A paper on monitoring hedge funds on a daily basis has won the Investment Management Consultants Association 2012 Journal of Investment Consulting academic paper competition.
The winning paper, “Monitoring Daily Hedge Fund Performance When Only Monthly Data is Available," addresses the time lag that confronts investors who wish to monitor their hedge funds on a daily basis.
The paper’s authors are Russ Wermers, associate professor of finance, Robert H. Smith School of Business, University of Maryland at College Park; Daniel Li, research analyst, Markov Processes International LLC; and Michael Markov, chairman, Markov Processes International LLC. The paper will be published in the next issue of the Journal of Investment Consulting. Winners receive a $5,000 cash award.
“The authors provide valuable insight into a new approach to monitoring the daily risk of investing in hedge funds,” says Margaret M. Towle, Journal of Investment Consulting editor-in-chief. “The winning paper illustrates a useful process for accurately forecasting daily returns of hedge funds, which helps advisors and investors to better weigh the risk and value within their portfolios.”
The competition called for papers on topics that examine recent research relevant to investment consulting and private wealth management, and provide a development of theory and applied research related to risk management.
“Consultants and advisors to hedge fund investors have long been plagued by the lack of transparency associated with privately managed funds,” says Markov. “Even for portfolios that have the luxury of real-time data and transparency, risk has proven difficult to assess and manage in the post-crisis world; for hedge fund investors, this has been magnified.”
