LSV asset management: LSV came from the name of three founders, Josef Lakonishok, Andrei Shleifer , Robert Vishny, and the idea of setting up a hedge fund by using implementable strategies from academics came from a famous paper by them-Contrarian Investment, Extrapolation and Risk.
Mark Carhart: 不错，就是那个把momentum factor加到三因子模型里的那个人。GS Asset Management quantitative strategy head, 做的好像很不错，在GS不好混的。
Fuller & Thaler Asset Management: Richard Thaler 行为金融做的那么牛，当然也就心痒痒要验证一下自己的理论到底能不能赚到钱啦。
Platinum Grove Asset Management： Chifu Huang和Scholes在LTCM倒闭后搞得，还是一样的fixed income arbitrage，不过leverage没有那么高了，年华收益率10%，还不错。
QFS Asset Management： Grossman搞的，想当年学术界有句话， As clever as Grossman， 如果坚持做学术，Grossman拿诺奖是迟早的事。
AQR Capital: 是目前把学术研究应用于对冲基金做的最好的人之一，Founder是Fama的学生，文笔极好，他的管理团队可以比得上一个top 10学校的金融师资。2004年他有一篇很有名的empirical paper, Value and Momentum everywhere，发在JF上了。我举几个人吧，Lasse H. Pedersen（NYU教授，liquidity based asset pricing, 非常厉害）， Mark Mitchell（做M & A的同学应该都知道此人吧，做M & A 方向绝对大牛) 。 AQR (applied quantitative research) capital management has strong ties with finance academics both in methodology used and personnel recruited. The founder, Clifford S. Asness, graduated from Chicago Booth Finance, former head of GS asset management, actively participated in finance academic and journals. Most of partners are also honored scholars from famous finance department and there are numerous papers listed on their website. According to Asness, AQR is not only using statistical analysis do investing, they want something with stories behind. AQR is one of classic examples where a hedge fund interacts with finance academics actively.
现在学术界performance evaluation对寻找alpha的要求越来越高了，要用各种多因子模型加 conditional asset pricing model 来做bench mark。有兴趣的同学可以看看Cochrane的关于hedge fund的演讲，虽然我不完全同意。basically, there is no alpha vs. beta. There isonly beta you understand and beta you don’t understand. 所以hedge fund风险回报率高没有什么稀奇的，你也可以把别人不知道的beta包装成alpha拿去忽悠。
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发表于 2012-5-4 13:23:04
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楼主
发表于 2012-5-6 07:46:51
