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Distinguished Lecture Series: Dr. Marco Avellaneda Quantitative�Hedge-Funds�and�Strategies:�Myths�and�Realities

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Distinguished Lecture Series: Dr. Marco Avellaneda Quantitative�Hedge-Funds�and�Strategies:�Myths�and�Realities
Minnesota Center for Financial and Actuarial Mathematics
Distinguished Lecture Series:
Dr. Marco Avellaneda
Quantitative�Hedge-Funds�and�Strategies:�Myths�and�Realities
Quantitative�strategies�which,�at�certain�points�in�recent�history,�
have�generated�positive�returns�for�investors�are�reviewed.�These�
are:�(1)�statistical�arbitrage,�(2)�long�volatility/variance,(3)�
commodities�yield-curve�trading�and�(4)�ETF�arbitrage�and�highfrequency�trading.�The�profitability�of�these�quantitative�strategies�
will�be�analyzed�across�the�economic�cycle.�The�conclusion�is�that,�
aside�from�(3),�"quant"�strategies�are�appropriate�when�markets�
are�volatile�and�"trend-less".�In�contrast,�commodity�yield-curve�
strategies�work�well�in�trending�markets,�particularly�when�trending�
to�the�upside.�Following�this,�the�broader�question�of�profitability�
of�hedge-funds�is�addressed.�Some�myths�and�realities�associated�
with�them�are�discussed,�and,�in�particular,�empirical�findings�
which�predict�the�overall�size�of�the�hedge-fund�industry�compared�
with�all�investments.�
Biography
Dr.�Marco�Avellaneda�is�a�Professor�of�Mathematics�
at�the�Courant�Institute�of�Mathematical�Sciences�at�
New�York�University.�Since�1998�he�has�been�the�
director�of�the�Division�of�Financial�Mathematics.�His�
research�interests�include�probability,�partial�
Friday,�March�30,�2012
differential�equations,�applied�mathematics,�
Tea�at�4:45�p.m.,�Vincent�Hall�120
quantitative�modeling�in�finance,�homogenization,�
Lecture�at�5:30�p.m.,�Vincent�Hall�16
and�turbulence�theory.�He�wrote�"Quantitative�
Twin�Cities�Campus,�East�Bank
Modeling�of�Derivative�Securities:�From�Theory�to�
Practice,"�and�Risk�Magazine�named�him�their�2010�
Quant�of�the�Year.�
www.math.umn.edu/mcfam/distinguished-lectures
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University of Minnesota. Reprinted with permission. The University of Minnesota is an equal opportunity educator and employer.
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