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SSRNDerivatives & Volatility

Global Macro and Managed Futures Hedge Fund Strategies: Portfolio Differentiators?

The research evaluates the performance of hedge funds, especially those using a top-down investment approach, and discovers a significant drop in risk-adjusted alpha for global macro managers and managed futures managers after the global financial crisis.

Featured in No. 25 on 8 Nov 2023 · 1 day after release · 0 citations today

Released
7 Nov 2023
First featured
No. 25 · 8 Nov 2023
Citations (Semantic Scholar)
0
Influential citations
0
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
8
Identifier
SSRN 4625978

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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