Prof. David A. Hsieh

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  www.irc-conferences.com/2008/altbeta/Custom_15628.stm - [Cached Version]
  Published on: 2/13/2007    Last Visited: 10/25/2007  

  Not surprisingly, since SSgA's replicator has been developed, Bill Fung, David Hsieh and Narayan Naik have been working together on it.
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  Mr. Hsieh is Bank of America Professor of Finance in North Carolina's Duke University.
  
  "Bill and I have been working on identifying the components of hedge fund returns for 10 years," said Mr. Hsieh in a conversation with HedgeWorld earlier this month.
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  Fung, Hsieh and Naik have studied extensively.
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  "We're tracking general trends," Mr. Hsieh said.
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  Further, noted Mr. Hsieh, the risk management of the portfolio is guided by the decisions made by the individual investor, "so their asset allocation tells us where they want concentrated risks and where they don't."
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  "If someone could replicate the performance of illiquid securities, they'd have launched a product on the market by now," added Mr. Hsieh.
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  First, JP Morgan has partnered with three academics that have led the research in the field of hedge fund replication tools: Bill Fung and Narayan Naik from the London Business School and David Hsieh from Duke University.
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  Fung, Hsieh and Naik, known in the academic world under the FHN acronym.
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  Only able to attend one of these three events, Alpha Male eschewed the movie stars and super models and chose instead to spend the week with hedge fund stars such as Fung, David Hsieh, and Lars Jaeger.
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  David A. Hsieh, a finance professor at the Fuqua School of Business at Duke University, said:"Even if the replication strategies work, they will not deliver 'alpha.' " The term alpha refers to a manager's ability to produce returns above the overall market's average or better than a benchmark, such as the Standard & Poor's 500-stock index.Beta, on the other hand, measures an investment's volatility relative to the market, and has in broad usage come to mean the return one gets from market movements.Because a hedge fund's alpha portion comes from unknown trading strategies or unknown dynamic allocation to trading strategies, it can't be replicated, Mr. Hsieh said.Passive investing has transformed traditional investing, as index funds have garnered a significant share of mutual-fund and institutional assets.
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  David A. Hsieh, Professor of Finance, Duke University
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  Not surprisingly, since SSgA's replicator has been developed, Bill Fung, David Hsieh and Narayan Naik have been working together on it.
  ...
  Mr. Hsieh is Bank of America Professor of Finance in North Carolina's Duke University.
  
  "Bill and I have been working on identifying the components of hedge fund returns for 10 years," said Mr. Hsieh in a conversation with HedgeWorld earlier this month.
  ...
  Fung, Hsieh and Naik have studied extensively.
  ...
  "We're tracking general trends," Mr. Hsieh said.
  ...
  Further, noted Mr. Hsieh, the risk management of the portfolio is guided by the decisions made by the individual investor, "so their asset allocation tells us where they want concentrated risks and where they don't."
  ...
  "If someone could replicate the performance of illiquid securities, they'd have launched a product on the market by now," added Mr. Hsieh.
  ...
  First, JP Morgan has partnered with three academics that have led the research in the field of hedge fund replication tools: Bill Fung and Narayan Naik from the London Business School and David Hsieh from Duke University.
  ...
  Fung, Hsieh and Naik, known in the academic world under the FHN acronym.

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  www.joimconference.com/conferences/fall08/bios.asp - [Cached Version]
  Published on: 9/6/2008    Last Visited: 9/6/2008  

  David A. Hsieh, Duke University
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  David A. Hsieh is Bank of America Professor of Finance at the Fuqua School of Business, Duke University.Professor Hsieh obtained his B.S. in Economics and Mathematics from Yale University and a Ph.D. in Economics from the Massachusetts Institute of Technology.He taught at the Graduate School of Business, University of Chicago from 1981 to 1989.He joined the Fuqua Faculty in 1989.
  
  Professor Hsieh's current research focuses on the style, risk, and performance evaluation of hedge funds.This research has been featured in the Review of Financial Studies, Journal of Empirical Finance, Journal of Fixed Income, Financial Analysts Journal and the Journal of Portfolio Management.He has been invited to give presentations on hedge funds to academics, regulators, and institutional investors.Professor Hsieh has also worked in the area of statistical modeling of high frequency financial data, especially volatility clustering in stocks, bonds, and foreign exchange.The results have been published in the Journal of Business, the Journal of Business and Economic Statistics and the Journal of Finance, and the Journal of International Economics.
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  Professor Hsieh won the Smith-Breeden First Prize for the best paper in the Journal of Finance in 1990 with Nobel Laureate Merton Miller, and the Fischer Black Memorial Foundation's 1999 Robert J. Schwartz Memorial Prize for the best paper on hedge funds with William Fung.
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  Professor Hsieh teaches Global Financial Management, Fixed Income Securities & Risk Management, International Corporate Finance, and Investments & Portfolio Management.

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  www.irc-conferences.com/2008/altbeta/speakerList.stm - [Cached Version]
  Published on: 1/1/2008    Last Visited: 1/23/2008  

  Speakers list | speakers | Speakers list | Professor Narayan Naik | Professor David Hsieh | Mr Peter Norman | Dr Terence Moll | Mr Richard H. Van Horne | Dr Lars Jaeger | Mr Jordan Drachman | Mr Oliver Schupp | Mr Yazid Sharaiha | Professor Bill Fung | Mr Tony Morris | Mr Gaurav Amin | Mr Gabriel Bousbib | Mr Michael Turner | Dr Nicholas Verwilghen | Mr Galin Georgiev | Dr Raphael Douady | Dr William Shadwick | Mr Giovanni Beliossi | Mr Dave Finstad | Mr Tomas Franzen | Mrs Daniela Klingebiel
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  Professor David HsiehFuqua School of BusinessDuke University
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  Professor David Hsieh,Bank of America Professor of Finance,Fuqua School of Business, Duke UniversityProfessor Hsieh obtained his B.S. in Economics and Mathematics from Yale University and a Ph.D. in Economics from the Massachusetts Institute of Technology.He taught at the Graduate School of Business, University of Chicago from 1981 to 1989.He joined the Fuqua Faculty in 1989.Professor Hsieh's current research focuses on the style, risk, and performance evaluation of hedge funds.This research has been featured in the Review of Financial Studies, Journal of Empirical Finance, Journal of Fixed Income, Financial Analysts Journal and the Journal of Portfolio Management.He has been invited to give presentations on hedge funds to academics, regulators, and institutional investors.Professor Hsieh has also worked in the area of statistical modeling of high frequency financial data, especially volatility clustering in stocks, bonds, and foreign exchange.The results have been published in the Journal of Business, the Journal of Business and Economic Statistics and the Journal of Finance, and the Journal of International Economics.
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  Professor Hsieh won the Smith-Breeden First Prize for the bestpaper in the Journal of Finance in 1990 with Nobel Laureate Merton Miller, and the Fischer Black Memorial Foundation's 1999 Robert J. Schwartz Memorial Prize for the best paper on hedge funds with William Fung.
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  Professor Hsieh teaches Global Financial Management, Fixec Income Securities & Risk Management, International Corporate Finance, and Investments & Portfolio Management.

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  www.irc-conferences.com/2008/altbeta/programme.stm - [Cached Version]
  Published on: 1/1/2008    Last Visited: 1/23/2008  

  Professor David HsiehFuqua School of BusinessDuke University
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  Professor David Hsieh, Bank of America Professor of Finance, Fuqua School of Business, Duke University
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  Professor David Hsieh, Bank of America Professor of Finance, Fuqua School of Business, Duke University

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  www.fuquastore.com/news/faculty-honors-0506.html - [Cached Version]
  Published on: 5/26/2006    Last Visited: 5/29/2007  

  David Hsieh was named the Bank of America Professor of Finance.In 1990, Hsieh won the Smith-Breeden First Prize for the best paper in the Journal of Finance in 1990 with Nobel Laureate Merton Miller, and the Fischer Black Memorial Foundation's 1999 Robert J. Schwartz Memorial Prize for the best paper on hedge funds with William Fung.
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  In 2002, Hsieh, along with Professor Ernst Maug, won the Teaching Award from the Cross-Continent Executive MBA Class of 2002.
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  More information about David Hsieh

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  www.irc-conferences.com/2008/altbeta/C2459.stm - [Cached Version]
  Last Visited: 1/23/2008  

  Professor David HsiehFuqua School of BusinessDuke University
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  It was only a couple of years ago that David Hsieh made an off-the-cuff remark that many took as a questioning of the long-term viability of the hedge fund industry (see related posting).
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  It was only a couple of years ago that David Hsieh made an off-the-cuff remark that many took as a questioning of the long-term viability of the hedge fund industry (see related posting).He estimated that around $30 billion of alpha was available to hedge fund managers.
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  Instead of worrying about the finite size of the world's alpha supply, Hsieh, Jaeger et al argued that hedge funds would likely survive on a diet of "alternative beta" even if their traditional food source (alpha-generating market inefficiencies) ran out.
  ...
  Not surprisingly, since SSgA's replicator has been developed, Bill Fung, David Hsieh and Narayan Naik have been working together on it.
  ...
  Mr. Hsieh is Bank of America Professor of Finance in North Carolina's Duke University.
  
  "Bill and I have been working on identifying the components of hedge fund returns for 10 years," said Mr. Hsieh in a conversation with HedgeWorld earlier this month.
  ...
  "We're tracking general trends," Mr. Hsieh said.
  ...
  Further, noted Mr. Hsieh, the risk management of the portfolio is guided by the decisions made by the individual investor, "so their asset allocation tells us where they want concentrated risks and where they don't."
  ...
  "If someone could replicate the performance of illiquid securities, they'd have launched a product on the market by now," added Mr. Hsieh.

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  www.aiecon.org/conference_detail.php?ID=1619 - [Cached Version]
  Last Visited: 11/18/2007  

  Bill Fung (London Business School) and David Hsieh (Duke University), The Risk in Hedge Fund Strategies: Theory and Evidence from Long/Short Equity Hedge Funds Presenter: David Hsieh
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  Bill Fung (London Business School) and David Hsieh (Duke University), The Risk in Hedge Fund Strategies: Theory and Evidence from Long/Short Equity Hedge Funds Presenter: David Hsieh

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  www.allaboutalpha.com/blog/ - [Cached Version]
  Last Visited: 3/5/2007  

  By: William Fung, London Business School & David Hsieh, Duke University
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  And now, so do academics William Fung and David Hsieh.
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  From Bill Sharpe to David Hsieh, factor analysis has been used to determine the amount of alpha in a mutual fund or hedge fund.
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  Fung and Duke's David Hsieh explain in a Q4 2006 report for the Atlanta Fed, that…
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  My understanding - limited so far - is that Fung, Hsieh, Kat, et al are modelling HF returns net of fees.
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  We're glad conference Co-Chairman David Hsieh started off the day by pointing out the fire exits.
  
  Read the rest of this entry »
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  The product was developed with the help of Duke's David Hsieh and LBS's William Fung and Narayan Naik.

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  allaboutalpha.com/blog/2009/04/08/incubation-bias-not-j - [Cached Version]
  Published on: 1/1/2009    Last Visited: 7/8/2009  

  In 2002, David Hsieh of Duke University and William Fung of London Business School wrote a seminal article on this issue called "Benchmarks of Hedge Fund Performance: Information Content and Measurement Biases."

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  allaboutalpha.com/blog/category/hedge-fund-replication/ - [Cached Version]
  Last Visited: 5/4/2008  

  In the late 1990's a couple of academics David Hsieh (Duke University) and Bill Fung (London Business School) wondered if traditional statistical analysis was appropriate for a new type of investment fund - the hedge fund.
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  Several years later they teamed up with the equally prolific Narayan Naik, who worked with Fung at LBS and met Hsieh at Duke while doing his PhD. Last week the trio landed another in a long string of commercial successes advising some of the world's most powerful financial institutions.
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  Earlier today, a conference wrapped up in London featuring some of the big names in the hedge fund replication industry (Bill Fung & David Hsieh - see related news item from today, Lars Jaeger - see related posting, and William Shadwick - see related posting, and others).
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  It was only a couple of years ago that David Hsieh made an off-the-cuff remark that many took as a questioning of the long-term viability of the hedge fund industry (see related posting).He estimated that around $30 billion of alpha was available to hedge fund managers.
  ...
  Instead of worrying about the finite size of the world's alpha supply, Hsieh, Jaeger et al argued that hedge funds would likely survive on a diet of "alternative beta" even if their traditional food source (alpha-generating market inefficiencies) ran out.
  
  Read the rest of this entry »

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