Noise as Information for Illiquidity: We propose a measure of liquidity for the overall financial market by exploiting its connection with the amount of arbitrage capital in the market and observed price deviations in US Treasuries.The Risk Map: A New Tool for Validating Risk Models: This paper presents a new method to validate risk models: the Risk Map. This method jointly accounts for the number and the magnitude of extreme losses and graphically summarizes all information about the performance of a risk model. We show that the Risk Map can be used to validate market, credit, operational,...

Alpha Generation and Risk Smoothing using Volatility of Volatility: We put forward a framework that produces a formulain which returns become a function of volatility and therefore become somewhat morepredictable. We show that this strategy produces excess returns giving us the upside of leverage without the downside.The Cross Section of Expected Returns with MIDAS Betas: This paper employs mixed data sampling (MIDAS) to estimate a portfolio’s conditional beta with the market and with alternative risk factors. We show that beta estimates under MIDAS present lower mean absolute forecasting...

Just how much do the Worlds richest hedge fund managers make? This infographic explores who earned the most last year and just what a millionaire hedge fund manager looks like. It uncovers the truth about how many women are in the upper leagues of hedge fund management and breaks down the elite group by age revealing what the typical millionaire manager is like.Many people grossly mis-estimate just how much hedge fund managers make, often quoting celebrities they assumed to of earned more. The fact is that this elite group generally goes by unreported and anonymous despite the fact they make...