Derivatives and Hedge Funds
Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due
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Edited by Stephen Satchell
Derivatives and Hedge Funds
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Derivatives and Hedge Funds Edited by
Stephen Satchell Professor of Finance, Sydney University, Australia
Selection and editorial matter © Stephen Satchell 2016 Chapters © Contributors 2016 Chapters originally published in The Journal of Derivatives and Hedge Funds by Palgrave Macmillan (various years) All rights reserved. No reproduction, copy or transmission of this publication may be made without written permission. No portion of this publication may be reproduced, copied or transmitted save with written permission or in accordance with the provisions of the Copyright, Designs and Patents Act 1988, or under the terms of any licence permitting limited copying issued by the Copyright Licensing Agency, Saffron House, 6–10 Kirby Street, London EC1N 8TS. Any person who does any unauthorized act in relation to this publication may be liable to criminal prosecution and civil claims for damages. The authors have asserted their rights to be identified as the authors of this work in accordance with the Copyright, Designs and Patents Act 1988. First published 2016 by PALGRAVE MACMILLAN Palgrave Macmillan in the UK is an imprint of Macmillan Publishers Limited, registered in England, company number 785998, of Houndmills, Basingstoke, Hampshire RG21 6XS. Palgrave Macmillan in the US is a division of St Martin’s Press LLC, 175 Fifth Avenue, New York, NY 10010. Palgrave Macmillan is the global academic imprint of the above companies and has companies and representatives throughout the world. Palgrave® and Macmillan® are registered trademarks in the United States, the United Kingdom, Europe and other countries. ISBN 978-1-349-55828-5 ISBN 978-1-137-55417-8 (eBook) DOI 10.1057/9781137554178
This book is printed on paper suitable for recycling and made from fully managed and sustained forest sources. Logging, pulping and manufacturing processes are expected to conform to the environmental regulations of the country of origin. A catalogue record for this book is available from the British Library. A catalog record for this book is available from the Library of Congress. Typeset by MPS Limited, Chennai, India.
Contents List of Figures, Tables and Boxes
vii
Preface
xvi
Part I Hedge Funds 1 Frictional Costs of Diversification: How Many CTAs Make a Diversified Portfolio? Bernd Scherer
3
2 Crude Oil Futures Markets: Another Look into Traders’ Positions Damir Tokic
20
3 Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach Ryan J. Davies, Harry M. Kat and Sa Lu
45
4 A Primer on Structured Finance Andreas A. Jobst
72
5 Value at Risk, GARCH Modelling and the Forecasting of Hedge Fund Return Volatility Roland Füss, Dieter G. Kaiser and Zeno Adams
91
6 Index Futures Trading, Information and Stock Market Volatility: The Case of Greece Christos Floros and Dimitrios V. Vougas
118
7 Modelling and Trading the Gasoline Crack Spread: A Non-Linear Story Christian L. Dunis, Jason Laws and Ben Evans
140
8 The Relation
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