Reflecting the strength of global economic growth has been rising equity markets where the MSCI World index has risen 13.60% in the last 12 months. The main disappointment has been Japan where the broad market had risen but 5.84%, a number masking devastation among small and micro caps. Where investors were cautious and somewhat negative [...]

There is considerable uncertainty regarding the state of the US economy. For the better part of 2006 the US economy was thought to be under inflation risk. The Fed Funds rate has, however, been left unchanged in 4 of the last FOMC meetings, this since a sharp correction in energy prices has taken pressure of [...]

We would like to know what risk we are running in our portfolio which consists of a clutch of hedge funds. To do this we measure the individual volatilities of each hedge fund. We also need to know how these funds relate to one another.
Question: Do we measure the correlation of returns of each [...]

Let’s do a little experiment. Lets take 1000 fair coins. Let’s give them names and flip them to see which ones come up heads and which ones come up tails. Now let’s take another 1000 fair coins and do the same, given them unique names and flip them recording which ones come up heads and [...]

2004 and 2005 were terrible years for hedge funds. If the HFRI Index is anything to go by, the average hedge fund returned 9.05% in 2004 and 9.27% in 2005. Performance in years 2001 and 2002 were worse but those years saw equity markets in free fall. 2003 was a recovery year in equities and [...]

I was doing the usual rounds in Connecticut visiting hedge fund managers a couple of months ago and I was talking to a convertible arbitrage manager who was seeking to grow his business. The said fund had had a long track record of success in the field of convertible arbitrage chalking up an average [...]

Just yesterday I was talking to a fund manager from Australia. He had launched an equity and equity options fund two years ago, performance had been good and he was on the road to raise capital.
His pitch was to launch immediately into the options trading strategy, which was fairly sophisticated and interesting. He spent nearly [...]

Style drift is when a trader is flexible about their trading strategy and it doesn’t work. Nimble is when a trader is flexible about their trading strategy and it works. It isn’t style drift if it remains within the experience and expertise of the trader. It’s style drift if its out of their comfort zone.
One [...]

Too many cooks spoil the broth. Investment committees don’t work. In fact, I have yet to see an executive committee in any industry. Committee’s are good in an oversight role but in an executive role they tend to fail. If the committee moves forward it is on groupthink. If there is not groupthink, there is [...]

Today on Channel News Asia, Pearl Forss writes about an emerging dual economy in Singapore.
http://www.channelnewsasia.com/stories/singaporelocalnews/view/251935/1/.html
It makes for some very interesting reading. Having spent 2004 – 2006 in Singapore, I have seen first hand the effects referred to in the article. The article basically reports that:

There is a dual economy.
A domestically focused economy that is [...]