Accurate appraisal of hedge fund performance must recognize the freedom with which managers shift asset classes, strategies, and leverage in response to changing market conditions and arbitrage opportunities. The standard measure of performance is the abnormal return defined by a hedge fund's...

Stock index futures were the most successful financial innovation of the 1980s. In spite of their widespread use internationally, they continue to be criticised for causing ‘aberrations’ in the stock market, particularly on expiration days when futures contracts are...

In designing a derivative contract, an exchange carefully considers how its attributes affect the expected profits of its members. On November 3, 1997, the Chicago Mercantile Exchange doubled its tick size of its S&P 500 futures contract and halved the denomination, providing a rare opportunity...