The Yale ICF Hedge Fund Research Initiative is a program to actively investigate hedge funds as an asset class and the range of issues related to their management. The current research agenda includes:

• Performance: Risk, returns, styles, timing metrics and survival.
• Management Contracts: Valuation, incentives.
• Strategies: Relative value, momentum, stale prices.
• Role in the Capital Markets: Asian crisis, price formation, scalability of strategies.

• Judith Chevalier, Yale School of Management
• William N. Goetzmann, Yale School of Management
• Roger G. Ibbotson, Yale School of Management
• Jonathan E. Ingersoll, Jr., Yale School of Management
• K. Geert Rouwenhorst, Yale School of Management
• Matthew I. Spiegel, Yale School of Management

• Stephen J. Brown, NYU Stern School of Business
• Evan G. Gatev, Boston College Carroll School of Management
• Zoran Ivkovich, University of Illinois
• Bing Liang, University of Massachusetts, Amherst
• Stephen A. Ross, MIT Sloan School of Management
• Ivo Welch, Brown University

Hedge Funds With Style
Stephen J. Brown and William N. Goetzmann

Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs
William N. Goetzmann, Stephen J. Brown, and James M. Park

Hedge Funds and the Asian Currency Crisis of 1997
William N. Goetzmann, Stephen J. Brown, and James M.Park

High-Water Marks and Hedge Fund Management Contracts
William N. Goetzmann, Jonathan E. Ingersoll Jr. and Stephen A. Ross

Sharpening Sharpe Ratios
William N. Goetzmann, Jonathan E. Ingersoll Jr., Matthew I. Spiegel, and Ivo Welch

Offshore Hedge Funds: Survival & Performance 1989-1995
William N. Goetzmann, Roger G. Ibbotson and Stephen J. Brown

Day Trading International Mutual Funds: Evidence And Policy Solutions
William N. Goetzmann, Zoran Ivkovich and K. Geert Rouwenhorst

Monthly Measurement of Daily Timers
William N. Goetzmann, Jonathan E. Ingersoll Jr. and Zoran Ivkovich

Pairs Trading: Performance of a Relative Value Arbitrage Rule
Evan G. Gatev, William N. Goetzmann and K. Geert Rouwenhorst

Illiquid Alternative Asset Fund Modeling
Journal of Portfolio Management, Winter 2002, Volume 28, Number 2, Pages 90 – 100
Seth Alexander and Dean Takahashi

Improving disclosure
Tanya Styblo Beder, December 2000 issue of Risk magazine

Pioneering Portfolio Management: An Unconventional Approach to Institutional Investment
David F. Swensen

In Defense of Free Capital Markets: The Case against a New International Financial Architecture
David F. DeRosa

Options on Foreign Exchange
David F. DeRosa

Currency Derivatives: Pricing Theory, Exotic Options Hedging Applications
David F. DeRosa (Editor)

• IMN Hedge Fund Conferences