IMCA awards prize in first academic paper competition
By Barry B. Burr | January 10, 2013 3:23 pm
Associate professor Russell R. Wermers won the Investment Management Consultants Association's $5,000 academic paper competition for “Monitoring Daily Hedge Fund Performance When Only Monthly Data is Available,” confirmed spokesman Ryan Hoffman.
Mr. Wermers, associate professor of finance at Robert H. Smith School of Business, University of Maryland, College Park, co-authored the paper with Daniel Li, research analyst at Markov Processes International, and Michael Markov, Markov chairman.
The paper “introduces a new approach to monitoring the daily risk of investing in hedge funds,” according to the authors' abstract.
The paper, available at Social Science Research Network's website, ”addresses the common problem that confronts investors who wish to monitor their hedge funds on a daily basis — disclosure of returns by funds occurs only at a monthly frequency, usually with a time lag.”
“We show that our replication approach can be used to forecast daily returns of long/short hedge funds,” the abstract states. “In addition, for diversified portfolios such as hedge fund indices and funds-of-hedge-funds, it forecasts daily returns very accurately.”
Mr. Markov said in an IMCA news release: “Consultants and advisers to hedge fund investors have long been plagued by the lack of transparency associated with privately managed funds. Even for portfolios that have the luxury of real-time data and transparency, risk has proven difficult to assess and manage in the post-crisis world; for hedge fund investors, this has been magnified.”
The competition, IMCA's first, was open to non-tenured faculty and doctoral students and received 10 submissions, judged in a blind review process by the Journal of Investment Consulting's editorial advisory board.
The journal, which IMCA owns, plans to publish the paper in its next issue, expected sometime in spring, Mr. Hoffman said.
IMCA plans to open a new academic paper competition later this year, Mr. Hoffman said, noting details are being developed.