Modelling Directional Hedge Funds Mean, Variance and Correlation With Tracker Funds

Topics:
Investment and Capital Markets
Tags:
Finance,
Financial Services,
Forecasting,
Hedge Fund,
Investment,
ISMA Centre,
Sales,
Sales Force Management,
Variance
Source:
ISMA Centre

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Overview: Many hedge fund managers use some kind of systematic approach to actively trade the markets. Modelling the returns generated by these dynamic strategies requires allowing for market inefficiencies. In this paper the first two moments, expected value and variance are derived analytically for a general class of trading rules with potential forecasting ability. The correlation coefficient between the active program and a tracker fund is subsequently derived allowing for mean-variance allocation.

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Format: PDF | Size: 454KB | Date: Aug 2002 | Pages: 17

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