Skin Or Skim? Inside Investment and Hedge Fund Performance
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THE CASE of CLOS Efraim Benmelech Jennifer Dlugosz Victoria
NBER WORKING PAPER SERIES SECURITIZATION WITHOUT ADVERSE SELECTION: THE CASE OF CLOS Efraim Benmelech Jennifer Dlugosz Victoria Ivashina Working Paper 16766 http://www.nber.org/papers/w16766 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 February 2011 We thank Paul Gompers, Jeremy Stein, Greg Nini, Gary Gorton, Charlotte Ostergaard, James Vickery, Paul Willen, seminar participants at the Federal Reserve Bank of New York, the Federal Reserve Board, Harvard University, UNC, London School of Economics, Wharton, University of Florida, Berkeley, NERA, the World Bank, the Brattle Group, and participants at the American Finance Association annual meeting, the Yale Conference on Financial Crisis, and Financial Intermediation Society Annual Meeting for helpful comments. Jessica Dias and Kate Waldock provided excellent research assistance. We acknowledge research support from the Division of Research at Harvard Business School. We are especially grateful to Markit for assisting us with CDS data. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peer- reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications. © 2011 by Efraim Benmelech, Jennifer Dlugosz, and Victoria Ivashina. All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including © notice, is given to the source. Securitization without Adverse Selection: The Case of CLOs Efraim Benmelech, Jennifer Dlugosz, and Victoria Ivashina NBER Working Paper No. -
What Happened to the Quants in August 2007?∗
What Happened To The Quants In August 2007?∗ Amir E. Khandaniy and Andrew W. Loz First Draft: September 20, 2007 Latest Revision: September 20, 2007 Abstract During the week of August 6, 2007, a number of high-profile and highly successful quan- titative long/short equity hedge funds experienced unprecedented losses. Based on empir- ical results from TASS hedge-fund data as well as the simulated performance of a specific long/short equity strategy, we hypothesize that the losses were initiated by the rapid un- winding of one or more sizable quantitative equity market-neutral portfolios. Given the speed and price impact with which this occurred, it was likely the result of a sudden liqui- dation by a multi-strategy fund or proprietary-trading desk, possibly due to margin calls or a risk reduction. These initial losses then put pressure on a broader set of long/short and long-only equity portfolios, causing further losses on August 9th by triggering stop-loss and de-leveraging policies. A significant rebound of these strategies occurred on August 10th, which is also consistent with the sudden liquidation hypothesis. This hypothesis suggests that the quantitative nature of the losing strategies was incidental, and the main driver of the losses in August 2007 was the firesale liquidation of similar portfolios that happened to be quantitatively constructed. The fact that the source of dislocation in long/short equity portfolios seems to lie elsewhere|apparently in a completely unrelated set of markets and instruments|suggests that systemic risk in the hedge-fund industry may have increased in recent years. -
Companies That Made a Full-Time O Er to One Or More MSOR/IE Students
Companies that made a full-time oer to one or more MSOR/IE students who graduated in October 2019 or February 2020 26% Data Science & Business Analytics Firms include: Amazon, Wayfair, 360i, AccrueMe LLC, Amadeus, American Express, Amherst Holdings, Aretove Technologies, Barclays, BNP Paribas, Capgemini, Cubesmart, DIA Associates, Expedia, Goldenberry, LLC, Intellinum Analytics Inc, Jellysmack, Kalo Inc, LGO Markets, Ly, Mediacom, NBCUniversal Media, LLC, Neuberger Berman, PepsiCo, Amazon, Robinhood, Shareablee, State Administration of Foreign Exchange, Swiss Re, Two Sigma, Whiterock AI Titles include: Big Data Analyst, Business Analyst, Business Intelligence Analyst, Credit Risk Analyst, Data Analyst, Data Engineer, Data Scientist, Insight Analyst, Investment Analytics Analyst, Quant Researcher/Developer, Quantitative Analytics Associate, Research Analyst and Solutions Engineer 20% Quantitative Research Firms include: Citi, Goldman Sachs, Aflac Global Investments, American Express, Arrowstreet Capital, CME Group, Credit Agricole, Credit Suisse, Deutsche Bank, Global A.I., Jp Morgan Chase, Krane Funds Advisors, New York International Capital, PingAn Technology Inc., Puissance Capital, Rayens Capital, SG Americas Securities LLC, Shanghai Kingstar Soware Technology Co., Ltd., Vidrio FInancial, Wolfe Research Titles include: Analyst, Applied Quantitative Research & Development, Associate Vice President, CFR Senior Analyst, Consumer & Investment Management Senior Analyst, Data Modeling Analyst, FICC Strategic Analyst, Investment Analyst, Markets Quantitative Analyst, Post Trade & Optimization Services Quant Risk Manager, Quantitative Analyst, Quantitative Associate, Quantitative Strategist, Quantitative Strategist Associate, Quantitative Strategy & Modeling, Risk Appetite Model & Methodology Analyst, Securitization Quant, Sell Side M&A Investment Banking Analyst and Treasury/CIO Senior Associate 19% Engineering & Technology Firms include: Alibaba, Amazon, Anheuser-Busch InBev, AntX LLC, Baco SA,Beijing Huahui Shengshi Energy Technology Co. -
Capital Markets
U.S. DEPARTMENT OF THE TREASURY A Financial System That Creates Economic Opportunities Capital Markets OCTOBER 2017 U.S. DEPARTMENT OF THE TREASURY A Financial System That Creates Economic Opportunities Capital Markets Report to President Donald J. Trump Executive Order 13772 on Core Principles for Regulating the United States Financial System Steven T. Mnuchin Secretary Craig S. Phillips Counselor to the Secretary Staff Acknowledgments Secretary Mnuchin and Counselor Phillips would like to thank Treasury staff members for their contributions to this report. The staff’s work on the report was led by Brian Smith and Amyn Moolji, and included contributions from Chloe Cabot, John Dolan, Rebekah Goshorn, Alexander Jackson, W. Moses Kim, John McGrail, Mark Nelson, Peter Nickoloff, Bill Pelton, Fred Pietrangeli, Frank Ragusa, Jessica Renier, Lori Santamorena, Christopher Siderys, James Sonne, Nicholas Steele, Mark Uyeda, and Darren Vieira. iii A Financial System That Creates Economic Opportunities • Capital Markets Table of Contents Executive Summary 1 Introduction 3 Scope of This Report 3 Review of the Process for This Report 4 The U.S. Capital Markets 4 Summary of Issues and Recommendations 6 Capital Markets Overview 11 Introduction 13 Key Asset Classes 13 Key Regulators 18 Access to Capital 19 Overview and Regulatory Landscape 21 Issues and Recommendations 25 Equity Market Structure 47 Overview and Regulatory Landscape 49 Issues and Recommendations 59 The Treasury Market 69 Overview and Regulatory Landscape 71 Issues and Recommendations 79 -
What Do Fund Flows Reveal About Asset Pricing Models and Investor Sophistication?
What do fund flows reveal about asset pricing models and investor sophistication? Narasimhan Jegadeesh and Chandra Sekhar Mangipudi☆ Goizueta Business School Emory University January, 2019 ☆Narasimhan Jegadeesh is the Dean’s Distinguished Professor at the Goizueta Business School, Emory University, Atlanta, GA 30322, ph: 404-727-4821, email: [email protected]., Chandra Sekhar Mangipudi is a Doctoral student at Emory University, email: [email protected] . We would like to thank Jonathan Berk, Kent Daniel, Amit Goyal, Cliff Green, Jay Shanken, and the seminar participants at the 2018 SFS Cavalcade North America, Louisiana State University and Virginia Tech for helpful discussions, comments, and suggestions. What do fund flows reveal about asset pricing models and investor sophistication? Recent literature uses the relative strength of the relation between fund flows and alphas with respect to various multifactor models to draw inferences about the best asset pricing model and about investor sophistication. This paper analytically shows that such inferences are tenable only under certain assumptions and we test their empirical validity. Our results indicate that any inference about the true asset pricing model based on alpha-flow relations is empirically untenable. The literature uses a multifactor model that includes all factors as the benchmark to assess investor sophistication. We show that the appropriate benchmark excludes some factors when their betas are estimated from the data, but even with this benchmark the rejection of investor sophistication in the literature is empirically tenable. An extensive literature documents that net fund flows into mutual funds are driven by funds’ past performance. For example, Patel, Zeckhauser, and Hendricks (1994) document that equity mutual funds with bigger returns attract more cash inflows and they offer various behavioral explanations for this phenomenon. -
Phi Beta Kappa Number
Phi Beta Kappa Number ~ DECEMRER, 1918 I 3 --/ Sigtna Kappa Triangle VOL. XIII DECEMBER, 1918 NO. 1 ... , ~' • 'Ev KTJP p.ta ooo~.. OFFICIAL PUBLICATION OF SIGMA KAPPA SORORITY PHI BETA KAPPA NUMBER GEORGE BANTA, Official Printer and Publisher 450 to 454 Ahnaip St., Menasha, Wlsconein. TRIANGLE DIRECTORY Editor-in-chief MRS. FRANCIS MARSHALL WIGMORE c!o The Orland Register, Orland, Cal. Chapter Editor FRITZI NEUMANN 701 A St. S. E., Washington, D. C. Alumnm Editor FLORENCE SARGENT CARLL South China, Maine . Exchange Editor MABEL GERTRUDE MATTOON 127 N. Malabar St., Huntington Park, Cal. Contributing Editor GRACE COBURN SMITH 2137 Bancroft St., Washington, D. C. Circulation Manager HATTIE MAY BAKER 24 Sunset Road, West Somerville, Mass. All communications r egarding subscriptions should be sent direct to Miss Baker. SIGMA KAPPA TRIANGLE is issued m December, March, June, and September. All chapters, active and alumnre, must send all manuscript to their respective editors (at the addresses given above) on or before the Fifteenth of October, J anuary, April, and July. Price $1.25 per annum. Single copies 35 cents. Entered as second-cia s matter October 15, 1910, at the postoffice at Menasha, Wis., under the act of March 3, 1879. Acceptance for mailing at special rate of postage provided f or in section 1103, Act of October 3, 1917, authorized, .July 31, 1918. SIGMA KAPPA SORORITY Founded at Colby College in 1874 FOUNDERS MRS. L. D. CARVER, nee Mary Caffrey Lowe, 26 Gurney St., Cam bridge, Mass. ELIZABETH GORHAM HOAG (deceased). MRS. J. B. PIERCE, nee Ida M. Fuller, 201 Linwood Blvd., Kansas City, Mo. -
The Quants Run Wall Street Now - WSJ 5/24/17, 11:08 AM
The QuantsTHE Run Wall Street Now - WSJ QUANTS RUN5/24/17, 11:08 AM WALL STREET SHARE NOW For decades, investors imagined a time when data-driven traders would dominate financial markets. That day has arrived. https://www.wsj.com/articles/the-quants-run-wall-street-now-1495389108 Page 1 of 14 The Quants Run Wall Street Now - WSJ 5/24/17, 11:08 AM BY GREGORY ZUCKERMAN AND BRADLEY HOPE Alexey Poyarkov, a former gold-medal winner of the International Mathematical Olympiad for high-school students, spent most of his early career honing algorithms ? at technology companies such as Microsoft Corp. , where he helped make the Bing search engine smarter at ferreting out pornography. Last year, a bidding war for Mr. Poyarkov broke out among hedge-fund heavyweights Renaissance Technologies LLC, Citadel LLC and TGS Management Co. When it was over, he went to work at TGS in Irvine, Calif., and could earn as much as $700,000 in his first year, say people familiar with the contract. The Russian-born software engineer, who declined to comment, as did the hedge funds, had almost no financial experience. What TGS wanted was his wizardry at designing algorithms, sets of rules used to power calculations and problem- solving, which in the investment world can quickly parse data and decide what to buy and sell, often with little human involvement. Up and down Wall Street, algorithmic-driven trading WSJ PODCAST and the quants who use sophisticated statistical models to find attractive trades are taking over the The Quants: Today’s Kings investment world. -
FT PARTNERS RESEARCH 2 Fintech Meets Alternative Investments
FT PARTNERS FINTECH INDUSTRY RESEARCH Alternative Investments FinTech Meets Alternative Investments Innovation in a Burgeoning Asset Class March 2020 DRAFT ©2020 FinTech Meets Alternative Investments Alternative Investments FT Partners | Focused Exclusively on FinTech FT Partners’ Advisory Capabilities FT Partners’ FinTech Industry Research Private Capital Debt & Raising Equity Sell-Side / In-Depth Industry Capital Buy-Side Markets M&A Research Reports Advisory Capital Strategic Structuring / Consortium Efficiency Proprietary FinTech Building Advisory FT Services FINTECH Infographics Partners RESEARCH & Board of INSIGHTS Anti-Raid Advisory Directors / Advisory / Monthly FinTech Special Shareholder Committee Rights Plans Market Analysis Advisory Sell-Side Valuations / LBO Fairness FinTech M&A / Financing Advisory Opinion for M&A Restructuring Transaction Profiles and Divestitures Named Silicon Valley’s #1 FinTech Banker Ranked #1 Most Influential Person in all of Numerous Awards for Transaction (2016) and ranked #2 Overall by The FinTech in Institutional Investors “FinTech Excellence including Information Finance 40” “Deal of the Decade” • Financial Technology Partners ("FT Partners") was founded in 2001 and is the only investment banking firm focused exclusively on FinTech • FT Partners regularly publishes research highlighting the most important transactions, trends and insights impacting the global Financial Technology landscape. Our unique insight into FinTech is a direct result of executing hundreds of transactions in the sector combined with over 18 years of exclusive focus on Financial Technology FT PARTNERS RESEARCH 2 FinTech Meets Alternative Investments I. Executive Summary 5 II. Industry Overview and The Rise of Alternative Investments 8 i. An Introduction to Alternative Investments 9 ii. Trends Within the Alternative Investment Industry 23 III. Executive Interviews 53 IV. -
Staff Report on Algorithmic Trading in U.S. Capital Markets
Staff Report on Algorithmic Trading in U.S. Capital Markets As Required by Section 502 of the Economic Growth, Regulatory Relief, and Consumer Protection Act of 2018 This is a report by the Staff of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding the analysis, findings, or conclusions contained herein. August 5, 2020 1 Table of Contents I. Introduction ................................................................................................................................................... 3 A. Congressional Mandate ......................................................................................................................... 3 B. Overview ..................................................................................................................................................... 4 C. Algorithmic Trading and Markets ..................................................................................................... 5 II. Overview of Equity Market Structure .................................................................................................. 7 A. Trading Centers ........................................................................................................................................ 9 B. Market Data ............................................................................................................................................. 19 III. Overview of Debt Market Structure ................................................................................................. -
The Regulation of Investment Funds
Fordham Journal of Corporate & Financial Law Volume 16 Issue 1 Book 1 Article 1 2010 Symposium: The Regulation Of Investment Funds Andrew J. Donohue U.S. Securities and Exchange Commission Paul N. Roth Schulte Roth & Zabel LLP Mattew B. Siano Two Sigma Investments, LLC J.W. Verret George Mason University School of Law Follow this and additional works at: https://ir.lawnet.fordham.edu/jcfl Part of the Business Organizations Law Commons, and the Securities Law Commons Recommended Citation Andrew J. Donohue, Paul N. Roth, Mattew B. Siano, and J.W. Verret, Symposium: The Regulation Of Investment Funds, 16 Fordham J. Corp. & Fin. L. 1 (2011). Available at: https://ir.lawnet.fordham.edu/jcfl/vol16/iss1/1 This Conference Proceeding is brought to you for free and open access by FLASH: The Fordham Law Archive of Scholarship and History. It has been accepted for inclusion in Fordham Journal of Corporate & Financial Law by an authorized editor of FLASH: The Fordham Law Archive of Scholarship and History. For more information, please contact [email protected]. SYMPOSIUM THE REGULATION OF INVESTMENT FUNDS* WELCOME DEAN WILLIAM MICHAEL TREANOR FORDHAM UNIVERSITY SCHOOL OF LAW AUDRA WHITE FORDHAM JOURNAL OF CORPORATE & FINANCIAL LAW MODERATOR JAMES JALIL THOMPSON HINE LLP PANELISTS ANDREW J. DONOHUE U.S. SECURITIES AND EXCHANGE COMMISSION PAUL N. ROTH SCHULTE ROTH & ZABEL LLP MATTHEW B. SIANO TWO SIGMA INVESTMENTS, LLC J.W. VERRET GEORGE MASON UNIVERSITY SCHOOL OF LAW HOLLAND WEST SHEARMAN & STERLING LLP * This symposium was held at Fordham University School of Law on February 19, 2010. It has been edited to remove minor, awkward, cadences of speech. -
Stronger Together
MAKING STONY BROOK STRONGER, TOGETHER From state-of-the-art healthcare facilities for STONY BROOK CHILDREN’S HOSPITAL EMERGENCY DEPARTMENT EXPANSION GOAL MET Long Island’s children to Joining dozens of community friends, three Knapp foundations help complete $10 million investments in the greatest philanthropic goal minds in medicine and in Since it opened in 2010, Stony Brook Children’s Pediatric Emergency Department has seen a 50 percent increase in patient volume, creating our remarkable students an emergency of its own: an urgent need for more space, specialists and services to care for the 25,000 children seen each year. and programs, you make Now, thanks to two dozen area families, and a collective $4 million gift from the Knapp Swezey, Gardener and Island Outreach foundations, us stronger in every way. Stony Brook Children’s is one step closer to creating an expanded pediatric emergency facility to serve Suffolk County’s children and the families who love them. “The Pediatric Emergency Department has been a remarkably successful program in terms of the quality of care we’re providing and how it’s resonated with the community,” said Chair of Pediatrics Carolyn Milana, MD. “Now, thanks to the Knapp family foundations and our surrounding community of generous friends and grateful patients, we will be able to move ahead to ensure we can continue to meet the need now and into the future.” “Time and again, the Knapp families and their foundation boards have shown such incredible commitment to the people of Long Island by their personal and philanthropic engagement with Stony Brook,” said Deborah Lowen-Klein, interim vice president for Advancement. -
The Hedge Fund Industry in New York City Alternative Assets
The Facts The Hedge Fund Industry in New York City alternative assets. intelligent data. The Hedge Fund Industry in New York City New York City is home to over a third of all the assets in the hedge fund industry today. We provide a comprehensive overview of the hedge fund industry in New York City, including New York City-based investors’ plans for the next 12 months, the number of hedge fund launches each year, fund terms and conditions, the largest hedge fund managers and performance. Fig. 1: Top 10 Leading Cities by Hedge Fund Assets under Fig. 2: Breakdown of New York City-Based Hedge Fund Management ($bn) (As at 31 December 2014) Investors by Type Manager City Headquarters Assets under Management ($bn) Fund of Hedge Funds Manager New York City 1,024 Foundation 2% London 395 3%3% 6% Private Sector Pension Fund Boston 171 31% Westport 168 8% Family Office Greenwich 164 Endowment Plan San Francisco 87 Wealth Manager Chicago 75 15% Hong Kong 61 Insurance Company 21% Dallas 52 11% Asset Manager Stockholm 39 Other Source: Preqin Hedge Fund Analyst Source: Preqin Hedge Fund Investor Profi les Fig. 3: Breakdown of Strategies Sought by New York City- Fig. 4: Breakdown of Structures Sought by New York City- Based Hedge Fund Investors over the Next 12 Months Based Hedge Fund Investors over the Next 12 Months 60% 100% 97% 50% 90% 50% 80% 40% 70% 31% 30% 26% 60% 20% 19% 50% 13% 11% 40% 9% 9% 10% 7% 7% 30% Proportion of Fund Searches 0% 20% 17% Proportion of Fund Searches 10% 5% Macro 1% Equity Credit 0% Diversified Neutral Long/Short Long/Short Commingled Managed Alternative Listed Fund Arbitrage Event Driven Fixed Income Fixed Opportunistic Equity Market Multi-Strategy Account Mutual Fund Relative Value Source: Preqin Hedge Fund Investor Profi les Source: Preqin Hedge Fund Investor Profi les Fig.