Ludwig B. Chincarini

University of San Francisco School of Management

Professor of Finance

San Francisco, CA 94102

United States

University of San Francisco - School of Business and Management

San Francisco, CA 94117

United States

United States Commodity Funds

Director of Quantitative Strategies

United States

  • University of San Francisco School of Management

  • University of San Francisco - School of Business and Management

  • United States Commodity Funds

SCHOLARLY PAPERS

31

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6

CROSSREF CITATIONS

23

Scholarly Papers (31)

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1.

A Comparison of Quantitative and Qualitative Hedge Funds

Number of pages: 50 Posted: 08 Jan 2010 Last Revised: 01 Mar 2010
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 2,148 (7,757)
Citation 3

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quantitative portfolio management, alpha, hedge funds, returns

2.

The Amaranth Debacle: Failure of Risk Measures or Failure of Risk Management?

Number of pages: 49 Posted: 21 Dec 2006
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 1,719 (11,176)
Citation 5

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Amaranth, hedge funds, natural gas futures, options, risk measurement

3.

Natural Gas Futures and Spread Position Risk: Lessons from the Collapse of Amaranth Advisors L.L.C.

Journal of Applied Finance, Spring/Summer 2008
Number of pages: 61 Posted: 20 Mar 2008 Last Revised: 14 Apr 2015
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 1,711 (11,267)

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Amaranth, Hedge Funds, Risk Management, Liquidity Risk

4.

The Amaranth Debacle: What Really Happened

Journal of Alternative Investments, Forthcoming
Number of pages: 34 Posted: 24 Oct 2007
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 1,447 (14,648)

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Natural gas, futures, options, hedge funds

5.

The Failure of Long-Term Capital Management

Number of pages: 16 Posted: 19 Dec 2006
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 1,384 (15,706)
Citation 3

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long-term capital management, ltcm, hedge funds, collapse, financial risk

6.

Riding the Yield Curve: Diversification of Strategies

Number of pages: 77 Posted: 06 Jun 2004
David S. Bieri and Ludwig B. Chincarini
Virginia Polytechnic Institute & State University - School of Public and International Affairs (SPIA) and University of San Francisco School of Management
Downloads 1,123 (21,560)
Citation 2

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Term Structure of Interest Rates, Market Efficiency, Taylor Rule, Expectations

7.

Crowded Spaces and Copycat Risk Management

Number of pages: 73 Posted: 14 Jun 2015
Salvatore Bruno, Ludwig B. Chincarini and Jesse Davis
IndexIQ, University of San Francisco School of Management and Independent
Downloads 568 (55,127)

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Risk management, crowding, crowded spaces,copycat trading, quantitative equity

8.

Beta and Firm Age

Journal of Empirical Finance, Vol. 58, 2020
Number of pages: 73 Posted: 14 Aug 2016 Last Revised: 15 Dec 2020
Ludwig B. Chincarini, Daehwan Kim and Fabio Moneta
University of San Francisco School of Management, Konkuk University and Telfer School of Management, University of Ottawa
Downloads 382 (89,283)
Citation 2

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time-varying beta, cost of capital, CAPM, firm age, estimation risk, familiarity

9.

Uses and Misuses of the Black-Litterman Model in Portfolio Construction

Number of pages: 47 Posted: 19 Dec 2012
Ludwig B. Chincarini and Daehwan Kim
University of San Francisco School of Management and Konkuk University
Downloads 381 (89,554)

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Black-Litterman, Bayes rule, Portfolio Construction, Econometric techniques, simulations

10.

The Effectiveness of Global Currency Hedging after the Asian Crisis

Journal of Asset Management, Forthcoming
Number of pages: 31 Posted: 08 Feb 2007
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 378 (90,427)

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Currency hedging, futures, global portfolios

11.

Hedge Funds: The Misunderstood Investment Vehicle

THE RESEARCH HANDBOOK ON HEDGE FUNDS, PRIVATE EQUITY AND ALTERNATIVE INVESTMENTS, Edward Elgar Publishing, 2011
Number of pages: 65 Posted: 23 Mar 2011
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 349 (99,072)

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Hedge Funds, Alternative Assets, Regulation, Performance

12.

No Chills or Burns from Temperature Surprises: An Empirical Analysis of the Weather Derivatives Market

Number of pages: 49 Posted: 11 Feb 2009 Last Revised: 19 Jan 2010
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 341 (101,665)
Citation 4

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Weather derivatives, weather forecasting, market efficiency, HDD, CDD

13.

Understanding Oil Investing

Number of pages: 33 Posted: 20 Jun 2016
Ludwig B. Chincarini, John Love and Robert Nguyen
University of San Francisco School of Management, USCF Investments and USCF Investments
Downloads 338 (102,703)

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oil investing, futures investing, exchange-traded funds

14.

Transaction Cost and Crowding

Number of pages: 38 Posted: 28 Jul 2016
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 331 (105,143)

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risk management, crowding, crowded spaces, transaction costs, copycat trading, quantitative equity portfolio management, optimal portfolios, portfolio construction

15.

The Expectations Theory in the Money Market: Details Matter

Number of pages: 19 Posted: 17 Feb 2006
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 320 (109,144)

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money markets, expectations theory of term structure, fixed income

16.

Volume and Return Information on Individual Stocks

Number of pages: 38 Posted: 17 Feb 2006
Ludwig B. Chincarini and Guillermo Llorente
University of San Francisco School of Management and Universidad Autonoma de Madrid
Downloads 318 (109,873)
Citation 1

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Volume information,Trading Strategies,Technical Analysis, Momentum

17.

Forecasting Volatility and Asset Allocation: Are Garch-Type Models Useful?

Number of pages: 22 Posted: 26 Jun 2007
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 277 (127,226)

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GARCH, Forecasting, Asset Allocation, Implied Volatility

18.

Hedging Inflation Internationally

Number of pages: 63 Posted: 18 Jan 2010 Last Revised: 02 Mar 2010
Salvatore Bruno and Ludwig B. Chincarini
IndexIQ and University of San Francisco School of Management
Downloads 275 (128,217)
Citation 2

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Real returns, inflation, hedging, asset allocation

19.

Experimental Evidence of Trigger Strategies in Repeated Games

Rydex Working Paper
Number of pages: 17 Posted: 24 Sep 2003
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 168 (204,085)
Citation 1

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Trigger Strategies, Prisoner's Dilemma

20.

The Advantages of Tax Managed Investing (Note: Corrected Tables)

Journal of Portfolio Management, Fall 2001
Number of pages: 46 Posted: 03 Jun 2007
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 140 (237,244)

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Taxes, Investing, Tax Harvesting, Synthetic Dividends

21.

Technical Appendix to Real-Business-Cycle Models and the Forecastable Movements in Output, Hours, and Consumption

Number of pages: 18 Posted: 28 Dec 2006
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 138 (240,128)
Citation 2

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22.

Trading Futures to Manage Risk

Investment Risk Management, H. Kent Baker & Greg Filbeck, Wiley, March 2013
Number of pages: 44 Posted: 03 Oct 2013
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 129 (253,052)

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futures, hedging, managing risk, commodities, equities, portfolio management

23.

An Approach to Enhanced Indexing

Number of pages: 33 Posted: 21 Jun 2017
Andrei Bolshakov and Ludwig B. Chincarini
WEDGE Capital Management, LLP and University of San Francisco School of Management
Downloads 127 (255,984)

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Enhanced Indexing, Information Ratio, Portfolio Management, Active Management

24.

An Analytical Model for the Formation of Economic Clusters

Number of pages: 43 Posted: 17 Feb 2006
Ludwig B. Chincarini and Neer R. Asherie
University of San Francisco School of Management and Yeshiva University
Downloads 118 (270,406)

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Cities, Agglomeration, Edge Cities, Mathematical Modelling, Trade Theory

25.

Wages and Knowledge Transfer

Number of pages: 19 Posted: 15 Jul 2003 Last Revised: 16 Aug 2013
Ludwig B. Chincarini and Daehwan Kim
University of San Francisco School of Management and Konkuk University
Downloads 91 (322,163)

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Wages, knowledge transfer, employment

26.

Flexible Insurance for Separate Accounts

Number of pages: 32 Posted: 10 May 2007
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 90 (324,418)

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Portfolio Protection, Portfolio Insurance, Hedging, Options

27.

Hedging Inflation Internationally Supplemental Appendix

Number of pages: 102 Posted: 17 Jan 2010 Last Revised: 20 Jan 2010
Salvatore Bruno and Ludwig B. Chincarini
IndexIQ and University of San Francisco School of Management
Downloads 44 (466,429)

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Real returns, inflation, hedging, asset allocation

28.

Liquidity in the Financial System Panel (Presentation Slides)

Proceedings of the 4th Chapman Conference on Money & Finance on Liquidity: Pricing, Management and Financial Stability
Number of pages: 29 Posted: 14 Jan 2020
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 27 (549,445)

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Liquidity, crowding, price risk, liquidity risk

29.

Measuring Hedge Fund Timing Ability Across Factors

https://doi.org/10.3905/joi.2011.20.4.050
Posted: 21 May 2019
Alex Nakao and Ludwig B. Chincarini
affiliation not provided to SSRN and University of San Francisco School of Management

Abstract:

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Hedge Funds, Returns, Market Timing, Factor Analysis

30.

The Impact of Quantitative Methods on Hedge Fund Performance

European Financial Management, Vol. 20, Issue 5, pp. 857-890, 2014
Number of pages: 34 Posted: 31 Oct 2014
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 0 (755,275)
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quantitative portfolio management, alpha, hedge funds, returns

31.

A Case Study on Risk Management: Lessons from the Collapse of Amaranth Advisors L.L.C.

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A Case Study on Risk Management: Lessons from the Collapse of Amaranth Advisors L.L.C.

Journal of Applied Finance, Vol. 18, No. 1, 2008
Posted: 23 Nov 2008
Ludwig B. Chincarini
University of San Francisco School of Management

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risk management, natural gas, hedge funds

A Case Study on Risk Management: Lessons from the Collapse of Amaranth Advisors L.L.C.

Journal of Applied Finance, Spring 2008, Vol. 18, Issue 1, p. 152
Posted: 29 Jul 2012
Ludwig B. Chincarini
University of San Francisco School of Management

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Hedge funds, Natural gas, Futures trading, Risk management, Liquidity, Investment policy, Case studies

Other Papers (1)

Total Downloads: 803
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1.

Another Look at the Information Ratio

Number of pages: 20 Posted: 17 Dec 2006
Ludwig B. Chincarini and Daehwan Kim
University of San Francisco School of Management and Konkuk University
Downloads 803

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Information Ratio, Fundamental Law of Active Management, Linear Regression