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Informationen zum Autor Lars Jaeger holds a PhD degree in theoretical physics from the Max-Planck Institute for Physics of Complex Systems, Dresden. He studied physics and philosophy at the University of Bonn, Germany, and Ã?cole Polytechnique, Paris. After his post-doctorate studies in Dresden, Lars began his finance career as a quantitative researcher on econometric and mathematical modeling of financial markets at Olsen & Associates AG in Zurich. He subsequently joined the Hedge Fund group of Credit Suisse Asset management, where he was responsible for risk management and quantitative strategy analysis. Lars is a founding partner of saisGroup, an investment firm specializing on alternative investment strategies which in 2001 merged with Partners Group, where he is now a partner heading the group â??Alternative Beta Strategesâ??. Lars holds the CFA charter and is a certified Financial Risk Manager (FRM). He is the author of numerous research publications and the books Risk Management of Alternative Investment Strategies , published in 2002 with Financial Times Prentice Hall, The New Generation of Risk Management for Hedge Funds and Private Equity (ed.) published by Euromoney in 2003, and Through the Alpha Smokescreen: A guide to hedge fund return sources , published by Institutional Investors (2005). Lars lives with his wife and three children near Zurich, Switzerland. Klappentext "It was around early 2002 when Lars Jaeger and I started exchanging ideas about distinguishing between hedge fund alphas and hedge fund betas as different sources of performance. Hitherto, most hedge fund return models were rooted in performance attribution literature. The notion of a rule-based approach to investing into a portfolio of hedge fund strategies, such as investable hedge fund indices, was not much more than a germ of an idea. Lars' seven-year journey, from embracing the concept of alternative beta to persuading the investment community that this represents an efficient avenue for achieving hedge fund-like returns, is a tour de force. This book offers the reader valuable insight into the thinking behind this landmark development in hedge fund research."Bill Fung, Visiting Research Professor of Finance, Hedge Fund Research Centre, London Business School. Zusammenfassung There s a buzzword that has quickly captured the imagination of product providers and investors alike: "hedge fund replication". In the broadest sense, replicating hedge fund strategies means replicating their return sources and corresponding risk exposures. Inhaltsverzeichnis Preface ix 1 Breaking the Black Box 1 1.1 New popularity, old confusion 1 1.2 The challenges of understanding hedge funds 2 1.3 Leaving Alphaville 3 1.4 The beauty of beta 4 1.5 Alternative versus traditional beta 4 1.6 The replication revolution 5 1.7 Full disclosure 6 2 What AreHedge Funds,Where Did They Come From, and Where Are They Going? 7 2.1 Characteristics of hedge funds 7 2.2 Hedge funds as an asset class 11 2.3 Taxonomy of hedge funds 11 2.4 Myths, misperceptions, and realities about hedge funds 15 2.5 A short history of hedge funds 22 2.6 The hedge fund industry today 26 2.7 The future of hedge funds - opportunities and challenges 30 3 The Individual Hedge Fund Strategies' Characteristics 37 3.1 Equity Hedged - Long/Short Equity 37 3.2 Equity Hedged - Equity Market Neutral 41 3.3 Equity Hedged - Short Selling 44 3.4 Relative Value - general 45 3.5 Relative Value - Fixed Income Arbitrage 46 3.6 Relative Value - Convertible Arbitrage 51 3.7 Relative Value - Volatility Arbitrage 58 3.8 Relative Value - Capital Structure Arbitrage 60 3.9 Event Driven - general 62 3.10 Event Driven - Merger Arbitrage 64 3.11 Ev...
