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Seminars

Dangerous Attractions: Informationless Investing and Hedge Fund Performance Measurement Bias

Date: 11-17-2003
Start Time: 5:30pm
End Time: 7:00pm
Speaker: Andrew Weisman, Strativarius Partners
Location: Hamilton 717

ABSTRACT

Asset managers have the ability to engage in essentially informationless investment strategies that can produce the appearance of return enhancement without necessarily providing any value to an investor. Statistical estimates of risk, return, and association therefore frequently mischaracterize investment returns. These mis-characterizatons have significant negative implications for both the asset allocation process and the validity of related academic research. The purpose of this paper, therefore, is to present three specific informationless investment strategies which the author believes are particularly endemic to the hedge fund industry and their consequences with respect to performance measurement and asset allocation.

BIO

Mr. Weisman is responsible for risk management and research at Strativarius. Prior to founding Strativarius, Andrew B. Weisman was the Chief Investment Officer of The Nikko Securities Co. International, Inc. (Nikko) since 1998. He has developed several risk management products, analytical tools and trading methodologies used by Nikko and other money management firms. These products include the Call Option Linked Trust (COLT) developed for Cargill Financial Services, the Volatility Hedging Program developed in cooperation with Jerome Abernathy of Stonebrook, and Generic Model Decomposition, a style analysis technique. His previous professional experience includes his position as head of Bankers Trusts Automated Currency Trading Unit, Director of Currency Fund Management for Credit du Nord, USA and senior asset manager for Commodities Corporation (Goldman Sachs Princeton), LLC. Mr. Weisman is a graduate of Columbia College where he earned a Bachelor of Arts in Philosophy and Economics in 1982. He attended the Columbia University School of International and Public Affairs and earned a Masters of International Affairs, specializing in International Business in 1983. He was awarded a Doctoral Fellowship to Columbia Universitys Graduate School of Business and completed all of the course work and comprehensive examinations toward a Ph.D. Mr. Weisman was recently awarded the Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article published in the Journal of Portfolio Management during the Volume Year 2002-200.

Mr. Weisman's publications include:
1)Conservation of Volatility and the Interpretation of Hedge Fund Performance - AIMA Newsletter, June/July, 1999
2)Sleepless in St. Petersberg - AIMA Newsletter, September, 2000
3)The Dangers of Historical Hedge-Fund Data - Co-Authored with Jerome Abernathy. Published in Risk Budgeting: A New Approach to Investing. Edited by Leslie Rahl, Risk Books, 2000
4)The Dangers of Historical Hedge-Fund Data - The Journal of Investment Consulting. Volume 4, Number 1, December 2000
5)Dangerous Attractions: Informationless Investing and Hedge Fund Performance Measurement Bias - Journal of Portfolio Management. Summer 2002. Winner of the Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article published in the Journal of Portfolio Management during the Volume Year 2002-2003 and Peer-Rated as best paper at the April 2001 Institute for Quantitative Research in Finance (The Q-Group) conference
6)The New Diversification Testament - Co-Authored with Timothy Birney. A Guide to Fund of Hedge Funds Management and Investment, 2002, Edited by Leslie Rahl