Hedge Funds
Quantitative Insights
(Sprache: Englisch)
Hedge funds are the fastest growing sector of the financial industry, and possibly the least understood. In this book, as a follow-on to Hedge Funds: Myths and Limits, the author provides a primer on the quantitative nature of these alternative...
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Hedge funds are the fastest growing sector of the financial industry, and possibly the least understood. In this book, as a follow-on to Hedge Funds: Myths and Limits, the author provides a primer on the quantitative nature of these alternative investments.Written by an author experienced as both a practitioner and academic, Hedge Funds: Quantitative Insights provides a step-by-step introduction on how quantitative tools can be applied to hedge fund investing. Divided into three parts, the book begins with coverage of the measurement of risk-adjusted returns for hedge funds. The focus is not on determining whether hedge funds outperform or under-perform traditional markets, but rather on understanding the real meaning of performance statistics used by hedge fund managers and quantitative analysts. The second part of the book examines the risk exposures of hedge funds, and subsequently, their return drivers. The final part of the book enters the field of portfolio construction and asset allocation.
Hedge Funds: Quantitative Insights is essential reading for finance practitioners, including portfolio managers, qualitative and quantitative analysts, consultants and investors - both institutional and private. It could also prove useful to students of finance who want a better understanding of what goes on in the hedge fund world.
Inhaltsverzeichnis zu „Hedge Funds “
Foreword by Mark Anson.Introduction.
Acknowledgments.
PART I: MEASURING RETURN AND RISK.
1 Characteristics of Hedge Funds.
1.1 What are hedge funds?
1.2 Investment styles.
1.3 The current state of the hedge fund industry.
2 Measuring Return.
2.1 The difficulties of obtaining information.
2.2 Equalization, crystallization and multiple share classes.
2.3 Measuring returns.
3 Return and Risk Statistics.
3.1 Calculating return statistics.
3.2 Measuring risk.
3.3 Downside risk measures.
3.4 Benchmark-related statistics.
4 Risk-Adjusted Performance Measures.
4.1 The Sharpe ratio.
4.2 The Treynor ratio and Jensen alpha.
4.3 M2, M3 and Graham-Harvey.
4.4 Performance measures based on downside risk.
4.5 Conclusions.
5 Databases, Indices and Benchmarks.
5.1 Hedge fund databases.
5.2 The various biases in hedge fund databases.
5.3 From databases to indices.
5.4 From indices to benchmarks.
PART II: UNDERSTANDING THE NATURE OF HEDGE FUND RETURNS AND RISKS.
6 Covariance and Correlation.
6.1 Scatter plots.
6.2 Covariance and correlation.
6.3 The geometry of correlation and diversification.
6.4 Why correlation may lead to wrong conclusions.
6.5 The question of statistical significance.
7 Regression Analysis.
7.1 Simple linear regression.
7.2 Multiple linear regression.
7.3 The dangers of model specification.
7.4 Alternative regression approaches.
8 Asset Pricing Models.
8.1 Why do we need a factor model?
8.2 Linear single-factor models.
8.3 Linear multi-factor models.
8.4 Accounting for non-linearity.
8.5 Hedge funds as option portfolios.
8.6 Do hedge funds really produce alpha?
9 Styles, Clusters and Classification.
9.1 Defining investment styles.
9.2 Style analysis.
9.3 The Kalman filter.
9.4 Cluster analysis.
PART III: ALLOCATING CAPITAL TO HEDGE FUNDS.
10 Revisiting the Benefits and Risks of Hedge Fund Investing.
10.1 The benefits of hedge funds.
10.2 The benefits of individual hedge fund strategies.
10.3 Caveats of hedge
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fund investing.
11 Strategic Asset Allocation - From Portfolio Optimizing to Risk Budgeting.
11.1 Strategic asset allocation without hedge funds.
11.2 Introducing hedge funds in the asset allocation.
11.3 How much to allocate to hedge funds?
11.4 Hedge funds as portable alpha overlays.
11.5 Hedge funds as sources of alternative risk exposure.
12 Risk Measurement and Management.
12.1 Value at risk.
12.2 Monte Carlo simulation.
12.3 From measuring to managing risk.
13 Conclusions.
Online References.
Bibliography.
Index.
11 Strategic Asset Allocation - From Portfolio Optimizing to Risk Budgeting.
11.1 Strategic asset allocation without hedge funds.
11.2 Introducing hedge funds in the asset allocation.
11.3 How much to allocate to hedge funds?
11.4 Hedge funds as portable alpha overlays.
11.5 Hedge funds as sources of alternative risk exposure.
12 Risk Measurement and Management.
12.1 Value at risk.
12.2 Monte Carlo simulation.
12.3 From measuring to managing risk.
13 Conclusions.
Online References.
Bibliography.
Index.
... weniger
Autoren-Porträt von Francois-Serge Lhabitant
Francois-Serge LHabitant has substantial experience in risk management as both a practitioner and academic. He is Head of Quantitative Risk Management at Union Bancaire Privee, Geneva whilst he is also Professor of Risk Management at HEC, University of Lausanne. In addition to this he is Assistant Professor of Finance at Thunderbird, the American Graduate School of International Management and is one of the holders of the Deloitte & Touche Chair on Risk Management at the University of Antwerp. His previous experience includes being a Director of UBS/Global Asset Management
Bibliographische Angaben
- Autor: Francois-Serge Lhabitant
- 2004, 384 Seiten, Gebunden, Englisch
- Verlag: Wiley & Sons
- ISBN-10: 047085667X
- ISBN-13: 9780470856673
Sprache:
Englisch
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