| Description |
1 online resource (viii, 208 pages) : illustrations (chiefly color) |
| Contents |
Introduction; Chapter 1 Working Papers: "Hedge" Funds Sanjiv Ranjan Das; 1 Portfolio Impact; 2 Strategies and Styles; 3 Risk Measurement and Management; 4 Performance and Fee Structures; 5 Conclusion; Notes; References; Chapter 2 Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations Mila Getmansky, Andrew W. Lo, and Shauna X. Mei; 1 Introduction; 2 Literature Review; 3 The TASS Live and Graveyard Databases; 4 Attrition Rates; 5 Valuation and Illiquidity Risk; 6 Conclusions; Acknowledgments; Appendix; Notes; References |
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Chapter 3 The Dangers of Mechanical Investment Decision-Making: The Case of Hedge Funds Harry M. Kat1 Introduction; 2 Modern Portfolio Theory in Action; 3 Hedge Fund Data; 3.1 An unknown universe; 3.2 No independent auditing; 3.3 Backfill bias; 3.4 Survivorship bias; 3.5 Marking-to-market problems; 3.6 Limited data; 4 Hedge Fund Risk; 5 Hedge Fund Sharpe Ratios; 6 Hedge Fund Alphas; 7 Hedge Fund Diversification; 8 Hedge Funds and Equity; 9 Hedge Funds and Mean-Variance Analysis; 10 Conclusions; References |
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Chapter 4 Understanding Mutual Fund and Hedge Fund Styles Using Return-Based Style Analysis Arik Ben Dor, Ravi Jagannathan, and Iwan Meier1 Introduction; 2 Methodology; 2.1 Linear factor models and return-based style analysis; 2.2 Role of adjusted R2 measure in choosing style weights; 2.3 An alternative: the Akaike information criterion; 2.4 The effective style of a multi-manager portfolio; 3 Return-Based Style Analysis in Practice; 3.1 Data and asset class specifications; 3.2 An example: Vanguard Windsor; 3.3 Performance analysis; 3.4 Growth and income funds |
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3.5 Active versus passive portfolio management3.6 Comparison with portfolio-composition-based style analysis; 4 Choosing Style Benchmarks; 4.1 Asset class misspecification; 4.2 Number of asset classes; 4.3 Sector indexes; 4.4 Low R2 as an indicator of active management; 4.5 Style consistency and changes in management; 4.6 Manager universes and peer evaluation; 5 Style Analysis of Hedge Funds; 5.1 Additional asset classes for return-based style analysis of hedge funds; 5.2 Characterizing the risk in two hedge fund strategies: merger arbitrage and market timing |
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5.3 Index choice and survivorship bias5.4 Equity-oriented strategies; 5.5 Stepwise regression to identify major exposures; 6 Conclusions; Acknowledgments; Appendix A: Asset classes; Appendix B: Growth and income funds -- objective and investment strategy; Appendix C: HFR hedge fund classes; Notes; References; Chapter 5 Alternative Investments: CTAs, Hedge Funds, and Funds-of-Funds Bing Liang; 1 Introduction; 2 Data; 3 Performance, Risk, and Fee Structures; 3.1 Performance and risk; 3.2 The asset class factor model |
| Summary |
The World of Hedge Funds is a compendium of distinguishedpapers focusing on the cutting-edge analysis of hedge funds. This areais arguably the fastest growing source of funds in the investmentmanagement arena. It represents an exciting opportunity for theinvestor and manager in terms of the range of return and riskavailable |
| Bibliography |
Includes bibliographical references |
| Notes |
Print version record |
| Subject |
Hedge funds.
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BUSINESS & ECONOMICS -- Investments & Securities -- General.
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Hedge funds
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| Form |
Electronic book
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| Author |
Fong, H. Gifford
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| LC no. |
2005044180 |
| ISBN |
9812569448 |
|
9789812569448 |
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9789812563774 |
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9812563776 |
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1281881082 |
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9781281881083 |
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