Performance Fees, Portable Alpha, and Portfolio Efficiency # •Performance fees as options # •Asymmetry penalty # •Volatility versus risk # •Performance net of fees # •Optimal hedge fund allocations # •The fallacy of portable alpha

Boston File: Slides for Bayesian & Qualitative Approaches (bayesian.pdf by Jarrod Wilcox)

Boston File: Handout for Trading Restrictions and Stock Prices, October 17, 2006 (QWAFAFEW_2006-10-17.pdf by Robin Greenwood, Harvard Business School)

Firms can manipulate their stock price by limiting the ability of their investors to sell. I examine a series of corporate events in Japan in which firms actively reduced their float – the fraction of shares available to trade – for periods of one to three months, locking investors into…

Sector-level Attribution Effects with Compounded Notional Portfolios One of the drawbacks most commonly cited in criticism of the arithmetic, multi-period attribution linking method known as “compounded notional portfolios”(CNP) or “exact multi-period Brinson” is its lack of allowance for linking attribution effects at the sector level. This paper details an extension…

Boston File: Indicia of Quant Valuation (QWAF0706a.pdf by John Nagorniak)

Active portfolio management is dynamic: new information arrives continually, and trading based on this information repeatedly changes the portfolio. With turnover controlled, the impact of today’s trading persists into the future, where it will influence future trading and commingle past and future information. Not surprisingly, important questions remain unanswered. What…

Please join the Boston College Center for Asset Management for a high-impact symposium for investment professionals and finance academics on June 9, 2006 at the State Street Pavilion at Fenway Park.

Slides from a QWAFAFEW discussion led by Blake LeBaron Brandeis University

Viewable on your screen at magnification. For a pritable version, please contact the authors.