Otto Van Hemert

Man AHL

Riverbank House

2 Swan Lane

London, EC4R 3AD

United Kingdom

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 211

SSRN RANKINGS

Top 211

in Total Papers Downloads

61,476

SSRN CITATIONS
Rank 3,541

SSRN RANKINGS

Top 3,541

in Total Papers Citations

90

CROSSREF CITATIONS

203

Scholarly Papers (13)

1.

Understanding the Subprime Mortgage Crisis

Number of pages: 40 Posted: 10 Oct 2007 Last Revised: 20 Jun 2009
Yuliya S. Demyanyk and Otto Van Hemert
University of Illinois at Chicago and Man AHL
Downloads 43,875 (27)
Citation 160

Abstract:

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mortgage, subprime, delinquency, foreclosure

2.

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

Number of pages: 26 Posted: 31 May 2019
Duke University - Fuqua School of Business, Man AHL, Man Group plc, Man AHL, Man Numeric and Man AHL
Downloads 2,269 (5,922)

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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

3.

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
Duke University - Fuqua School of Business, Man Group plc, Realindex Investments and Man AHL
Downloads 1,916 (7,872)
Citation 2

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

4.

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 1,890 (8,069)
Citation 6

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trend following, momentum, crisis alpha, skewness

5.

Strategic Rebalancing

Number of pages: 19 Posted: 17 Feb 2019 Last Revised: 20 Jul 2019
Man AHL, Duke University - Fuqua School of Business, Man Group plc and Man AHL
Downloads 1,654 (10,033)

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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

6.
Downloads 1,453 ( 10,085)
Citation 51

Mortgage Timing

Number of pages: 67 Posted: 23 Dec 2008 Last Revised: 02 Oct 2015
University of Chicago - Booth School of Business, Man AHL and Columbia University Graduate School of Business
Downloads 1,414 (12,635)
Citation 1

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Mortgage Timing

NBER Working Paper No. w13361
Number of pages: 53 Posted: 10 Sep 2007 Last Revised: 06 Jul 2010
University of Chicago - Booth School of Business, Man AHL and Columbia University Graduate School of Business
Downloads 39 (441,340)
Citation 4

Abstract:

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7.

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 - Center and Faculty of Economics and Business Administration and Man AHL
Downloads 1,530 (11,369)
Citation 3

Abstract:

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

8.

The Impact of Volatility Targeting

Number of pages: 28 Posted: 17 May 2018 Last Revised: 11 Jul 2018
Duke University - Fuqua School of Business, Man AHL, Man AHL, Man Group plc, Man AHL and Man AHL
Downloads 1,517 (11,518)
Citation 10

Abstract:

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

9.

The Best Strategies for the Worst Crises

Number of pages: 23 Posted: 16 Jun 2017
Man AHL, Man AHL, Man AHL, Man Numeric and Man AHL
Downloads 1,502 (11,711)
Citation 2

Abstract:

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

10.

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 1,277 (15,102)

Abstract:

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

11.

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 - Center and Faculty of Economics and Business Administration, The University of Hong Kong - Faculty of Business and Economics and Man AHL
Downloads 1,134 (18,118)
Citation 1

Abstract:

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

12.

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 - Center and Faculty of Economics and Business Administration and Man AHL
Downloads 774 (31,394)
Citation 16

Abstract:

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Housing futures, portfolio choice, mortgage

13.
Downloads 685 ( 37,125)
Citation 16

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 684 (36,621)
Citation 3

Abstract:

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

Household Interest Rate Risk Management

Real Estate Economics, Vol. 38, No. 3, pp. 467-505, Fall 2010
Number of pages: 39 Posted: 18 Aug 2010
Otto Van Hemert
Man AHL
Downloads 1 (689,595)
Citation 6
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