Hedge Fund Analysis - An In-Depth Guide to Evaluating Return Potential and Assessing Risks

Informationen zum Autor FRANK J. TRAVERS, CFA, is a portfolio manager at Larch Lane Advisors. He has over two decades of experience analyzing traditional long-only, private equity, and hedge fund strategies. Previously, he was the director of research at First Peninsula Capital and a portfolio manager at Pine Street Advisors and CIC Group. Additionally, he held positions as the director of due diligence at CIBC World Markets, associate director of international equity research at Evaluation Associates, and senior analyst positions at Morgan Stanley Asset Management and RCB Trust. Travers is the author of Investment Manager Analysis: A Comprehensive Guide to Portfolio Selection, Monitoring, and Optimization , also published by Wiley. He received his BS in finance from St. John's University and his MBA from Fordham University. Klappentext A detailed, step-by-step book covering the entire hedge fund evaluation processInvesting in hedge funds is different from investing in other asset classes. There is much less publicly available information about hedge funds performance than there is about mutual funds or individual stocks. Consequently, investing in this class requires more sophisticated investment knowledge, greater due diligence, and, in many cases, a better-developed ability to evaluate investment managers.Hedge Fund Analysis provides a broad framework of how to approach this endeavor, from initial screening to analytical techniques, interviewing skills, and legal and contract negotiations. Along the way, it demonstrates a variety of mechanisms for monitoring and tracking hedge funds and the underlying hedge fund portfolios--explaining each stage of the process in minute detail and providing specific examples which fully explain the opportunities and challenges you'll face each step of the way.* Provides a detailed look at how to source hedge funds, screen through them, and rank their strengths and weaknesses* Lays out a thorough process for evaluating funds, from initial interviews to performance analysis to onsite meetings* Reveals what questions to ask by strategy in order to understand the underlying risk factors associated with each* Highlights non-investment analysis, including operational due diligence and risk management, as integral elements in the processWritten by a financial professional with over twenty years of experience conducting investment manager due diligence, this book will put you in a position to make more informed decisions when investing in hedge funds. Zusammenfassung A detailed, step-by-step book covering the entire hedge fund evaluation process Investing in hedge funds is different from investing in other asset classes. There is much less publicly available information about hedge funds performance than there is about mutual funds or individual stocks. Inhaltsverzeichnis Introduction xi PART ONE Background CHAPTER 1 Hedge Fund History 3 So Who Invented the Hedge Fund? 4 The Samurai 4 The Academic 5 The Legend 14 The Innovator 17 CHAPTER 2 Hedge Fund Asset Class 29 Definition 29 Hedge Fund Structure 31 Hedge Fund Strategies 32 Advantages of Allocating to Hedge Funds 43 Hedge Fund Size and Age Impacts Performance 52 PART TWO Hedge Fund Due Diligence CHAPTER 3 Due Diligence Process 57 Key Areas of Focus within Each Component of Due Diligence 57 The Due Diligence Process Highlighted in This Book 60 Putting It All Together 67 Some Initial Thoughts 70 CHAPTER 4 Initial Data Collection 77 Data Collection 78 Due Diligence Questionnaire (DDQ) 80 Fictional Capital Management 80 Other Materials 106 Further Analysis 108 13F Analysis 116 Hedge Fund Journal 119 CHAPTER 5 Initial Interview 12...

List of contents

Introduction xi
 
PART ONE Background
 
CHAPTER 1 Hedge Fund History 3
 
So Who Invented the Hedge Fund? 4
 
The Samurai 4
 
The Academic 5
 
The Legend 14
 
The Innovator 17
 
CHAPTER 2 Hedge Fund Asset Class 29
 
Definition 29
 
Hedge Fund Structure 31
 
Hedge Fund Strategies 32
 
Advantages of Allocating to Hedge Funds 43
 
Hedge Fund Size and Age Impacts Performance 52
 
PART TWO Hedge Fund Due Diligence
 
CHAPTER 3 Due Diligence Process 57
 
Key Areas of Focus within Each Component of Due Diligence 57
 
The Due Diligence Process Highlighted in This Book 60
 
Putting It All Together 67
 
Some Initial Thoughts 70
 
CHAPTER 4 Initial Data Collection 77
 
Data Collection 78
 
Due Diligence Questionnaire (DDQ) 80
 
Fictional Capital Management 80
 
Other Materials 106
 
Further Analysis 108
 
13F Analysis 116
 
Hedge Fund Journal 119
 
CHAPTER 5 Initial Interview 121
 
Initial Call or Meeting 121
 
Phone Interviews 122
 
Meeting Notes 139
 
CHAPTER 6 Quantitative Analysis 145
 
Performance Measures 146
 
Absolute Return Measures 146
 
Absolute Risk Measures 154
 
Regression-Based Statistics 164
 
Peer Group Analysis 168
 
CHAPTER 7 Portfolio Analysis 173
 
Attribution Analysis 174
 
Fundamental Analysis 189
 
Evaluating Portfolio Data 193
 
CHAPTER 8 Onsite Interviews 217
 
Onsite Meeting Strategies 219
 
One-on-One Meetings 219
 
Meeting with More Than One Person 222
 
Different Perspectives 223
 
Meeting Notes 224
 
Onsite Interviews at Fictional Capital Management (FCM) 228
 
CHAPTER 9 Operational Due Diligence 259
 
Case Study: Bayou Fund 259
 
Definition 261
 
Importance of Operational Due Diligence 263
 
Categorization of Operational Due Diligence 267
 
Interview with FCM Operational Staff 301
 
CHAPTER 10 Risk Due Diligence 309
 
Graphical Depiction of Hedge Fund Risks 312
 
Risk Due Diligence 314
 
Factor Decomposition Analysis 330
 
Interview with FCM Risk Manager 333
 
CHAPTER 11 Reference and Background Checks 339
 
Onlist and Offlist References 340
 
Internet and Social Media 341
 
Contacting References 343
 
Problematic References 346
 
Whose References Should You Check? 349
 
How Many Reference Calls Are Enough? 350
 
Background Checks 352
 
Summary of Reference Calls for FCM 353
 
CHAPTER 12 Hedge Fund Scoring Model and Decision Making 357
 
Hedge Fund Scoring Model 358
 
Putting It All Together 374
 
About the Author 379
 
Index 381

Product details

• Authors: Travers, Fj Travers, Frank J Travers, Frank J. Travers, Travers Frank J.
• Publisher: Wiley, John and Sons Ltd
• Languages: English
• Product format: Hardback
• Released: 19.10.2012
• EAN: 9781118175460
• ISBN: 978-1-118-17546-0
• No. of pages: 416
• Series: Wiley Finance; Wiley Finance Editions; The Wiley Finance Series; Wiley Finance; Wiley Finance Editions
• Subjects: Social sciences, law, business > Business > Business administration; Finance & Investments, Finanz- u. Anlagewesen, Institutionelle Finanzplanung, Institutional & Corporate Finance