The ability of oil investment vehicles to perfectly track spot oil has always been challenging;
however, recently many vehicles have underperformed spot oil. We study the behavior of oil …

… highlighted in this book by Ludwig Chincarini, an economist I have known for many years.
Both an academic and a financial market professional himself, Chincarini uses his economist’…

We document a robust pattern of beta declining over the age of a firm. We find that changes
in systematic risk via firm characteristics and life-cycle stages are insufficient to explain this …

The speculative activities of hedge funds are a hot topic among market agents and authorities.
In September 2006, the activities of Amaranth Advisors, a mid-sized Connecticut hedge …

Draft for regular US T-bill issues from 1987 to 1997, Grieves et al.[1999] are able to confirm
these earlier findings, and they also find that their results are relatively stable over time. In …

We use industry data to investigate how the crowding of an equity space develops due to the
portfolio construction process in the equity asset management sector. We find crowding can …

The literature shows that beta is time-varying and difficult to predict using historically measured
beta. We postulate that beta has an uncertainty component reflecting the life-cycle of the …

We begin by discussing the theoretical case of tax management and quantifying the extent to
which tax effects can hurt investor returns in an idealized setting. There are two types of tax …

In September, 2006, a large-sized hedge fund named Amaranth Advisors LLC lost $4.942
billion in natural gas futures trading and was forced to close their hedge fund. 1 Although …

We use industry data to determine whether crowding of the investment space is caused by
portfolio construction processes typical to the investment community. In particular, this paper …