Fabrice Rouah

Large versus Small Hedge Funds: Does Size Affect Performance?

The authors examine the returns of hedge funds and funds of hedge funds from 1994 to 1999 to determine whether the size of a fund affects its performance. Previous studies investigating this relationship for mutual funds have yielded mixed conclusions. Among academics, fund size is frequently cited as a deterrent to performance enhancement, especially when a substantial amount of cash is continually injected into the fund. The results of this study suggest that the size of a hedge fund or a fund of hedge funds has no impact on its performance.

Hemostatic Markers in Patients at Risk of Cerebral Ischemia

BACKGROUND Increased levels of markers of hemostasis may assist in the determination of the extent of carotid occlusive disease and the identification of neurologically intact individuals at increased risk of ischemic events. METHODS We conducted a prospective study of 304 subjects, including 82 with a recent (< or =7 days) transient ischemic attack (TIA), 157 asymptomatic individuals with a cervical bruit, and 65 control subjects. Baseline evaluation included a neurological assessment, ECG, cervical ultrasonography, and cerebral CT and/or MRI. Levels of markers of coagulation and fibrinolytic activity were also determined. Results were analyzed in relation to the degree of carotid disease and the subsequent occurrence of cerebral and cardiac ischemic events. RESULTS Over a mean follow-up period of 2.8 years (SD, 1.3 years), 114 ischemic events occurred. Survival analyses showed that prothrombin fragment 1.2 (F(1.2)) was a predictor of time to cerebral and cardiac ischemic events in the combined TIA and asymptomatic bruit group (relative risk [RR], 1.46; 95% CI, 1.18 to 1.81) as well as in the asymptomatic bruit group separately (RR, 1.70; 95% CI, 1.14 to 2.53). In the TIA group, both F(1.2) (RR, 2.36; 95% CI, 1.19 to 4.68) and severe (> or =80%) carotid stenosis (RR, 3.53; 95% CI, 1.19 to 10.51) were predictive of time to ischemic stroke, myocardial infarction, or vascular death. CONCLUSIONS In patients with TIAs and in asymptomatic individuals with cervical bruits, F(1.2) levels were found to be independent predictors of subsequent cerebral and cardiac ischemic events. Our results are consistent with an active role of the coagulation system through upregulation of thrombin in carotid disease progression and in the pathogenesis of ischemic events in patients at risk.

Patient controllediv analgesia is an acceptable pain management strategy in morbidly obese patients undergoing gastric bypass surgery. A retrospective comparison with epidural analgesia

PurposeTo examine the hypothesis that pain treatment with patient controlled analgesia (PCA) usingiv morphine is a suitable and safe alternative to epidural analgesia in morbidly obese patients undergoing gastric bypass surgery. We retrospectively compared the postoperative periods in all patients undergoing this procedure in our institution between November 1999 and November 2001.MethodsAccording to their perioperative pain treatment, patients were assigned to a PCA group (withiv morphine) or an epidural analgesia group, in which patients received either intermittent doses of morphine or continuous infusions of bupivacaine/fentanyl. Study endpoints included quality of pain control, incidence of cardiovascular and respiratory complications, analgesia related side effects, time to ambulation and first flatus, length of hospital stay, and wound infections.ResultsData from 86 patients were analyzed with 40 patients in the PCA group and 46 patients in the epidural group. Groups were similar with respect to age, body mass index, and gender. The type of analgesia did not affect the quality of pain control at rest, the frequency of nausea and pruritus, the time to ambulation and return of gastrointestinal function, and the length of hospital stay. Patients receiving epidural analgesia had a greater risk of wound infection than subjects with PCA (epidural group: 39%, PCA group: 15%,P = 0.01).ConclusionWe conclude that in grossly obese patients undergoing gastric bypass surgery PCA withiv morphine is an acceptable strategy for pain management and may confer some advantages when compared to epidural analgesia.RésuméObjectifVérifier l’hypothèse voulant que le traitement de la douleur par l’analgésie autocontrôlée (AAC), avec de la morphine iv soit appropriée et sans risque pour remplacer l’analgésie péridurale chez les patients atteints d’obésité morbide qui subissent un pontage gastrique.MéthodeNous avons comparé, rétrospectivement, la période postopératoire pour tous les patients qui ont subi cette intervention à notre institution entre novembre 1999 et novembre 2001. Selon l’analgésie périopératoire reçue, les patients ont été assignés à un groupe d’AAC (avec de la morphine iv ) ou à un groupe d’analgésie péridurale, soit avec des doses de morphine intermittentes, soit des perfusions continues de bupivacaïne/fentanyl. Les paramètres étudiés ont été la qualité de l’analgésie, l’incidence de complications cardiovasculaires et respiratoires, les effets secondaires reliés à l’analgésie, la durée écoulée avant le premier lever et le retour du péristaltisme gastrointestinal, la durée du séjour hospitalier et les infections de la plaie chirurgicale.RésultatsLes données de 86 patients ont été analysées, 40 du groupe d’AAC et 46 du groupe d’analgésie péridurale. Les groupes étaient comparables quant à l’âge, l’index de masse corporelle et le sexe. Le type d’analgésie n’a pas affecté la qualité de l’analgésie au repos, la fréquence de nausée et de prurit, le temps écoulé avant de pouvoir se lever et avant le retour du péristaltisme gastrointestinal, et la longueur du séjour hospitalier. Les patients sous analgésie péridurale présentaient un risque plus élevé d’infection de la plaie que les sujets sous AAC (péridurale : 39%, AAC : 15%, P = 0,01).ConclusionChez les patients très obèses, devant subir un pontage gastrique, l’AAC avec de la morphine iv est une stratégie d’analgésie acceptable et peut présenter certains avantages par rapport à l’analgésie péridurale.

Obstetrical factors related to nuchal cord

Background. To investigate the intrapartum factors related to umbilical cord nuchal loops (nuchal cord) with particular reference to shoulder dystocia.

Simple and cross efficiency of CTAs using data envelopment analysis

Abstract Data envelopment analysis (DEA) is applied, and basic and cross-efficiency models are used to evaluate the performance of CTA classifications. With the ever-increasing number of CTAs, there is an urgent requirement to provide money managers, pension funds, and high-net-worth individuals with a trustworthy appraisal method in ranking their efficiency. DEA can achieve this, and one important benefit of this measure is that benchmarks are not required, thereby alleviating the problem of using traditional benchmarks to examine non-normal returns. This article aims to investigate CTAs and to identify the ones that have achieved superior performance or, in other words, have an efficiency score of 100 in a risk/return setting.

On the Market Timing of Hedge Fund Managers

In this article, the authors evaluate whether directional hedge fund managers benefit from market timing in investment strategies. Analysis of a sample of current and defunct onshore and offshore funds does not reveal any significant market-timing alpha. Most hedge fund managers exhibit good security selection skill, which tends to be negatively correlated with market-timing ability, but not correlated with asset size or age of the fund. Tests of single- and multi-index models are consistent with published findings in the mutual fund literature that the hedge fund returns exhibit low correlation with market index returns.

Do Stock Market Indices Move the Ten Largest Hedge Funds? A Cointegration Approach

This article investigates the long-term relationships between the ten largest hedge funds in the Zurich database and four stock market indices over a ten-year period, using time series analysis and cointegration. We find that most of the time series examined contain a single unit root. Our results provide evidence that, in general, hedge funds do not appear to track any of the specific benchmarks used in this study. Future research will emphasize more style pure hedge funds with associated indices.

Random Walk Behavior of CTA Returns

This article examines whether CTA percent changes in NAVs follow random walks. Monthly data from January 1994 to December 2000 are tested for nonstationarity and random walk with drift, using the Augmented Dickey-Fuller test. All classifications (except the Diversified sub-index) are found to behave as random walks, but many of the series show evidence of a positive drift parameter, an indication that trends could be present in the series. The effectiveness of CTAs in enhancing risk-return characteristics of portfolios could be compromised when pure random walk behavior is identified.

Performance of the Largest CTAs in Negative S&P 500 Months and Extreme Market Events

Since the early 1990s Commodity Trading Advisors (CTAs) have done well, but in recent extreme market events and negative S&P 500 months, they have significantly outperformed hedge funds and market indices. The authors conclude that the trend by pension fund managers as well as wealthy individuals toward increasing their exposure to CTAs as complementary alternative investment vehicles in traditional stock, bond, and hedge fund portfolios makes sense, suggesting that they have understood the diversification benefits inherent in these strategies.

Simple hedge fund strategies as an alternative to funds of funds: Evidence from large-cap funds

Publisher Summary This chapter proposes a simple alternative to investing in funds of funds. In order to avoid a second layer of management and performance fees, it constructs simple equal-weighted portfolios of large-capitalization hedge funds whose performance characteristics dominate those of the largest funds of funds. The portfolios constructed contains a maximum of four hedge funds, equally weighted in the portfolio. The information used for fund selection is restricted to size and past performance. The performance of the two investment possibilities are compared by using three different measures, namely alpha, the Sharpe ratio, and the information ratio. The results demonstrate that there exists sufficient persistence in returns, especially for nondirectional strategies, which let these simple portfolios of hedge funds outperform the best funds of funds based on all three measures. The dominance holds for the total sample period but, more importantly, when the sample is split in two subperiods of equal length. The Sharpe ratio is the best measure for evaluate persistence from one period to the next and, to a lesser extent, the information ratio.