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.

Pure higher-order effects in the portfolio choice model

This paper examines the effects of higher-order risk attitudes and statistical moments on the optimal allocation of risky assets within the standard portfolio choice model. We derive the expressions for the optimal proportion of wealth invested in the risky asset to show they are functions of portfolio returns third- and fourth-order moments as well as on the investor’s risk preferences of prudence and temperance. We illustrate the relative importance that the introduction of those higher-order effects have in the decision of expected utility maximizers using data for the US.

Moments of Collusion? Close readings of affective, hidden moments within feminist research

This paper addresses affective ‘moments of collusion’ present in feminist research relationships, and contextualises these seemingly personal encounters within a wider systematic framework of the early career researcher and the increasingly neoliberal climate of academia. Focusing on the temporal transition from doctoral research to postdoctorate research positions immediately post-PhD, this paper questions the concept of collusion within (immersive) fieldwork, and examines the delicate and complex question of who is colluding with whom, and for what purpose at different times within the early career academic journey. Specifically, this paper focuses on how the increasing pressures of the neoliberal university play out on our emotions and bodies during fieldwork, an area which still requires attention within the growing critiques of the affects of neo-liberalism in Higher Education. Using personal case studies as springboard for a far wider and important discussion, this paper situates such methodological dilemmas within a broader temporal framework of the increasingly precarious nature of early career academics, where ‘moments of collusion’ may be the only way to keep your head above water.