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Jan 13

Week in Review 130112 Top 25 Hedge Funds

Posted by abiao at 15:08 | Review | Comments(0) | Reads(4502)
The Top 25 Best Performing Hedge Funds In The World: the top 25 large (more than $1 billion AUM) hedge fund performers around the world, with strategy from macro, long/short to multi.

2011 IAFE/SunGard Financial Engineer of the Year: Robert Engle Selected as the Recipient of the 2011 IAFE/SunGard Financial Engineer of the Year Award.

A "Ratings Neutral" Investment Policy: lessors learned from the current financial crisis.

Research Seminar: Optimization: learn optimization online, free ebooks downloadable.

How to Identify and Predict Bull and Bear Markets?: We compare methods based on rules with methods based on econometric models, in particular Markov regime-switching models.

Getting up to Speed on the Financial Crisis: A One-Weekend-Reader's Guide: a reading list covering the key facts and mechanisms in the build-up of risk, the panics in short-term-debt markets, the policy reactions, and the real effects of the current financial crisis.

Skyscrapers Predict Financial Crises: is it really true?

A Survey of Systemic Risk Analytics: a survey of 31 quantitative measures of systemic risk in the economics and finance literature, chosen to span key themes and issues in systemic risk measurement and management. Matlab codes are also provided.

Forecasting the Equity Risk Premium: The Role of Technical Indicators: utilizing information from both technical indicators and macroeconomic variables substantially increases out-of sample forecasting performance relative to either alone.

VIX and SPX return: a simply trading strategy based on VIX level seems to work well.

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