Active Management
As capital markets have continued to evolve the role of active asset management has changed. Increasingly investment decisions are made across a range of liquid, semi-liquid, and illiquid investment vehicles that span public and private markets. The Active Management Research Alliance seeks to better understand how the investment management process is impacted by the increased adoption of “alternative investments.”
The primary area of focus currently is the intersection of public and private markets and the role of hedge funds in the financial intermediation process. The Hedge Fund industry has grown to over 3 trillion USD in assets under management yet research on investment strategies and portfolio benefits related to hedge funds has lagged this growth. The deficit is largely due to low-quality data on funds because of limited public disclosure requirements. AMRA works with industry partners to expand the breadth and depth of hedge fund data available to academic researchers.
Latest Active Management Research
How Do Financial Expertise and Networks Affect Investing? Evidence from University Endowments
Working Paper
We examine the links between human capital and endowment investing. Harnessing detailed information on university endowments, we find that higher asset allocations to alternative assets accompany higher levels of human capital in the endowment’s investment process. Moreover, high levels of human capital are linked to larger returns, even on a risk-adjusted basis. More
Hedge Funds and the Treasury Cash-Futures Disconnect
Working Paper
We document the rise and fall of an arbitrage trade among hedge funds known as the Treasury cash-futures basis trade. This trade exploited a fundamental disconnect between cash and futures prices of Treasuries. We show that in recent years a replicating portfolio of Treasury bills and futures has been overvalued relative to Treasury notes and bonds, creating an opportunity for arbitrageurs. More
The Hedge Fund Industry is Bigger (and has Performed Better) Than You Think
Working Paper
Of first-order importance to the study of potential systemic risks in hedge funds is the aggregate size of the industry. The worldwide hedge fund industry has been estimated by regulators and industry experts as having total net assets under management of $2.3–3.7 trillion as of the end of 2016. More