Archive | August 2012

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One Man’s Junk May Be Another’s Treasure – Junk Bonds Market 高收益债券

Many companies rated below investment grade are creditworthy enough and should have access to the new issue market. Weaker companies simply could issue new bonds at higher coupons. On one hand, junk bonds do not correlate exactly with either investment-grade bonds or broad stock markets; on the other, managers can explore different investment opportunities that […]


Equity Funds: Larger Cap or Smaller Cap? 股票基金:大市值还是小市值?

Equity fund investors make stock purchases based on the belief that past returns are indicators of future performance, but whether size matters has been underestimated, especially for mutual fund investors, who belong to the so-called “loss averse” group. Why are small equity funds not in favor? The effect of fund size on fund returns is […]

Allocation in Hedge Fund of Funds 对冲基金配置

One of the main reasons that institutional investors include hedge funds in their portfolios is the expected diversification benefits with existing array of investment opportunities. In the U.S., institutions such as endowments and foundations are still increasing the allocation to hedge funds, despite the fact that hedge funds in general have underperformed in recent years. […]

Time Series Momentum, Cross-Sectional Momentum, Market Return Drivers 时间序列动量 横截面分析

Traditionally, annualized return volatility is believed to decrease over long periods because of mean reversion. In fact, stocks are more volatile over long periods because of parameter uncertainty. In order to better understand capture the determinants of future outperformance, we have spent great efforts in research from both quantitative and qualitative perspectives. Time Series Momentum […]

Endowment Model, Liquidity Stress Test, Liquidity Schedule 捐赠基金模型下的流动性风险压力测试

All investment portfolios should be individually structured to meet clients’ objectives, cash flow requirements, and their tolerance for risk. Similar to diversification across asset classes, market capitalization, and geographic exposures, a portfolio’s liquidity profile is a vitally important consideration in portfolio design, especially for endowments. Endowment Model One of the distinctive innovations of the endowment […]