Recent content by HelderUK

For those interested in academic papers.... We used our technology of replication of hedge fund returns trading future indices (see http://papers.ssrn.com/sol3/papers.cfm?abstract_id=855424), to evaluate the performance of Hedge Funds in the following two papers...

For those interested in academic papers.... In this paper we develop and demonstrate the workings of a copula-based technique that allows the derivation of dynamic trading strategies, which generate returns with statistical properties similar to hedge funds. We show that this technique is not...

The technical stuff (Statistics, Probability and Financial Economics) is coming in another paper. This is an example of this technology applied for a famous American Hedge Fund. Trading future contracts of S&P500 and Libor, we replicate the hedge fund distribution and also its dependence with...

For those interested in academic papers.... We know that hedge fund returns usually are non-normally distributed and non-linearly related with market returns. These characteristics of hedge fund returns can affect traditional measures of performance, like the Sharpe Ratio. One alternative...