Craig W. French

Portfolio Engineering Laboratory

Portfolio Engineering Laboratory

115 Pondview Drive

Washington Crossing, PA Pennsylvania 18977

United States

SCHOLARLY PAPERS

30

DOWNLOADS
Rank 1,553

SSRN RANKINGS

Top 1,553

in Total Papers Downloads

19,150

CITATIONS

6

Scholarly Papers (30)

1.
Downloads 3,374 ( 2,948)

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 3,374 (2,881)
Citation 3

Abstract:

Loading...

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.

Abstract:

Loading...

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 1,997 (7,156)

Abstract:

Loading...

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 1,905 (7,765)

Abstract:

Loading...

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 1,704 (9,357)

Abstract:

Loading...

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 961 (22,737)

Abstract:

Loading...

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 939 (23,500)

Abstract:

Loading...

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 880 (25,855)
Citation 1

Abstract:

Loading...

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 (35,577)

Abstract:

Loading...

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 635 (40,386)
Citation 1

Abstract:

Loading...

Portfolio, hedge fund

10.

Ancient Portfolio Theory

Number of pages: 20 Posted: 02 Apr 2008
Craig W. French
Portfolio Engineering Laboratory
Downloads 608 (42,772)
Citation 1

Abstract:

Loading...

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 560 (47,675)

Abstract:

Loading...

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 540 (49,858)

Abstract:

Loading...

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 483 (57,454)

Abstract:

Loading...

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 418 (68,503)

Abstract:

Loading...

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 365 (80,407)

Abstract:

Loading...

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 350 (84,375)

Abstract:

Loading...

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 299 (100,419)

Abstract:

Loading...

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 285 (105,836)

Abstract:

Loading...

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 285 (105,836)
Citation 2

Abstract:

Loading...

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

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 280 (107,262)

Abstract:

Loading...

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

Abstract:

Loading...

Rational expectations, rational beliefs, CAPM, MPT, conjecture

21.

The Value of Active Investing

Number of pages: 17 Posted: 29 May 2015
Craig W. French
Portfolio Engineering Laboratory
Downloads 274 (110,395)

Abstract:

Loading...

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

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 240 (126,549)

Abstract:

Loading...

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 238 (127,615)

Abstract:

Loading...

Hedge Fund, Contagion

24.

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 235 (129,231)

Abstract:

Loading...

systemic risk, hedge funds

25.

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

Number of pages: 10 Posted: 12 Mar 2008
Craig W. French
Portfolio Engineering Laboratory
Downloads 235 (129,231)

Abstract:

Loading...

Markowitz, Portable Alpha, Performance Attribution

26.

Old Stuff: The Inception of the CAPM

Number of pages: 11 Posted: 28 Mar 2008
Craig W. French
Portfolio Engineering Laboratory
Downloads 140 (205,430)

Abstract:

Loading...

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 113 (241,931)

Abstract:

Loading...

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 109 (248,238)

Abstract:

Loading...

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:

Loading...

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

Abstract:

Loading...

Other Papers (3)

Total Downloads: 530
1.

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

Posted: 14 Mar 2006
Craig W. French
Portfolio Engineering Laboratory
Downloads 336

Abstract:

Loading...

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 123

Abstract:

Loading...

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 71

Abstract:

Loading...