of optimal carry and momentum strategies in futures markets across asset classes. We construct optimal carry and momentum portfolios from the perspective of a utility maximizing risk averse...

The focus of this paper is how the risk management function can add value to systematic strategies. It is argued the function should have a broad mandate including analysis of algorithm backtests and realized returns, and play an integral role in portfolio construction methods. Finally, the risk...

This paper presents a simple dynamic investment strategy that allows long-term passive investors to hedge climate risk without sacrificing financial returns. We illustrate how tracking error can be almost eliminated even for a low carbon index that has 50% less carbon footprint than its...

This article forms the second of a three part series of articles which seek to provide a critical insight into the use of derivatives made by hedge funds. Together, they will aim to examine the many questions that hedge fund managers may now have to ask themselves in this brave new world of...

This article forms the first of a three part series of articles which seek to provide a critical insight into the use of derivatives made by hedge funds. Together, they will also aim to examine the many questions that hedge fund managers may now have to ask themselves in this brave new world of...

We provide a quite general framework for pricing CPPI contracts linked to hedge funds, assessing the gap risk proper to this payoff. We enrich our framework while assuming the existence of a lag between the current estimated NAV and the executed NAV