Questions tagged [hedge-fund]

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2answers
105 views

How funds incur fee to investors?

I am trying to understand how funds incur fee onto its investors. I found out that a typical fund fee structure is 2% of AUM and 20% of the excess profit. If fund received 10MM capital from an ...
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1answer
114 views

Question about Pattern Day Trading

According to the FINRA, the rules permit a pattern day trader to trade up to four times the maintenance margin excess in the account as of the close of business of the previous day. So if you have \$...
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0answers
75 views

Backtesting 130/30 Long-Short Equity Portfolio

I am wanting to test how a 130/30 long/short strategy would perform over a 10 year period using the Nasdaq 100 as my benchmark to select long and short positions from. I want to rank the Nasdaq 100 on ...
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99 views

Black-Litterman for quant portfolio

I have seen a lot of research around the Black-Litterman approach and I think theoretically, it is a nice framework. However, it appears that its main strength is from a practitioner's point of view, ...
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1answer
516 views

Making a beeline to statistical arbitrage

This question is somewhat related to my previous question here but has not been addressed in any other thread. The answer in that thread hit the nail right on the head with that one line "...
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3answers
342 views

Do passive ETF fund managers care about profolio metric such sharpe ratios and sortino ratio?

Do passive ETF fund managers care about portfolio metrics such as Sharpe ratio and Sortino ratio? I understand hedge fund managers care about these risk metrics for their investors. What about the ...
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47 views

internal rate of return ((M/X)IRR ?) of a fund

I have the following data for a fund. The contributions come from the LPs (i.e., the investors invest more in the fund, or withdraw money from the fund), MV stands for market value. The timing is not ...
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0answers
54 views

Managing fund of bot users

I'm algotrading since 2018 and been profitable (not much, but consistent) since then. This year I thinking in make a business around this bot. My only doubt is how do I manage the fund of all users? ...
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2answers
48 views

Calculating the allocation of a fund given two correlated variables

Imagine this hypothetical situation: I have a time series of cumulative performance of a fund and two time series of equities that are highly correlated to them. I know that that this fund ONLY ...
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2answers
181 views

How much money would it take to artificially inflate/depress a stock?

Please include links or at least keywords to research papers if possible. This is basically an investigation into max pain / stock pinning and what it would take for a hedge fund to cause it. Some ...
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0answers
53 views

How do Hedge Funds account for returns from short selling?

I was going over my notes from an Asset Pricing module yesterday and came across something interesting I hadn't thought about in a while. It was how Hedge Funds can over inflate their performance by ...
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1answer
115 views

(Yearly) Hedge Fund alpha

I am currently trying to make the best of quarantine by getting familiar with Stata by working on a little project. As the title states, I want to compare yearly alphas of Hedge Fund strategies. I ...
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1answer
461 views

Multi Factor rolling beta

I want to monitor HF/CTA long/short position and calculate beta on different HF indices in Excel/VBA, see graph below. I can't seem to find any papers on "Multi-factor based rolling beta", so my ...
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1answer
414 views

Difference between Sharpe Ratio and Information Ratio when measuring Hedge Fund performance?

Here is an unpublished excerpt from Professor X: "Since Sharpe ratio uses standard deviation as a measure of risk, it assumes normal distribution of the underlying returns and it would therefore not ...
4
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1answer
133 views

Stress Testing approaches at Pension Funds/Asset Management companies

I am looking for resources on Stress Testing for non-banking institution, specifically for long term oriented Asset Management companies, Hedge Funds, Pension Funds, and other Investment companies. ...
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4answers
1k views

Hedge Fund risk management on a daily basis

Since Hedge Funds/Fund of Funds report on a monthly basis usually within 10 days after the month end, monitoring and managing (hedging) potential risks is quite a difficult task. Having done some ...
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1answer
447 views

Reference material (EV/ betting game questions) for Quant Hedge Funds Interviews [closed]

I need material to practice EV games questions.But I lack practice in betting questions where a set-up of a game is given and one has to respond to the best strategy or best bet to take. A good book ...
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0answers
43 views

Understanding how to calculate Hedge Fund Net Asset Value (NAV), and getting a better grasp of the business purpose of a Hedge Fund NAV [closed]

Sorry if I sound naïve, but I'm new to the financial field(especially new to quantitative finance). I've seen 2 types of definitions for NAV when I search the internet. NAV = (Assets - Liabilities) ...
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0answers
54 views

Nonlinearity in returns?

Reading academic papers on hedge funds, I find that many authors saying that hedge fund returns are often non-linear and thus many simple quantitative techniques are not suitable. It seems like they ...
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1answer
69 views

Looking for a paper related to tail risk of hedge funds and its decomposition

I am looking for a paper related to hedge fund tail risks (think skewness and kurtosis), decomposition of the tail risks into several components and their interactions with each other, other funds, ...
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1answer
155 views

Insoluble Enigma [closed]

I used many statistical tools, i.e. t-SNE, SVM, Neural Network, UMAP, PCA, with the reformatted full market depth data with timestamp each second. UMAP gave me the best data representation, but ...
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1answer
149 views

quant software for trading, one in all or pretty close to that

Trying to help to friend, who wants to establish automatic trading inside hedge fund. Is there any kind of one for all product with function of: data capture layer, data stores/management, analytics, ...
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2answers
116 views

Measuring correlation between random variables when they are not normally distributed?

I want to perform some analysis on portfolio that consists of hedge funds (thus fund of hedge funds) In particular, I want to know the relationship between the funds during the downmarket. The ...
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1answer
474 views

Multi-factor models on equity long-short hedge funds

I am seeking papers that use quantitative techniques such as regression or multi-factor models for equity long-short funds. I am interested in understanding equity long-short hedge funds' behavior and ...
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0answers
56 views

Fitting hedge fund returns to probability distributions

I know that a lot of work has been done characterizing the first four moments of monthly hedge fund returns across a variety of fund types and strategies, and that work indicates that the higher ...
1
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0answers
46 views

Seeking papers on multi-factor models on the equity long short hedge funds

I am seeking papers that use regression & multi-factor models for equity long-short funds. I am interested in understanding the funds' behavior and exposure to various factors using some ...
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1answer
2k views

What is the industry standard way of calculating and annualizing performance metrics?

Say I am looking at a performance report for a hedge fund manager who trades mostly equities, and they provide me a list of monthly returns for the past 5 years. What is the industry standard way to ...
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2answers
129 views

Who benefits from more fair market?

An year ago, I asked the hedge fund owner I worked for: "What is the main benefit for the people, the society and the market from what the hedge funds do?". He simply answered that "They make the ...
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2answers
364 views

Reference request: hedge fund strategies

I am looking for a survey book on general hedge fund strategies, preferably on the quantitaitive side. An ideal book would survey common hedge fund strategies (e.g. fixed income arb, volatility arb) ...
2
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2answers
175 views

What is a good way to detect fund manager's active stock picks from his portfolio holdings?

There are a number of challenges. It is usually unclear what the managers' benchmark index is. The index may have 500 - 3000 stocks, but the manager can only hold 20-50, so that will naturally ...
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1answer
2k views

Long short equity hedge fund question

I have a question related to long short equity hedge funds. 1) What are some of the metrics used to perform risk analysis of long short equity funds on fund level? Volatility (standard deviation), ...
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2answers
2k views

Where can I see audited financial statements of Renaissance Technologies?

It is widely believed that Renaissance Technologies is one of the most successful hedge funds. But I couldn't find any credible evidence for that unfortunately. Warrent Buffet's Berkshire Hathaway ...
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1answer
126 views

How do I officially track the performance of my quant strategy? Do I need to be GIPS compliant for my performance to be legitimate?

I have a quant strategy that I want to implement in order to establish an official track record, but I'm not sure what I have to do. I have about $100k to set this thing up and would appreciate ...
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2answers
110 views

Disadvantages of large panel

I am currently researching if some fund characteristics such as (fund size, fund family size, capital flows, and fund age) explains fund performance measured (monthly alpha). Therefore, I am using a ...
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2answers
2k views

What is broker neutral trading system?Can I use leverage if using broker neutral EMS?

What really means broker neutral trading system?Can I use leverage if using broker neutral EMS?
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0answers
3k views

How exactly does "arranged financing" work?

Prime brokers offer what is called "arranged financing" which allows hedge funds to gain maximum leverage - more than allowed under the Portfolio Financing platform. I understand there is an element ...
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1answer
113 views

How to Cross-Validate whether fund returns are due to static factor exposures?

I'm currently dealing with the following problem. I'm using lasso regressions to model hedge fund returns and understand their exposures. The idea being, that if their returns are simply due to ...
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2answers
1k views

What are some quantitative trading strategies used by high-frequency trading companies to make a killing on a market crash day on 24Aug2015?

http://blogs.barrons.com/focusonfunds/2015/08/24/high-frequency-trading-firms-just-made-a-killing/ Virtu Financial (VIRT), the high-speed trading firm that went public earlier this year, was one ...
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2answers
979 views

How Much cost to setup trading platform such as Flextrade, portware, Sungaurd or Bloomberg for hedge fund?

Basically if someone want to setup a hedge fund how much cost to buy trading software such as Flextrade, portware, Sungaurd or Bloomberg for hedge fund?
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2answers
105 views

What is a definition of "Benchmark"?

The word "benchmark" is often used in Finance, but in a rather fuzzy manner, there for a rough idea of what it is, and how it is 'defined'. Can someone provide a rigorous and precise definition of ...
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5answers
4k views

Thoughts on how quantitative hedge funds use machine learning to invest in the stock market (algorithms, examples of data, etc.)

I believe there are several post on this general topic but I thought I would start my own thread. I'm a former fundamental hedge fund investor (i.e. modeling a company's financials, forecasting the ...
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0answers
106 views

In May of 2005, several large hedge funds had speculative positions in CDO tranches

These hedge funds were forced into bankruptcy. This was due to: the correct answer is: Long Mezzanine and Short Equity Tranche position when correlation of Mezzanine tranche decreased. Can anyone ...
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0answers
105 views

What is a standard model of convergence when looking at negative stub values?

I am trying to understand whether or not there is a standard model of convergence in the arbitrage scenario of negative stub models, i.e. when the market value of a company is valued less than its ...
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1answer
175 views

Hidden/Dark Pool Hedge Funds

Is there a noun for investment funds which do not disclose the assets they are investing in to their customers? Some exchanges are called "Dark Pools" where the orderbook is hidden to traders, so I ...
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3answers
3k views

Do hedge fund trading desks use portfolio optimization?

I tend to think that hedge funds that actively trade (and most of the ones I have seen trade very actively), don't use optimization methods like MVO or ...
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1answer
110 views

Monthly Return Net of Fees [closed]

How can I calculate the monthly return net of fees if the fee is annual?For example, if every year there is a 20% incentive fee, is there a formula to adjust the return of each month to compensate for ...
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1answer
86 views

How should I interpret MDD and ASD? [closed]

I'm studying hedge funds and I'm looking at two figures that I'm not sure how to interpret: The first is Max Drawdown, which I see scaling from 0 to -30ish. Is Fund A with a MDD of -15 more or less ...
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1answer
125 views

Index for Hedge fund, Private Equity, Venture Capital

We have index for stock market, like S&P500, Nikkei 225, etc. I wonder if we have any index for hedge funds, private equity or venture capital?
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2answers
149 views

Ability of hedge funds to transform illiquid assets

In this discussion of a Citi paper, on the impact of collateral management and rising financing costs for hedge funds, there is a quote from Sandy Kaul's statement: Sandy Kaul, head of business ...
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3answers
1k views

How to model hedge fund returns?

I know that a lot of work has been done characterizing the first four moments of monthly hedge fund returns across a variety of fund types and strategies, and that work indicates that the higher ...