Part I of this two-part series touched upon the difficulty of using standard measures to evaluate a number of hedge fund strategies. After reviewing these difficulties, this paper will discuss the current state-of-the-art methodology in this area. The paper will conclude that if one has an...

This paper touches upon the quantitative and modeling shortfalls of the Sharpe ratio and other related Capital Asset Pricing Model (CAPM) measures when used to evaluate alternative investments. These shortfalls can best be appreciated once one understands the common nature of how most...

The paper discusses the practical issues involved in applying a disciplined risk management methodology to futures trading. Specifically, the paper shows how to apply methodologies derived from both conventional asset management and hedge fund management to futures trading as well as discussing...

Some have argued that there is an accelerating convergence between the hedge fund industry and traditional institutional fund management. This article will argue the opposite: that in a very fundamental way, these two investment industries are still quite distinct.This article will argue that...

Hedge funds do not easily fit into the current way institutions go about investing. Based on a survey of recent academic and practitioner research, this article reviews six competing frameworks for how to incorporate hedge funds in institutional portfolios. Each framework has very different...

Academic criticism of classic Capital Asset Pricing Model (CAPM) performance measures is not new. In particular, a number of authors have pointed out the shortcomings of using the Sharpe ratio for performance evaluation and the mean-variance framework for portfolio construction when the...

Part 1 of this paper can be found at 'http://ssrn.com/abstract=2602785' http://ssrn.com/abstract=2602785.This article is the second in a two-part series. The goal of this series is to discuss the innovative ways in which academics and practitioners are enhancing the risk allocation framework in...

This article is the first in a two-part series. The series will discuss the innovative ways in which academics and practitioners are enhancing asset allocation methodologies in order to incorporate hedge funds. This article will begin by discussing the current practice in asset allocation work,...