Reviewing the hedge funds literature II:hedge funds' returns and risk management characteristics

This paper summarizes the literature on hedge funds (HFs) developed over the last two decades, particularly that which relates to risk management characteristics (a companion piece investigates the managerial characteristics of HFs). It discusses the successes and the shortfalls to date in developing more sophisticated risk management frameworks and tools to measure and monitor HF risks, and the empirical evidence on the role of the HFs and their investment behaviour and risk management practices on the stability of the financial system. It also classifies the HF literature considering the most recent contributions and, particularly, the regulatory developments after the 2007 financial crisis.

Recent advances in explaining hedge fund returns:implicit factors and exposures

We survey articles covering how hedge fund returns are explained, using largely non-linear multifactor models that examine the non-linear pay-offs and exposures of hedge funds. We provide an integrated view of the implicit factor and statistical factor models that are largely able to explain the hedge fund return-generating process. We present their evolution through time by discussing pioneering studies that made a significant contribution to knowledge, and also recent innovative studies that examine hedge fund exposures using advanced econometric methods. This is the first review that analyzes very recent studies that explain a large part of hedge fund variation. We conclude by presenting some gaps for future research.

Recent advances in hedge funds' performance attribution:performance persistence and fundamental factors

We survey articles on hedge funds' performance persistence and fundamental factors from the mid-1990s to the present. For performance persistence, we present some pioneering studies that contradict previous findings that hedge funds' performance is a short term matter. We discuss recent innovative studies that examine the size, age, performance fees and other factors to give a 360° view of hedge funds' performance attribution. Small funds, younger funds and funds with high performance fees all outperform the opposite. Long lockup period funds tend to outperform short lockups and domiciled funds tend to outperform offshore funds. This is the first survey of recent innovative and challenging studies into hedge funds' performance attribution, and it should be particularly useful to investors trying to choose between hedge funds.

Taxonomic value of foliar characters in Dahlstedtia Malme: Leguminosae, Papilionoideae, Millettieae

Dahlstedtia Malme (Leguminosae) is a neotropical genus, native to the Brazilian Atlantic Forest, and comprises two species, D. pinnata (Benth.) Malme and D. pentaphylla (Taub.) Burk., although it has been considered a monotypic genus by some authors. Leaf anatomy was compared to verify the presence of anatomical characters to help delimit species. Foliar primordium, leaflet, petiolule, petiole and pulvinus were collected from cultivated plants (Campinas, SP, Brazil) and from natural populations (Picinguaba, Ubatuba and Caraguatatuba, SP, Brazil - D. pinnata; Antonina, PR, Brazil - D. pentaphylla). Studies on leaflet surface assessment (Scanning Electron Microscopy), as well as histology and venation analyses were carried out of dehydrated, fresh and fixed material from two species. Leaflet material was macerated for stomatal counts. Histological sections, obtained by free-hand cut or microtome, were stained with Toluidine Blue, Safranin/Alcian Blue, Ferric Chloride, Acid Phloroglucin. Secretory cavities are present in the lamina, petiolule, petiole, pulvinus and leaf primordium in D. pentaphylla, but not in D. pinnata, and can be considered an important character for species diagnosis. Other leaf characters were uninformative in delimiting Dahlstedtia species. There is cambial activity in the petiolule, petiole and pulvinus. This study, associated with other available data, supports the recognition of two species in Dahlstedtia.

Origin of successive cambia on stem in three species of Menispermaceae

The lianas observed in this study, Abuta convexa (Vell.) Diels, Abuta imene (Mart.) Eichler, and Chondrodendron platiphyllum (A. St.-Hil.) Miers, all have successive cambia in their stems. The terminology applied to stem histology in species with successive cambia is as diverse as the interpretations of the origins of this cambial variant. Therefore, this study specifically investigates the origin of successive cambia through a developmental analysis of the above-mentioned species, including an analysis of the terminology used to describe this cambial variation. For the first time, we have identified several developmental stages giving rise to the origins of successive cambia in this family. First, the pericycle originates in 1-3 layers of conjunctive tissue. After the differentiation of the first ring, the conjunctive tissue undergoes new divisions, developing approximately 10 rows of parenchyma cells. In the middle portion, a layer of sclereids is formed, again subdividing the conjunctive tissue into two parts: internal and external. New cambia originate in the internal part, from which new secondary vascular strands will originate, giving rise to the second successive vascular ring of the stem. The external part remains parenchymatous during the installation of the second ring and will undergo new periclinal division, repeating the entire process. New cambia will originate from the neoformed strands, which will form only rays. In the literature, successive cambia are formed by a meristem called "diffuse lateral meristem."However, based on the species of Menispermaceae studied in this report, it is demonstrated that the diffuse lateral meristem is the pericycle itself.

EVOLUTION OF DISPARITY BETWEEN THE REGULAR AND VARIANT PHLOEM IN BIGNONIEAE (BIGNONIACEAE)

Premise of the study: The phloem is a plant tissue with a critical role in plant nutrition and signaling. However, little is still known about the evolution of this tissue. In lianas of the Bignoniaceae, two distinct types of phloem coexist: a regular and a variant phloem. The cells associated with these two phloem types are known to be anatomically different; however, it is still unclear what steps were involved in the evolution of such differences. Methods: Here we studied the anatomical development of the regular and variant phloem in representatives of all 21 genera of Bignonieae and used a phylogenetic framework to investigate the timing of changes associated with the evolution of each phloem type. Key results: We found that the variant phloem always appears in a determinate location, between the leaf orthostichies. Furthermore, the variant phloem was mostly occupied by very wide sieve tubes and generally included a higher concentration of fibers, indicating an increase in conduction and mechanical support. On the other hand, the regular phloem included much more parenchyma, more and wider rays, and tiny sieve tubes that resembled terminal sieve tubes from plants with seasonal formation of vascular tissues; these findings suggest reduced conduction and higher storage capacity in the regular phloem. Conclusions: Overall, differences between the regular and variant phloem increased over time, leading to further specialization in conduction in the variant phloem and an increase in storage specialization in the regular phloem.

Separation and hedging results with state-contingent production

A state-contingent model of production under uncertainty is developed and compared with more traditional models of production under uncertainty. Producer behaviour with both production and price risk, in the presence and in the absence of futures and forward markets, is analysed in this state-contingent framework. Conditions for the optimal hedge to be positive or negative are derived. We also show that, under plausible conditions, a risk-averse producer facing price uncertainty and the ability to hedge price risk will never willingly adopt a nonstochastic technology. New separation results, which hold in the presence of both price and production risk, are then developed. These separation results generalize Townsend's spanning results by reducing the number of necessary forward markets by one.

A framework for valuing derivative securities

This paper develops a general framework for valuing a wide range of derivative securities. Rather than focusing on the stochastic process of the underlying security and developing an instantaneously-riskless hedge portfolio, we focus on the terminal distribution of the underlying security. This enables the derivative security to be valued as the weighted sum of a number of component pieces. The component pieces are simply the different payoffs that the security generates in different states of the world, and they are weighted by the probability of the particular state of the world occurring. A full set of derivations is provided. To illustrate its use, the valuation framework is applied to plain-vanilla call and put options, as well as a range of derivatives including caps, floors, collars, supershares, and digital options.

Disciplina 2.1: economia brasileira

A disciplina teve como principais conte??dos: a necessidade do Estado. Externalidades e bens p??blicos. Padr??es de interven????o do Estado e as fun????es econ??micas: alocativa, distributiva e estabilizadora. Equidade e efici??ncia. O financiamento do Setor P??blico. Sistema Tribut??rio Brasileiro. Pol??tica econ??mica: fiscal, monet??ria e cambial

Disciplina 2.2 - economia internacional

A disciplina teve como conte??dos: no????es de pol??tica cambial e de com??rcio exterior. Globaliza????o e seus impactos nas economias nacionais. Multilateralismo (institui????es financeiras multilaterais). A import??ncia dos bancos centrais. Rela????es econ??micas internacionais. Integra????o econ??mica (blocos econ??micos). Perspectivas da economia mundial

Disciplina 2.3: economia do setor p??blico

A disciplina teve como principais conte??dos: a necessidade do Estado. Externalidades e bens p??blicos. Padr??es de interven????o do Estado e as fun????es econ??micas: alocativa, distributiva e estabilizadora. Equidade e efici??ncia. O financiamento do Setor P??blico. Sistema Tribut??rio Brasileiro. Pol??tica econ??mica: fiscal, monet??ria e cambial

Disciplina 2.2: economia internacional

No????es de pol??tica cambial e de com??rcio exterior. Globaliza????o e seus impactos nas economias nacionais. Multilateralismo (institui????es financeiras multilaterais). A import??ncia dos bancos centrais. Rela????es econ??micas internacionais. Integra????o econ??mica (blocos econ??micos). Perspectivas da economia mundial

Disciplina 2.3: economia do setor p??blico

A necessidade do Estado. Externalidades e bens p??blicos. Padr??es de interven????o do Estado e as fun????es econ??micas: alocativa, distributiva e estabilizadora. Equidade e efici??ncia. O financiamento do Setor P??blico. Sistema Tribut??rio Brasileiro. Pol??tica econ??mica: fiscal, monet??ria e cambial

Impactos da desvalorização do real sobre o comércio entre o Brasil e a Argentina

O texto analisa os impactos da desvalorização do real sobre o comércio bilateral Argentina-Brasil e, também, sobre o Mercosul. Ademais, aborda também questões relativas a perspectivas futuras desse comércio.

A duration e um modelo alternativo: um teste empírico

Estratégias de hedge para portfólios de renda fixa são comumente baseadas na duration. Esse conceito foi desenvolvido tendo como pressuposto que alterações nas taxas de juros serão constantes para toda a estrutura a termo da yield curve, ou seja, que os deslocamentos na yield curve serão paralelos. Este artigo pretende testar esse pressuposto para o mercado futuro de DI1 da BM&F, tendo como base o ano de 1996. Além disso, o artigo compara estratégias de hedge baseadas na duration com estratégias cujo balanceamento é dado por um modelo alternativo que incorpora os efeitos de deslocamentos não-paralelos na yield curve.