Exchange-Trade Funds Evaluation using Performance Measures Distribution

In this study we propose the use of the performance measure distribution rather than its punctual value to rank hedge funds. Generalized Sharpe Ratio and other similar measures that take into account the higher-order moments of portfolio return distributions are commonly used to evaluate hedge funds performance. The literature in this field has reported non-significant difference in ranking between performance measures that take, and those that do not take, into account higher moments of distribution. Our approach provides a much more powerful manner to differentiate between hedge funds performance. We use a non-semiparametric density based on Gram-Charlier expansions to forecast the conditional distribution of hedge fund returns and its corresponding performance measure distribution. Through a forecasting exercise we show the advantages of our technique in relation to using the more traditional punctual performance measures.

Money Market Funds in the EU and US, Regulations and Practice

This is the first comprehensive analysis of the regulation of money market funds in the EU and US at both the theoretical and practical levels.  Its unique mutli-disciplinary approach provides a rigorous framework for comparative analysis and expert opinions on complex regulations that will help practitioners with decisions on portfolio management and in solving regulatory compliance issues. The theoretical framework has unique cases and examples and includes checklists to assist with the practice of fund management and legal risk analysis.

Comparative analysis of the US and the EU Regulatory Models for Money Market Funds

This chapter sets out a comprehensive analysis of the regulation of money market funds in the EU and US. The theoretical framework has unique cases and examples and includes checklists to assist with the practice of fund management and legal risk analysis.

Money Market Funds Outside the EU and the US

This chapter sets out a comprehensive analysis of the regulation of money market funds outside of the EU and US. The theoretical framework includes unique cases and examples and recommendations for regulations and policy developments.