The world of hedge funds : characteristics and analysis / editor H. Gifford Fong.
ISBN:
9789812569448
9789812563774
9781281881083
Title:
The world of hedge funds : characteristics and analysis / editor H. Gifford Fong.
Author:
Fong, H. Gifford.
Publication Information:
New Jersey : World Scientific, ©2005.
Physical 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.
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.
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.
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.
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.
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Publication Date:
2005
Publication Information:
New Jersey : World Scientific, ©2005.