Funds of hedge funds : performance, assessment, diversification, and statistical properties / edited by Greg N. Gregoriou.

ISBN:

9780750679848

9780080472829

Title:

Funds of hedge funds : performance, assessment, diversification, and statistical properties / edited by Greg N. Gregoriou.

Author:

Gregoriou, Greg N., 1956-

Publication Information:

Physical Description:

1 online resource (xxix, 466 pages) : illustrations.

Series:

Quantitative finance series

Contents:

1 Rank alpha funds of hedge funds -- Carol Alexander and Anca Dimitriu -- 2 Funds of hedge funds: bias and persistence in returns -- Daniel Capocci and Georgers Hübner -- 3 Replication and evaluation of fund of funds returns 1994-2005 -- Harry M. Kat and Helder P. Palaro -- 4 Factor decomposition of fund of funds returns -- Jean-Fraṅois Bacmann, Pierre Jeanneret, and Stefan Scholz -- 5 Optimal fund of fund asset allocation: hedge funds, CTAs and REITs -- Nicolas Papageorgiou and Alain Elkaim -- 6 The changing performance and factor risks of fund of funds in the modern -- period -- Keith H. Black -- 7 Hedge fund indices: are they cost-effective alternatives to fund of funds? -- Kathryn Wilkens -- 8 Simple hedge fund strategies as an alternative to funds of funds: evidence from large cap funds -- Greg N. Gregoriou, Georges Hübner, Nicolas Papageorgiou, and Fabrice Rouah -- 9 Funds of funds of hedge funds: welcome to diworsification -- Fraṅois-Serge Lhabitant and Nicolas Laporte -- 10 Style analysis of funds of hedge funds: measurement of asset allocation and style drift -- Andreas Oehler and Oliver A. Schwindler -- 11 Gains from adding funds of hedge funds to portfolios of traditional assets: An international perspective -- Niclas Hagelin, Bengt Pramborg, and Fredrik Stenberg -- 12 Tactical asset allocation for hedge fund indices at one- to six-month horizons -- Laurent Favre -- 13 Single strategy funds of hedge funds: how many funds? -- Ryan J. Davies, Harry M. Kat, and Sa Lu -- 14 The distributional characteristics of fund of hedge fund returns -- Elaine Hutson, Margaret Lynch and Max Stevenson -- 15 Funds of funds and diversification effect -- Maher Kooli -- 16 Higher-moment performance characteristics of funds of funds -- Zsolt Berenyi -- 17 The market risk of funds of hedge funds: a conditional approach -- Florent Pochon and J̌r̥me Te̐letche -- 18 Revisiting the Fama and French model: An application to funds of funds using -- nonlinear methods -- Eric Dub̌, Cľment Gignac and Fraṅois Eric Racicot -- 19 Investors choice: an investor-driven, forward-looking optimization approach to fund of hedge fund construction -- Clemens H. Glaffig -- 20 Moments analysis in risk and performance monitoring of funds of hedge funds -- David K.C. Lee, Kok Fai Phoon, and Choon Yuan Wong -- 21 An overview of funds of hedge funds -- Jean Brunel -- 22 Institutional investment due diligence on funds of hedge funds -- John E. Dunn, III -- 23 Synthetic CDO squares and the continuing evolution of funds of funds -- Paul Ali -- 24 Natural resources fund of funds: essays on active management, risk management, and due diligence -- 25 Identifying and monitoring risk in a fund of hedge funds portfolio -- Meredith A. Jones -- 26 The wizardry of analytics for funds of funds -- Mary Fjelstad and Leola Ross -- 27 Quantitative hedge fund selection for fund of funds -- Stephan Joehri and Markus Leippold.

Local Note:

eBooks on EBSCOhost

Subject Term:

Hedge funds.

Risk management.

Hedge funds -- Evaluation.

Investment analysis -- Mathematical models.

Added Author:

Gregoriou, Greg N., 1956-

Format:

Electronic Resources

Electronic Access:

Click here to view

Publication Date:

2006

Publication Information:

Available:*

Shelf Number	Material Type	Copy	Shelf Location	Status
332.645 22	1:E-BOOK	1	1:ONLINE	Searching... Unknown

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Summary

With about $450 billion in assets, funds of hedge funds are the most recent darling of investors. While hedge funds carry high risk for the promise of high returns they are designed for the very rich and for large institutional investors such as pension funds. A Fund of Hedge Funds (FOF) spreads investments among a number of hedge funds to reduce risk and provide diversification, while maintaining the potential for higher than average returns. Odds are that some pension fund of yours is invested heavily in these products, and more recently these FOFs have been opened to more and more individual investors in offshore jurisdictions with lower minimum entry levels. Since this is a new and extremely fast-moving financial phenomenon, academic research has just begun in earnest, and this is the first book to present rigorous academic research by some of the leading lights in academic finance, carefully analyzing the broad array of issues involved in FOFs.

Author Notes

A native of Montreal, Professor Greg N. Gregoriou obtained his joint Ph.D. in finance at the University of Quebec at Montreal which merges the resources of Montreal's four major universities McGill, Concordia, UQAM and HEC. Professor Gregoriou is Professor of Finance at State University of New York (Plattsburgh) and has taught a variety of finance courses such as Alternative Investments, International Finance, Money and Capital Markets, Portfolio Management, and Corporate Finance. He has also lectured at the University of Vermont, Universidad de Navarra and at the University of Quebec at Montreal.

Professor Gregoriou has published 50 books, 65 refereed publications in peer-reviewed journals and 24 book chapters since his arrival at SUNY Plattsburgh in August 2003. Professor Gregoriou's books have been published by McGraw-Hill, John Wiley & Sons, Elsevier-Butterworth/Heinemann, Taylor and Francis/CRC Press, Palgrave-MacMillan and Risk Books. Four of his books have been translated into Chinese and Russian. His academic articles have appeared in well-known peer-reviewed journals such as the Review of Asset Pricing Studies, Journal of Portfolio Management, Journal of Futures Markets, European Journal of Operational Research, Annals of Operations Research, Computers and Operations Research, etc.

Professor Gregoriou is the derivatives editor and editorial board member for the Journal of Asset Management as well as editorial board member for the Journal of Wealth Management, the Journal of Risk Management in Financial Institutions, Market Integrity, IEB International Journal of Finance, and the Brazilian Business Review. Professor Gregoriou's interests focus on hedge funds, funds of funds, commodity trading advisors, managed futures, venture capital and private equity. He has also been quoted several times in the New York Times, Barron's, the Financial Times of London, Le Temps (Geneva), Les Echos (Paris) and L'Observateur de Monaco. He has done consulting work for numerous clients and investment firms in Montreal. He is a part-time lecturer in finance at McGill University, an advisory member of the Markets and Services Research Centre at Edith Cowan University in Joondalup (Australia), a senior advisor to the Ferrell Asset Management Group in Singapore and a research associate with the University of Quebec at Montreal's CDP Capital Chair in Portfolio Management. He is on the advisory board of the Research Center for Operations and Productivity Management at the University of Science and Technology (Management School) in Hefei, Anhui, China.

1 Rank alpha funds of hedge fundsCarol Alexander and Anca Dimitriu

2 Funds of hedge funds: bias and persistence in returnsDaniel Capocci and Georgers Hubner

3 Replication and evaluation of fund of funds returns 1994-2005Harry M. Kat and Helder P. Palaro

4 Factor decomposition of fund of funds returnsJean-Francois Bacmann and Pierre Jeanneret and Stefan Scholz

5 Optimal fund of fund asset allocation: hedge funds, CTAs and REITsNicolas Papageorgiou and Alain Elkaim

16 The changing performance and factor risks of fund of funds in the modern periodKeith H. Black

7 Hedge fund indices: are they cost-effective alternatives to fund of funds?Kathryn Wilkens

8 Simple hedge fund strategies as an alternative to funds of funds: evidence from large cap fundsGreg N. Gregoriou and Georges Hubner and Nicolas Papageorgiou and Fabrice Rouah

9 Funds of funds of hedge funds: welcome to diworsificationFrancois-Serge Lhabitant and Nicolas Laporte

10 Style analysis of funds of hedge funds: measurement of asset allocation and style driftAndreas Oehler and Oliver A. Schwindler

11 Gains from adding funds of hedge funds to portfolios of traditional assets: An international perspectiveNiclas Hagelin and Bengt Pramborg and Fredrik Stenberg

12 Tactical asset allocation for hedge fund indices at one- to six-month horizonsLaurent Favre

13 Single strategy funds of hedge funds: how many funds?Ryan J. Davies and Harry M. Kat and Sa Lu

14 The distributional characteristics of fund of hedge fund returnsElaine Hutson and Margaret Lynch and Max Stevenson

15 Funds of funds and diversification effectMaher Kooli

16 Higher-moment performance characteristics of funds of fundsZsolt Berenyi

17 The market risk of funds of hedge funds: a conditional approachFlorent Pochon and Jerome Teiletche

18 Revisiting the Fama and French model: An application to funds of funds using nonlinear methodsEric Dube and Clement Gignac and Francois Eric Racicot

19 Investors choice: an investor-driven, forward-looking optimization approach to fund of hedge fund constructionClemens H. Glaffig

20 Moments analysis in risk and performance monitoring of funds of hedge fundsDavid K.C. Lee and Kok Fai Phoon and Choon Yuan Wong

21 An overview of funds of hedge fundsJean Brunel

22 Institutional investment due diligence on funds of hedge fundsJohn E. Dunn, III

23 Synthetic CDO squares and the continuing evolution of funds of fundsPaul Ali

24 Natural resources fund of funds: essays on active management, risk management, and due diligence

25 Identifying and monitoring risk in a fund of hedge funds portfolioMeredith A. Jones

26 The wizardry of analytics for funds of fundsMary Fjelstad and Leola Ross

27 Quantitative hedge fund selection for fund of fundsStephan Joehri and Markus Leippold

Available:*

Bound With These Titles

On Order

Summary

Summary

Author Notes

Table of Contents