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Quantum Funds

Thursday, October 15, 2009. Ch8 Style Drifts: Monitoring, Detection and Control. The detection, monitoring and control of style is perceived as a key preoccupation by hedge fund investors. Disclosure of strategy drift monitoring. Style drifts should be avoided even though they do not necessarily have a negative impact on performance. Identified relatively easily and measured precisely. Either from portfolio holding information or by making use of standard quantitative techniques based on portfolio returns.

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Quantum Funds | quantumfunds.blogspot.com Reviews

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Thursday, October 15, 2009. Ch8 Style Drifts: Monitoring, Detection and Control. The detection, monitoring and control of style is perceived as a key preoccupation by hedge fund investors. Disclosure of strategy drift monitoring. Style drifts should be avoided even though they do not necessarily have a negative impact on performance. Identified relatively easily and measured precisely. Either from portfolio holding information or by making use of standard quantitative techniques based on portfolio returns.

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3 1 introduction

4 transparency issue

5 style drift

6 3 style drift

7 unexpected style drifts

8 3 1 due diligence

9 poor market environment

10 excessive cash inflows

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Quantum Funds | quantumfunds.blogspot.com Reviews

https://quantumfunds.blogspot.com

Thursday, October 15, 2009. Ch8 Style Drifts: Monitoring, Detection and Control. The detection, monitoring and control of style is perceived as a key preoccupation by hedge fund investors. Disclosure of strategy drift monitoring. Style drifts should be avoided even though they do not necessarily have a negative impact on performance. Identified relatively easily and measured precisely. Either from portfolio holding information or by making use of standard quantitative techniques based on portfolio returns.

INTERNAL PAGES

quantumfunds.blogspot.com

1

Quantum Funds: Ch6 Understanding the Securitization of Subprime Mortgage Credit

http://quantumfunds.blogspot.com/2009/10/ch6-understanding-securitization-of.html

Friday, October 9, 2009. Ch6 Understanding the Securitization of Subprime Mortgage Credit. 1 Subprime Securitization Process. Subordination: first internal credit enhancement. Hold back: SPV buy assets at discount by originator. Insurance, wraps and guarantees. Put option on assets. FICO less than 660. 60 day delinquency in last 24 months. 2 30 day delinquencies in last 12 months. Judgment, foreclosure in prior 24 months. Bankruptcy in last 5 years. Possibility of predatory (unfair) lending. ARM (adjusta...

2

Quantum Funds: September 2009

http://quantumfunds.blogspot.com/2009_09_01_archive.html

Wednesday, September 30, 2009. Ch8 Performance Analysis (1). The goal of perfromance analysis is to. Distinguish skilled from unskilled. Separate skill form luck by measuring return and risk. Distinguish winners from losers. Performance analysis can help the manager avoid two major pitfalls in implementing an active strategy. Growth stocks - concentrations on certain industy and group of stocks with high volatility. Sequence of individual asset decisions. 2 Skill and Luck. 2-1 Dimensions of skill and luck.

3

Quantum Funds: October 2009

http://quantumfunds.blogspot.com/2009_10_01_archive.html

Thursday, October 15, 2009. Ch8 Style Drifts: Monitoring, Detection and Control. The detection, monitoring and control of style is perceived as a key preoccupation by hedge fund investors. Disclosure of strategy drift monitoring. Style drifts should be avoided even though they do not necessarily have a negative impact on performance. Identified relatively easily and measured precisely. Either from portfolio holding information or by making use of standard quantitative techniques based on portfolio returns.

4

Quantum Funds: Ch6 Studies on Credit Risk Concentration

http://quantumfunds.blogspot.com/2009/10/ch6-studies-on-credit-risk.html

Sunday, October 4, 2009. Ch6 Studies on Credit Risk Concentration. 1 IRB Risk Weight Function Assumptions. Basel II's IRB approach to credit risk assumes the bank's credit portfolio is diversified (granular or perfectly fine-grained). This assumption is convenient but unrealistic. Unexpected changes in financial market conditions. 1-2 Two Approaches for Calculating Capital Requirements. 1-3 Function for Calulating Credit Risk Capital Requirements. ASRF) model: IRB risk weight function. ASRF model assumpt...

5

Quantum Funds: Ch2 Estimating Volatilities & Correlations

http://quantumfunds.blogspot.com/2009/10/ch2-estimating-volatilities.html

Friday, October 9, 2009. Ch2 Estimating Volatilities and Correlations. EWMA: http:/ www.youtube.com/watch? V=P tr9 Ue220&feature=PlayList&p=DC2DBF1418970E52&playnext=1&playnext from=PL&index=51. Moving Average Approaches: http:/ www.youtube.com/watch? GARCH(1,1): http:/ www.youtube.com/watch? Subscribe to: Post Comments (Atom). Hedge strategy using futures. Mortgage pass through security. Mortgage payment factor. LTV. Ch8 Style Drifts: Monitoring, Detection and Control. Ch8 Funds of Hedge Funds.

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Thursday, October 15, 2009. Ch8 Style Drifts: Monitoring, Detection and Control. The detection, monitoring and control of style is perceived as a key preoccupation by hedge fund investors. Disclosure of strategy drift monitoring. Style drifts should be avoided even though they do not necessarily have a negative impact on performance. Identified relatively easily and measured precisely. Either from portfolio holding information or by making use of standard quantitative techniques based on portfolio returns.

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