Otto Van Hemert

Man AHL

Riverbank House

2 Swan Lane

London, EC4R 3AD

United Kingdom

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 78

SSRN RANKINGS

Top 78

in Total Papers Downloads

166,065

TOTAL CITATIONS
Rank 3,744

SSRN RANKINGS

Top 3,744

in Total Papers Citations

4,437

Scholarly Papers (18)

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1.

The Best Strategies for Inflationary Times

Number of pages: 32 Posted: 29 Mar 2021 Last Revised: 25 May 2021
Henry Neville, Teun Draaisma, Ben Funnell, Campbell R. Harvey and Otto Van Hemert
Man Group, Ruffer LLP, CCLA Investment Management, Duke University - Fuqua School of Business and Man AHL
Downloads 50,812 (59)
Citation 21

Abstract:

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Inflation hedge, inflation surprises, inflation shocks, temporary inflation, permanent inflation, inflation betas, portfolio management, asset allocation, risk management, commodities, gold, factor investing, bitcoin, cryptocurrency

2.

Understanding the Subprime Mortgage Crisis

Number of pages: 40 Posted: 10 Oct 2007 Last Revised: 20 Jun 2009
Yuliya Demyanyk and Otto Van Hemert
University of Illinois at Chicago and Man AHL
Downloads 45,521 (65)
Citation 4,281

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mortgage, subprime, delinquency, foreclosure

3.

An Investor’s Guide to Crypto

Number of pages: 29 Posted: 02 Jun 2022 Last Revised: 02 Sep 2022
Campbell R. Harvey, Tarek Abou Zeid, Teun Draaisma, Martin Luk, Henry Neville, Andre Rzym and Otto Van Hemert
Duke University - Fuqua School of Business, Man AHL, Ruffer LLP, Man AHL, Man Group, Man AHL and Man AHL
Downloads 14,952 (586)
Citation 2

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Crypto, currency, bitcoin, ether, gold, custody, NFTs, inflation hedge, stablecoins, DeFi

4.

The Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed?

Number of pages: 26 Posted: 31 May 2019
Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor and Otto Van Hemert
Duke University - Fuqua School of Business, Man AHL, Man Group plc, Man AHL, Man Numeric and Man AHL
Downloads 9,726 (1,225)
Citation 8

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Crisis hedge, Crisis alpha, Recessions, Flight to quality, Drawdown, Downside risk, Portfolio protection, Portfolio hedging, Insurance, Put options, Option-based hedging, Portfolio insurance, Futures, Trend following, Momentum, Quality, Profitability, Gold, Positive convexity, Safe-haven investments

5.

The Impact of Volatility Targeting

Number of pages: 28 Posted: 17 May 2018 Last Revised: 11 Jul 2018
Campbell R. Harvey, Edward Hoyle, Russell Korgaonkar, Sandy Rattray, Matthew Sargaison and Otto Van Hemert
Duke University - Fuqua School of Business, Man AHL, Man AHL, Man Group plc, Man AHL and Man AHL
Downloads 8,276 (1,604)
Citation 20

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volatility, volatility targeting, balanced fund, risk parity, asset allocation, portfolio choice

6.

Strategic Rebalancing

Number of pages: 25 Posted: 17 Feb 2019 Last Revised: 20 Dec 2019
Sandy Rattray, Nicolas Granger, Campbell R. Harvey and Otto Van Hemert
Man Group plc, Man AHL, Duke University - Fuqua School of Business and Man AHL
Downloads 7,136 (2,052)
Citation 4

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Asset Allocation, Smart Rebalancing, Market Timing, Active Management, Buy and Hold, Overlays, 60–40 Portfolio, Balanced Portfolio, Stock-Bond Portfolio, Rebalancing, Drawdowns, Downside Loss, Skewness, Trend, Momentum, Derivatives, Futures, Behavioral Finance

7.

Trend Following: Equity and Bond Crisis Alpha

Number of pages: 19 Posted: 30 Aug 2016
Carl Hamill, Sandy Rattray and Otto Van Hemert
Man AHL, Man Group plc and Man AHL
Downloads 6,585 (2,357)
Citation 11

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trend following, momentum, crisis alpha, skewness

8.

Drawdowns

Number of pages: 19 Posted: 24 Apr 2020 Last Revised: 05 May 2020
Otto Van Hemert, Mark Ganz, Campbell R. Harvey, Sandy Rattray, Eva Sanchez Martin and Darrel Yawitch
Man AHL, University of Cambridge - Downing College, Duke University - Fuqua School of Business, Man Group plc, Man AHL and Man Group plc
Downloads 4,190 (5,114)
Citation 4

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Trading strategies, alpha, outperformance, crowding, downside risk, skewness, hitting time, allocation, redemption, Type I error, Type II error, drawdown, Sharpe ratio, structural breaks, Corona crash, COVID-19 crash

9.

Man vs. Machine: Comparing Discretionary and Systematic Hedge Fund Performance

Duke I&E Research Paper No. 2017-01
Number of pages: 20 Posted: 22 May 2019 Last Revised: 24 Jun 2019
Campbell R. Harvey, Sandy Rattray, Andrew Sinclair and Otto Van Hemert
Duke University - Fuqua School of Business, Man Group plc, Realindex Investments and Man AHL
Downloads 3,166 (8,083)
Citation 19

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Hedge Funds, Systematic Trading, Discretionary Trading, Alpha, Market Efficiency, Risk Factors, Asset Allocation, Algorithm Aversion

10.

Strategic Risk Management: Out-of-Sample Evidence from the COVID-19 Equity Selloff

Number of pages: 11 Posted: 03 Aug 2020
Campbell R. Harvey, Edward Hoyle, Sandy Rattray and Otto Van Hemert
Duke University - Fuqua School of Business, Man AHL, Man Group plc and Man AHL
Downloads 2,622 (10,881)
Citation 1

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Systemic risk, COVID-19, Pandemic, Drawdowns, Rebalancing, Tail risk, Hedging, Risk management, Volatility targeting, Trend following, Moving-average crossover

11.

The Best Strategies for the Worst Crises

Number of pages: 23 Posted: 16 Jun 2017
Michael Cook, Edward Hoyle, Matthew Sargaison, Dan Taylor and Otto Van Hemert
Man AHL, Man AHL, Man AHL, Man Numeric and Man AHL
Downloads 2,545 (11,427)
Citation 2

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trend following, quality, momentum, crisis hedge, crisis alpha, futures, equities

12.

Mortgage Timing

Downloads 1,717 (15,662)
Citation 23

Mortgage Timing

Number of pages: 67 Posted: 23 Dec 2008 Last Revised: 02 Oct 2015
Ralph S. J. Koijen, Otto Van Hemert and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business, Man AHL and Columbia University Graduate School of Business
Downloads 1,542 (24,696)
Citation 3

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Mortgage Timing

NBER Working Paper No. w13361
Number of pages: 53 Posted: 10 Sep 2007 Last Revised: 05 Feb 2023
Ralph S. J. Koijen, Otto Van Hemert and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business, Man AHL and Columbia University Graduate School of Business
Downloads 175 (348,144)
Citation 20

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13.

The MOM-TOM Effect: Detecting the Market Impact of CTA Trading

Number of pages: 12 Posted: 30 Oct 2014
Otto Van Hemert
Man AHL
Downloads 1,941 (17,618)

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momentum, trend following, CTA, managed futures, market impact, calendar effect, crowded trade, market efficiency, trading strategy, hedge fund

14.

The Best Strategies for FX Hedging

Number of pages: 48 Posted: 12 Dec 2024 Last Revised: 21 Jan 2025
Pedro Castro, Carl Hamill, John Harber, Campbell R. Harvey and Otto Van Hemert
Man Group plc, Man AHL, Man AHL, Duke University - Fuqua School of Business and Man AHL
Downloads 1,872 (18,717)

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FX, Hedging, Carry, Value, Momentum, Trend, Purchasing Power Parity, Active Investing, Dynamic Hedging

15.

Pricing of Commercial Real Estate Securities during the 2007-2009 Financial Crisis

Number of pages: 77 Posted: 08 Sep 2009 Last Revised: 29 Jul 2011
Joost Driessen and Otto Van Hemert
Tilburg University - Tilburg University School of Economics and Management and Man AHL
Downloads 1,700 (21,664)
Citation 12

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Mortgage, CMBS, CMBX, REIT, Market Efficiency, Financial Crisis, Commercial Real Estate

16.

How the 52-Week High and Low Affect Option-Implied Volatilities and Stock Return Moments

Review of Finance, Forthcoming
Number of pages: 47 Posted: 22 Mar 2010 Last Revised: 09 Jul 2011
Joost Driessen, Tse-Chun Lin and Otto Van Hemert
Tilburg University - Tilburg University School of Economics and Management, The University of Hong Kong - Faculty of Business and Economics and Man AHL
Downloads 1,461 (27,212)
Citation 3

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52-week high, 52-week low, implied volatility, beta, volatility, anchoring, prospect theory, investor attention, barrier, support level, resistance level

17.

Hedging House Price Risk: Portfolio Choice With Housing Futures

Number of pages: 49 Posted: 13 Jun 2005 Last Revised: 17 May 2015
Frank De Jong, Joost Driessen and Otto Van Hemert
Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management and Man AHL
Downloads 1,000 (47,170)
Citation 19

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Housing futures, portfolio choice, mortgage

18.

Household Interest Rate Risk Management

AFA 2007 Chicago Meetings Paper, EFA 2006 Zurich Meetings
Number of pages: 55 Posted: 15 Mar 2006 Last Revised: 23 Feb 2009
Otto Van Hemert
Man AHL
Downloads 843 (59,722)
Citation 7

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portfolio choice, mortgage, housing, term structure of interest rates