INVITATION
WU GUTMANN CENTER PUBLIC LECTURE
www.gutmann-center.at
(apologies for cross-postings!)
DATE: October, 13th, 2010 (Wednesday) - 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
SPEAKER: Prof. Dr. Robert A. KORAJCZYK, Kellogg School of Management, Northwestern
University
http://www.kellogg.northwestern.edu/faculty/directory/korajczyk_robert.aspx
TITLE: ALTERNATIVE ASSET RETURNS IN THE FINANCIAL CRISIS: RISK EXPOSURES AND RISK
MISMEASUREMENT
ABSTRACT:
During the recent financial crisis an index of hedge funds had returns of -20% while the
U.S. stock market return was -51%. These large negative returns on hedge funds, which
often claim large diversification advantages due to their focus on absolute returns, has
been viewed as anomalous by many observers. I argue that (a) hedge funds, on average, have
significant market exposure even using standard risk estimation methods, (b) that standard
methods of risk estimation underestimate market exposure, and (c) linear risk models
further underestimate downside risk for certain funds. With proper methods for risk
estimation, the returns on most hedge fund indices were as expected, given the crash in
equity prices. This result has important implications for portfolio choice and asset
management.
ABOUT ROBERT A. KORAJCZYK:
A member of the Kellogg School faculty since 1982, Robert A. Korajczyk is the Harry G.
Guthmann Professor of Finance and Director of the Zell Center for Risk Research. He is a
past Senior Associate Dean: Curriculum and Teaching and past Chair of the Finance
Department.
Professor Korajczyk received his BA, MBA, and PhD degrees from the University of Chicago.
His research interests are in the areas of investments and empirical asset pricing. He is
a recipient of the 2009 Crowell Prize for best paper in the field of quantitative asset
management, awarded by PanAgora Asset Management, and several other research and teaching
awards.
Professor Korajczyk is a past editor and associate editor of several leading finance
journals. He has held visiting faculty appointments at the University of Chicago, the
University of Vienna, and the Hong Kong University of Science and Technology. He has
served as a consultant to the World Bank and a number of other organizations.
Robert A. Korajczyk is a founding member of the WU Gutmann Center Academic Advisory
Board.
Please REGISTER:
Mail: gutmann-center(a)wu.ac.at
Phone: +43-1-31336-4244
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management
WU (Wirtschaftsuniversität Wien)
Department of Finance, Accounting and Statistics
Mag. Dorothea GRIMM
Heiligenstädter Str. 46-48, 1190 Wien
www.gutmann-center.at