New Study on Hedge Fund Measures of Risk
François-Éric Racicot has published a group of studies on measurement errors in financial models of returns. Errors in measurement have been linked to significant losses in the financial sector, prompting the need to re-examine the factors used in asset pricing models. Other trends like the rise of shadow banking have also lent urgency to the discussion.
Much of Racicot’s research has centred on developing hedge fund measures of risk. Broadly, it uses the techniques of financial econometrics to better account for risk and bring less volatility to these sometimes controversial investment vehicles.
Over the past decade, Professor Racicot has looked at how different models could reflect the new dynamics of financial markets and the procyclicality of hedge fund returns. He developed a new estimator tool for panel data (or longitudinal data) models. It was shown empirically to perform better – producing less biased results – than traditional estimator instruments. The results have been published in Applied Economics (2015) and La Revue des Sciences de Gestion (2015).
More about the researcher:
Professor Racicot recently joined the editorial board of the Journal of Asset Management, among other peer-reviewed journals, and is a member of the CPA-Canada Accounting and Governance Research Centre. A member of the finance sector at the Telfer School since 2012, he is the author of several books and articles on quantitative finance and financial econometrics. His recent publications include Traité de gestion de portefeuille: titres à revenu fixe et produits structurés avec applications Excel-VBA (2015), Presses de l’Université du Québec (with R. Théoret) as well as articles in Journal of Derivatives & Hedge Funds (2014) 20.