Craig W. French

Portfolio Engineering Laboratory

Portfolio Engineering Laboratory

115 Pondview Drive

Washington Crossing, PA Pennsylvania 18977

United States

SCHOLARLY PAPERS

30

DOWNLOADS
Rank 1,712

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Top 1,712

in Total Papers Downloads

19,389

SSRN CITATIONS

0

CROSSREF CITATIONS

6

Scholarly Papers (30)

1.
Downloads 3,428 ( 3,245)

How Hedge Funds Beat the Market

Number of pages: 16 Posted: 29 Aug 2006
Craig W. French and Damian B. Ko
Portfolio Engineering Laboratory and Corbin Capital Partners, L.P.
Downloads 3,428 (3,183)
Citation 3

Abstract:

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Hedge Fund, determinants, portfolio, performance, Treynor, Scholes

How Hedge Funds Beat the Market

Journal of Investment Management, Vol. 5, No. 2, Second Quarter 2007
Posted: 30 May 2007
Craig W. French and Damian B. Ko
Portfolio Engineering Laboratory and Corbin Capital Partners, L.P.

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Hedge funds; performance attribution; market timing

2.

Another Look at the Determinants of Portfolio Performance: Return Attribution for the Individual Investor

Number of pages: 16 Posted: 25 Apr 2005
Craig W. French
Portfolio Engineering Laboratory
Downloads 2,064 (7,626)

Abstract:

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Determinants, portfolio, attribution

3.

Portfolio Selection: How to Construct and Use the Critical-Implied Reference Portfolio

Number of pages: 11 Posted: 09 Oct 2005
Craig W. French
Portfolio Engineering Laboratory
Downloads 1,910 (8,741)

Abstract:

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portfolio selection, hedge fund, Markowitz

4.

Hedge Fund Investing: Some Quantitative Notes

Number of pages: 32 Posted: 14 Mar 2005
Craig W. French and Jim Kyung-Soo Liew
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School
Downloads 1,716 (10,401)

Abstract:

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hedge fund, factor model, serial correlation, portfolio construction, asset allocation, skew

5.

Review of John Cochrane's 'Asset Pricing'

CWF Working Paper No. 03-07
Number of pages: 2 Posted: 09 Oct 2003
Craig W. French
Portfolio Engineering Laboratory
Downloads 976 (24,649)

Abstract:

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Cochrane, Asset, Pricing, Book review

6.

Introduction to Financial Engineering: Markets and Investments

Number of pages: 106 Posted: 31 Mar 2008
Craig W. French and Jim Kyung-Soo Liew
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School
Downloads 952 (25,481)

Abstract:

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Columbia, Financial Engineering, Markets, Investments

7.

Diversification and Persistence in Hedge Funds

Number of pages: 17 Posted: 21 Nov 2005
Craig W. French, Damian B. Ko and David Abuaf
Portfolio Engineering Laboratory, Corbin Capital Partners, L.P. and University of Chicago - Booth School of Business
Downloads 884 (28,372)
Citation 1

Abstract:

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Hedge Fund, Diversification, Persistence

8.

The Topography of Hedge Fund Returns 2006

Number of pages: 13 Posted: 13 Oct 2005
Craig W. French, Damian B. Ko and Vivek Jindal
Portfolio Engineering Laboratory, Corbin Capital Partners, L.P. and affiliation not provided to SSRN
Downloads 698 (39,302)

Abstract:

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hedge fund, asset allocation, risk

9.

Portfolio Selection with Hedge Funds

Number of pages: 7 Posted: 23 Jul 2005
Craig W. French
Portfolio Engineering Laboratory
Downloads 641 (44,081)
Citation 1

Abstract:

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Portfolio, hedge fund

10.

Ancient Portfolio Theory

Number of pages: 20 Posted: 02 Apr 2008
Craig W. French
Portfolio Engineering Laboratory
Downloads 613 (46,723)
Citation 1

Abstract:

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MPT, CAPM

11.

Review of Noel Amenc and Veronique Le Sourd's 'Portfolio Theory and Performance Analysis'

Number of pages: 3 Posted: 04 Oct 2004
Craig W. French
Portfolio Engineering Laboratory
Downloads 566 (51,759)

Abstract:

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Portfolio Theory, Performance Analysis, CAPM, MPT

12.

Neutralizing Betas without Neutralizing Alphas in Funds of Hedge Funds

Number of pages: 32 Posted: 04 Apr 2008
Craig W. French and Jim Kyung-Soo Liew
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School
Downloads 541 (54,810)

Abstract:

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hedge fund, factor model, serial correlation, portfolio construction, asset allocation, skew

13.

Review of Kent Osband's 'Iceberg Risk'

CWF Working Paper No. 03-04
Number of pages: 2 Posted: 27 May 2003
Craig W. French
Portfolio Engineering Laboratory
Downloads 495 (61,289)

Abstract:

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Risk, Portfolio management, Bayesian

14.

Review of Robert Korajczyk's 'Asset Pricing and Portfolio Performance'

CWF Working Paper No. 02-10
Number of pages: 2 Posted: 16 Jan 2003
Craig W. French
Portfolio Engineering Laboratory
Downloads 422 (74,496)

Abstract:

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Korajczyk, book, review, asset pricing, portfolio, performance, model, Treynor, CAPM, history

15.

How Surviving Hedge Funds Beat the Market

Number of pages: 13 Posted: 12 Mar 2008
Craig W. French and Damian B. Ko
Portfolio Engineering Laboratory and Corbin Capital Partners, L.P.
Downloads 366 (87,955)

Abstract:

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Hedge Funds, Performance Attribution, Treynor, CAPM

16.

The Economics of a Successful Pinewood Derby Campaign

Number of pages: 23 Posted: 29 Jan 2009
Connor French and Craig W. French
affiliation not provided to SSRN and Portfolio Engineering Laboratory
Downloads 353 (91,679)

Abstract:

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Boy Scouts, Pinewood Derby

17.

Review of James Surowiecki's 'the Wisdom of Crowds'

Number of pages: 2 Posted: 05 Nov 2004
Craig W. French
Portfolio Engineering Laboratory
Downloads 304 (108,176)

Abstract:

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Madness of Crowds, Collective Intelligence

18.

The Tail that Wags the Hedge Fund Dog (Slideshow Presentation)

Number of pages: 15 Posted: 28 Jul 2008
Craig W. French
Portfolio Engineering Laboratory
Downloads 286 (115,493)

Abstract:

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hedge fund, extreme value theory, regression, Cauchy, Frechet, Gamma

19.

The Tail that Wags the Hedge Fund Dog

Number of pages: 22 Posted: 11 Jun 2008
Craig W. French
Portfolio Engineering Laboratory
Downloads 286 (115,493)
Citation 2

Abstract:

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hedge fund, extreme value theory, regression, Cauchy, Gamma

20.

The Value of Active Investing

Number of pages: 17 Posted: 29 May 2015
Craig W. French
Portfolio Engineering Laboratory
Downloads 284 (116,331)

Abstract:

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active investing, passive investing, efficient markets, informed investors, uninformed investors, positive economics, normative economics, polynomial regression, chained price series, pre-CRSP stock returns, dividends, market timing, investment value

On the Kurz Model of Asset Prices with Rational Beliefs

Number of pages: 6 Posted: 25 Apr 2005
Craig W. French
Portfolio Engineering Laboratory
Downloads 283 (116,158)

Abstract:

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Kurz, CAPM, Conditional, Endogenous, General Equilibrium

On the Kurz Model of Asset Prices with Rational Beliefs

Journal of Investment Management (JOIM), Second Quarter 2012
Posted: 02 Jun 2012
Craig W. French
Portfolio Engineering Laboratory

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Rational expectations, rational beliefs, CAPM, MPT, conjecture

22.

Normative Hedge Fund Economics: Discussion of Peter Muller's 'Are Hedge Fund Managers Overpaid?'

Number of pages: 11 Posted: 17 Mar 2008 Last Revised: 11 Dec 2008
Craig W. French
Portfolio Engineering Laboratory
Downloads 241 (137,844)

Abstract:

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hedge fund, normative economics, alpha, beta, agency

23.

Applying the Law of Small Numbers to Hedge Fund Returns

Number of pages: 20 Posted: 12 Mar 2008
Craig W. French
Portfolio Engineering Laboratory
Downloads 239 (138,966)

Abstract:

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Hedge Fund, Contagion

24.

Discussion of Jason Macqueen's 'Markowitz Was Wrong!'

Number of pages: 10 Posted: 12 Mar 2008
Craig W. French
Portfolio Engineering Laboratory
Downloads 237 (140,083)

Abstract:

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Markowitz, Portable Alpha, Performance Attribution

25.

Discussion of Chan, Getmansky, Haas and Lo's 'Systemic Risk and Hedge Funds'

Number of pages: 10 Posted: 12 Mar 2008
Craig W. French
Portfolio Engineering Laboratory
Downloads 236 (140,654)

Abstract:

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systemic risk, hedge funds

26.

Old Stuff: The Inception of the CAPM

Number of pages: 11 Posted: 28 Mar 2008
Craig W. French
Portfolio Engineering Laboratory
Downloads 142 (221,173)

Abstract:

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CAPM, Treynor, Sharpe, Lintner, Mossin

27.

Discussion of Pekkala, Polk and Ribiero's Taxes and Stock Returns

Number of pages: 11 Posted: 12 Mar 2008
Craig W. French
Portfolio Engineering Laboratory
Downloads 115 (259,854)

Abstract:

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tax-loss harvesting, January effect, downward-sloping demand curves

28.

Review of Bruce Lehmann's 'the Legacy of Fischer Black'

Number of pages: 2 Posted: 18 Nov 2005
Craig W. French
Portfolio Engineering Laboratory
Downloads 111 (266,429)

Abstract:

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book review, Fischer Black, Bruce Lehmann

29.

Quantitative Topics in Hedge Fund Investing

Journal of Portfolio Management, Vol. 31, No. 4, pp. 21-32, Summer 2005
Posted: 15 Sep 2005
Craig W. French and Jim Kyung-Soo Liew
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School

Abstract:

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hedge fund, factor model, serial correlation, portfolio construction, asset allocation, skew

30.

The Treynor Capital Asset Pricing Model

Journal of Investment Management, Vol. 1, No. 2, pp. 60-72, 2003
Posted: 04 Oct 2003
Craig W. French
Portfolio Engineering Laboratory

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Other Papers (3)

Total Downloads: 545
1.

Review of Mark Rubinstein's 'a History of the Theory of Investments'

Posted: 14 Mar 2006
Craig W. French
Portfolio Engineering Laboratory
Downloads 346

Abstract:

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Rubinstein, history, theory, investment, book review

2.

Review of William Sharpe's Investors and Markets

Posted: 05 Dec 2006
Craig W. French
Portfolio Engineering Laboratory
Downloads 126

Abstract:

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Sharpe, Book review

3.

Comment on Waring and Seigel's 'The Myth of the Absolute Return Investor'

Number of pages: 9 Posted: 12 Mar 2008
Craig W. French
Portfolio Engineering Laboratory
Downloads 73

Abstract:

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