Mehr lesen
Zusatztext "For scholars already familiar with the concepts of modern portfolio theory, the book is a good start in a quest to expand their knowledge of hedge funds strategies. . . . As one of the leading researchers in the field, Lo sets the standard by establishing key concepts for the industry with this book." ---Marcel Möllenbeck, Financial Markets and Portfolio Management Informationen zum Autor Andrew W. Lo is the Harris & Harris Group Professor at the MIT Sloan School of Management, and director of the MIT Laboratory for Financial Engineering. He is the coauthor of A Non-Random Walk Down Wall Street and The Econometrics of Financial Markets (both Princeton). Klappentext The hedge fund industry has grown dramatically over the last two decades, with more than eight thousand funds now controlling close to two trillion dollars. Originally intended for the wealthy, these private investments have now attracted a much broader following that includes pension funds and retail investors. Because hedge funds are largely unregulated and shrouded in secrecy, they have developed a mystique and allure that can beguile even the most experienced investor. In Hedge Funds, Andrew Lo--one of the world's most respected financial economists--addresses the pressing need for a systematic framework for managing hedge fund investments. Arguing that hedge funds have very different risk and return characteristics than traditional investments, Lo constructs new tools for analyzing their dynamics, including measures of illiquidity exposure and performance smoothing, linear and nonlinear risk models that capture alternative betas, econometric models of hedge fund failure rates, and integrated investment processes for alternative investments. In a new chapter, he looks at how the strategies for and regulation of hedge funds have changed in the aftermath of the financial crisis. Zusammenfassung The hedge fund industry has grown dramatically over the years. Originally intended for the wealthy, these private investments have attracted a much broader following that includes pension funds and retail investors. This book addresses the pressing need for a systematic framework for managing hedge fund investments. Inhaltsverzeichnis List of Tables xi List of Figures xvii List of Color Plates xxi Acknowledgments xxiii Chapter 1: Introduction 1 1.1 Tail Risk 7 1.2 Nonlinear Risks 13 1.3 Illiquidity and Serial Correlation 25 1.4 Literature Review 30 Chapter 2: Basic Properties of Hedge Fund Returns 34 2.1 CS/Tremont Indexes 37 2.2 Lipper TASS Data 40 2.3 Attrition Rates 43 Chapter 3: Serial Correlation! Smoothed Returns! and Illiquidity 64 3.1 An Econometric Model of Smoothed Returns 66 3.2 Implications for Performance Statistics 70 3.3 Estimation of Smoothing Profiles 75 3.4 Smoothing-Adjusted Sharpe Ratios 79 3.5 Empirical Analysis of Smoothing and Illiquidity 83 Chapter 4: Optimal Liquidity 97 4.1 Liquidity Metrics 98 4.2 Liquidity-Optimized Portfolios 105 4.3 Empirical Examples 107 4.4 Summary and Extensions 117 Chapter 5: Hedge Fund Beta Replication 121 5.1 Literature Review 123 5.2 Two Examples 124 5.3 Linear Regression Analysis 126 5.4 Linear Clones 138 5.5 Summary and Extensions 164 Chapter 6: A New Measure of Active Investment Management 168 6.1 Literature Review 170 6.2 The AP Decomposition 172 6.3 Some Analytical Examples 181 6.4 Implementing the AP Decomposition 186 6.5 An Empirical Application 193 6.6 Summary and Extensions 197 Chapter 7: Hedge Funds and Systemic Risk 198 7.1 Measuring Illiquidity Risk 200 7.2 Hedge Fund Liquidations 203 7.3 Regime-Switching Models 211 7.4 The Current Outlook 215 Chapter 8: An Integrated Hedge Fund Investment Process 217 8.1 Define Asset Classes by Strategy 221 8.2 Set Portfolio Target Expected Returns 222 8.3 Set Asset-Class Target Expected ...
