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...

This paper will cover investing in commodities through futures contracts. It will note the unique sources of risk and return for such investments. We will also discuss the factors that one should take into consideration before deciding upon how much of their portfolio should be in commodities....

The focus of this paper will be on risk management within the context of a total-return futures program centered on commodities. The following issues will be addressed: the evaluation of normal versus eventful risk; the sizing of trades and strategy buckets; and the construction of a portfolio,...

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...

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...