Articles by David Saunders
The statistics of capture ratios
This paper investigates the statistical problem of estimating the capture ratio based on a finite number of observations of a fund’s returns.
The price of liquidity in the reinsurance of fund returns
The authors consider a new type of contract for insuring the returns of hedge funds and aim to extend downside protection to an investment portfolio beyond the first tranche of losses insured by first-loss fee structures, which have become increasingly…