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Ep. 569: Andrew Lo with Michael Covel on Trend Following Radio

Michael Covel's Trend Following

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The Importance of Systemic Risk in the Great Recession

In 2005, I wrote an article that looked at the notion of systemic risk. The fact that a hedge fund could create these kinds of shockwaves was really quite an extraordinary event. One of the things that my students and I discovered when we looked at the data on hedge funds is that from a variety of different statistical measures, we were seeing a buildup of leverage in the hedge fund space.

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