Hudson Bay has co-authored a series of white papers with Dr. Harry Markowitz, winner of the Nobel Memorial Prize in Economic Sciences, in connection with his pioneering work in Modern Portfolio Theory. This collaboration reflects our belief that Hudson Bay’s investment process is an enhanced application of Dr. Markowitz’s framework in a multi-asset, multi-strategy alpha portfolio hedge fund environment.
02/01/2022
The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization (As published in the Journal of Portfolio Management)
The purpose of this article is to introduce the Gerber statistic, a robust co-movement measure for covariance matrix estimation for the purpose of portfolio construction. The Gerber statistic extends Kendall’s Tau by counting the proportion of simultaneous co-movements in series when their amplitudes exceed data-dependent thresholds.
Read More04/15/2021
In Investing, Don't Short Human Judgement
Can artificial intelligence replace human intelligence in investing? Some people are betting yes, believing that quantitative analysis outperforms human analysis — that crunching numbers, machine learning, algorithms, backtesting, prediction models and other forms of computational wizardry will inevitably obsolete the need for human judgment when assessing risks and rewards in investing.
Read More06/21/2019
Avoiding the Downside: A Practical Review of the Critical Line Algorithm for Mean-Semivariance Portfolio Optimization
Optimizing a portfolio to reduce exposure to downside risk can be difficult, and usually involves third or higher order statistical moments of the portfolio's return distribution. Mean-semivariance optimization simplifies this problem by using only the first two moments of the distribution and by penalizing returns below a predetermined reference. Although this penalty introduces a nonlinearity, mean-semivariance optimization can be performed easily and efficiently using the critical line algorithm provided that the covariance matrix is estimated from an historical record of asset returns. In practice, this proviso is not restrictive. This chapter reviews the theory of the critical line algorithm and presents sample computer code for applying the algorithm to mean-variance and mean-semivariance portfolio optimization. It also reviews a method for finding the efficient mean-semivariance portfolio for any given feasible desired expected portfolio return.
Read More02/21/2019
A Non-Normal Principal Components Model for Security Returns
We introduce a principal components model for securities’ returns. The components are non-normal, exhibiting significant skewness and kurtosis. The model can explain a large proportion of the variance of the securities’ returns with only one or two components.
Third and higher-order components individually contribute so little that they can be considered to be noise terms.
12.20.22 / Article
University of Kentucky shifts focus to ‘true diversifiers’
With Intelligence
The University of Kentucky will look to further diversify its hedge fund portfolio by putting a greater emphasis on strategies with low correlation to traditional stocks and bonds.
Read More09.23.22 / Article
Hudson Bay Capital: Deep Dive Discussion
Founder and CIO of Hudson Bay Capital Management LP, Sander Gerber joins the 70th U.S. Secretary of State and former Director of the CIA, Mike Pompeo for a deep dive discussion on the current geopolitical climate.
Read More09.22.22 / Article
Wolfe Research 6th Annual Global Quantitative and Macro Investment Conference
Professor Philip Ernst, Ph.D., joined the Wolfe Research 6th Annual Global Conference for a discussion on The Gerber Statistic, a robust co-movement measure for the purpose of portfolio construction.
Read More09.21.22 / Article
Commentary: Great transition — from low rates to high anxiety
Pensions & Investments
After nearly two generations of declining interest rates, a great transition is underway.
Read More08.15.22 / Article
Hudson Bay Capital: Macro Outlook - The Great Transition
We believe markets are currently going through a “Great Transition” – see our Fireside Chat featuring our CIO, Sander Gerber, and Senior Derivatives Strategist, Jason Cuttler
Read More03.24.22 / Article
US Billion Dollar Club adds $215bn to hit record
With Intelligence
299 US hedge fund firms manage over $1bn as total assets hit $2.2tn
Read More03.16.22 / Article
Oregon introduces event, multi-strat HFs in $750m spend
With Intelligence
Caxton, Davidson Kempner and Hudson Bay join the $95bn fund’s major expansion
Read More02.24.22 / Article
Hudson Bay Capital to Expand in Greenwich With Connecticut’s Aid
Bloomberg News
The asset management firm will receive as much as $1.3 million from the state if it creates and retains 40 new full time jobs, Governor Ned Lamont said in a statement.
Read More02.18.22 / Article
A Hedge Fund Manager Reluctantly Challenged — Then Collaborated With — Harry Markowitz
Institutional Investor
How Sander Gerber found a better way to measure diversification.
Read More09.20.21 / Article
The Largest Hedge Fund Managers 2021
Pensions & Investments
Ranked by discretionary assets managed in hedge funds worldwide, in millions, as of June 30, 2021, unless otherwise noted.
Read More05.03.21 / Article
Kern County starts thinking about alpha pool’s future growth
HFM InvestHedge
The $5.1bn pension is nearing completion of current buildout with allocation to Garda RV strat
Read More01.25.21 / Article
SPAC launches leap, but institutions are wary
Pensions & Investments
The huge increase in the number of SPAC launches in 2020 continues apace, but so far, most institutional investors still are on the sidelines when it comes to investing directly in them.
Read More01.13.21 / Article
SPAC Mania Gives Early Investors Steady Returns With Little Risk
Wall Street Journal
Hedge funds score gains when blank-check companies rise after announcing deals to take startups public
Read More11.12.20 / Article
Pandemic hits America’s Billion Dollar Club giants
HFM Absolute Return
Top quant names struggle but multi-strategy names thrive amid Covid-19 turbulence
Read More11.05.20 / Article
HFM US Performance Awards 2020: Winners Announced
HFM Connect
This year will certainly go down as a litmus test for hedge fund performance. Not since the financial crisis of 2008 have markets experienced such a rapid and deep sell-off.
Read More08.27.20 / Article
Texas ERS maps out up to eight HF hires for 2021
HFM InvestHedge
The Employees Retirement System of Texas (ERS) has outlined several manager opportunities as part of its fiscal-2021 hedge fund program tactical plan. Up to eight new allocations are expected across absolute return,...
Read More06.01.20 / Article
Allocators stick to familiar HFs amid coronavirus disruption
HFM InvestHedge
In the months since the first stay-at-home order came into force in March, investors across the US have been leaning more on their existing hedge fund benches, with new manager relationships presenting new challenges.
Read More05.18.20 / Article
Los Angeles County Employees slates $950 million for 5 funds
Pensions & Investments
Los Angeles County Employees Retirement Association, Pasadena, Calif., committed or invested $950 million in five funds, according to a report on the $54.5 billion pension fund's website.
Read More05.05.20 / Article
Viking, Coatue Back in Black After April Gain: Hedge Fund Update
Bloomberg
April, another month of widespread quarantines and social distancing, presented hedge funds with a different kind of market upheaval.
Read More04.30.20 / Article
Florida State Board unveils $1.75 billion in alts investments
Pensions & Investments
Florida State Board of Administration, Tallahassee, made $1.75 billion in commitments and investments, said John Kuczwanski, communications manager, in an email.
Read More03.25.20 / Article
Hudson Bay Plans to Raise Funds Amid ‘Outstanding Opportunities’
Bloomberg News
The $5 billion hedge fund Hudson Bay Capital Management is seeking to raise capital for a new share class designed to take advantage of the market sell-off.
Read More11.08.19 / Article
Renaissance, Millennium Continue Growth While AQR, Bridgewater Falter
HFM Absolute Return
11.08.19 / Article
West Virginia Pension Adds HBK And Hudson Bay
HFM InvestHedge
11.07.19 / Article
Texas Employees Assigns $235 Million to 4 Alts Funds
Pensions & Investments
Texas Employees Retirement System, Austin, invested or committed a total of $235 million to four alternative investment strategies in October, a transaction report
Read More03.25.19 / Article
Credit Risk Management Crucial To A Successful Convertible Arbitrage Strategy
Hedgeweek
Roy Astrachan, Managing Partner and Portfolio Manager at Hudson Bay, discusses the firm’s investment philosophy, performance and Deal Code strategy.
Read More08.22.18 / Article
Building A Culture Of Compliance
HFM Week
Hudson Bay General Counsel and Chief Compliance Officer Scott Black discusses the importance of compliance values in the workplace.
Read More06.06.18 / Article
U.S. Hedge Fund Hudson Bay To Open London Office - Sources
Reuters
Hudson Bay opens London office and expands team.
Read More10.27.17 / Article
Colorado Fire & Police allocates $30 million to arbitrage hedge fund
Pensions & Investments
10.27.16 / Article
Hedge-Fund Managers Gather In Tel Aviv For Investment Tips And Charity
The Jerusalem Post
Hudson Bay CEO, Sander Gerber, discusses Israel’s role in financial markets at the Sohn Conference in Tel Aviv.
Read More10.16.13 / Article
For Hedge Funds, Debt Crisis Largely Business As Usual
Reuters
Hudson Bay CEO, Sander Gerber, talks about his investment strategy amid a government shutdown and debt crisis.
Read More11.01.11 / Article
Hudson Bay Preps Fund, Closes Flagship
Institutional Investor
Hudson Bay preps for the future.
Read More06.22.10 / Article
II Announces Hedge Fund Award Winners
Institutional Investor
Hudson Bay named Multistrategy Hedge Fund Firm of the Year.
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