Style Analysis and Classification of Hedge Funds.
New York, NY (PRWEB) September 28, 2007 -
Lehman Brothers' research on the classification of hedge fund investment styles is one of this year's Martello Award winners for best research article in alternative investments.
Lehman Brothers' research authors Arik Ben Dor, Lev Dynkin, and Anthony Gould showed that there are inconsistencies between the actual and self-proclaimed hedge fund styles. They won the award for Best Practitioner Article, for their article "Style Analysis and Classification of Hedge Funds."
Sharing the honor with Lehman's team for Best Practitioner Article were Ben Branch of the University of Massachusetts Amherst and Taewon Yang of California State University, for their article "Merger Deal Structures and Investment Strategies." The authors found that the level of wealth protection for the target firm's shareholders is likely to improve both the performance of merger/risk arbitrage trading positions and the chance of merger completion.
In the category of Best Academic Article, IXIS Corporate & Investment Bank, a subsidiary of Natixis, took the top award. Florent Pochon and Jérôme Teïletche penned the award-winning article "A Conditional Approach to Hedge Fund Risk." The authors applied a two-step conditional Bayesian approach to hedge fund risk. This approach has several advantages given specific features of hedge funds returns, notably non-linear exposure to standard assets returns and short sample history.
David McCarthy, Managing Partner and Chief Investment Officer of Martello Investment Management L.P., congratulated the recipients,
"This year's winners have produced exceptional research that will contribute to investors' understanding of investment strategies and portfolio return and risk characteristics. We wish them continued success."
The annual Martello Award is sponsored by Martello Investment Management L.P., a specialist fund of funds and advisory firm based in Massachusetts. It honors the best research articles published in Institutional Investor, Inc.'s The Journal of Alternative Investments. Winners were chosen by the Editorial Advisory Board of The Journal of Alternative Investments.
2007 Martello Award − Best Practitioner Article
Style Analysis and Classification of Hedge Funds
by Arik Ben Dor, Lev Dynkin, and Anthony Gould of Lehman Brothers
Merger Deal Structures and Investment Strategies
by Ben Branch of the University of Massachusetts Amherst and Taewon Yang of California State University
2007 Martello Award − Best Academic Article
A Conditional Approach to Hedge Fund Risk
by Florent Pochon and Jérôme Teïletche of IXIS Corporate & Investment Bank
About The Journal of Alternative Investments
The Journal of Alternative Investments, published by Institutional Investor, Inc., provides readers with cutting-edge research and strategies on managing investments in hedge funds, private equity, distressed debt, commodities, futures, energy, timber, funds of funds, and other non-traditional instruments. It is the official publication of the Chartered Alternative Investment Analyst (CAIA) Association. http://www.iijai.com
About Martello Investment Management L.P.
Martello Investment Management provides investment advisory services concentrating on alternative investment managers that employ tactical trading strategies. These managers participate in global currency, fixed income, commodity and equity markets. The trading strategies, which span a range of distinct investment styles, tend to be shorter term relative to other alternative investment styles and are often able to respond rapidly to changes in the macro economic environment. Portfolios of these trading strategies may offer diversification benefits to traditional investment portfolios and to those comprised of other alternative investments.
Discretionary and quantitative global macro, trend, systematic non-trend, relative value, regional and resource are some of the trading strategies that encompass the range of alternative investment managers reviewed by Martello. http://www.martellofunds.com