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...

In this paper, we propose a method for hedge fund replication using a factor-based model supplemented with a series of risk and return constraints that implicitly target all the moments of the hedge fund return distribution. We use the approach to replicate the monthly returns of ten broad hedge...

There is much evidence that passive equity strategies dominate active equity management, but many investors remain committed to active investing despite its poor relative performance. We explore the behavioral-economic hypothesis that investors fall prey to the conjunction fallacy, believing...

The concept of enterprise risk management will be examined in the context of multi-strategy hedge funds and fund of hedge funds. This paper seeks to demonstrate that risk at these organizations has to be considered holistically and not in “silos”. A number of qualitative and quantitative...

This paper analyzes the approaches adopted by institutional investors to manage climate risk in their portfolios and proposes policies to increase climate awareness in this large segment of the capital markets. Because of their size and their role as conduit of savers' climate concerns to the...

Using the setting of funds of hedge funds (FoFs), we show that prime brokers (PBs) facilitate investors' search for informed hedge fund managers. We find that FoFs exhibit PB bias, a disproportionate preference for hedge funds serviced by their connected PBs. This PB bias is stronger when the...

This paper investigates whether bond fund managers with credit rating experience outperform their peers. We document that bond fund managers who previously worked in credit rat- ing agencies on average create higher risk-adjusted returns than their peers by 11-16 bps per month, with better...

We dissect the performance of private equity (PE) investors in commercial real estate. We observe acquisitions, dispositions, and granular performance data for several thousand U.S. hotels. Investments by PEs specializing in the hospitality industry lead to more substantial operating efficiency...

We study the selection of private equity managers (GPs) for over 100,000 capital commitments between 1990 and 2019 by global institutional investors (LPs) choosing from a plausible contemporaneous opportunity set. In addition to chasing GPs with high prior performance, LPs have large...