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Systematic Absolute Return’s Survey Findings

Wednesday, June 13, 2007
ABL was preferred amongst the asset finance strategies. It was followed by PIPEs, ABS and ABI. At the tail end of the sample were CDO’s and MBS..

A SQUARE :: 13Jun07 Systematic Absolute Return’s Survey Findings
Category Asset Finance
Faculty Fabrizio Ladi Bucciolini
Expertise ABI
Author Sona Blessing
Faculty Name
When compared with other hedge fund strategies, there is no real difference in how tail risk is defined in the asset finance space. A closer look at the tail events in certain option arbitrage strategies, tend to show a similar profile - high Sharpe ratios, no negative months, uncorrelated returns - until a tail event strikes. To make my point, it is the cause(s), not the structure of the outcome that tends be the real differentiator.
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