Hedge Fund Replication has generated significant academic and practitioner interest in recent years. This interest has been translated into several product offerings by the major investment backs such as Goldman Sachs, Morgan Stanley and J.P Morgan. Replication products generally follow three...

In 2008, the S&P 500 experienced a drawdown of about 50% from peak to trough. Many assets which are typically considered effective equity diversifiers also faced precipitous losses. In stark contrast, volatility levels as measured by VIX experienced significant increases and in 2008 repeatedly...

Using data from January 18, 1996 to March 31, 2011, we construct and evaluate returns on a buy-write strategy on the Russell 2000 index. The results demonstrate that the strategy has consistently outperformed the Russell 2000 index on a risk adjusted basis, when implemented with one month to...

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...

This study provides an update to Szado and Schneeweis [2010]. The original study covered the period from March 1999 through May 2009. This updated study extends the period of analysis through September 2010. The credit crisis and the associated decline in equity markets rekindled new interest in...