Recent results from the hedge fund literature provide evidence that option-based risk factors may be a significant factor in managed fund returns. By examining a unique database of high-frequency holdings and transactions from a representative sample of forty Australian equity funds we find that...

The recent paper by Goetzmann et al. (2002) suggests that fund managers subject to aperformance review have an adverse incentive to engage in portfolio strategies that have the unfortunate attribute that they can expose the fund investor to significant downside risk. Weisman(2002) uses the term...

The recent paper by Goetzmann et al. (2002) suggests that fund managers subject to a performance review have an adverse incentive to engage in portfolio strategies that have the unfortunate attribute that they can expose the fund investor to significant downside risk. Weisman (2002) uses the...

Abstract: The recent paper by Goetzmann et al. (2002) suggests that fund managers subject to a performance review have an adverse incentive to engage in portfolio strategies that have theunfortunate attribute that they can expose the fund investor to significant downside risk.(...)

This paper examines the trading strategy attributed to Mr. Nicholas Leeson, who was the chief derivatives trader of Barings bank in Singapore. His activities were the main cause of the eventual collapse of Barings bank. Daily information is available for the full period Leeson was active in...