Hedge Funds: Quantitative Insights

Klappentext "An excellent and comprehensive source of information on hedge funds! From a quantitative view Lhabitant has done it once again by meticulously looking at the important topics in the hedge fund industry. This book has a tremendous wealth of information and is a valuable addition to the hedge fund literature. In addition, it will benefit institutional investors, high net worth individuals, academics and anyone interested in learning more about this fascinating and often mysterious world of privately managed money. Written by one of the most respected practitioners and academics in the area of hedge funds." -Greg N. Gregoriou, Professor of finance and research coordinator in the School of Business and Economics at Plattsburgh State University of New York."This is a landmark book on quantitative approaches to hedge funds. All those with a stake in building hedge fund portfolios will highly profit from this exhaustive guide. A must read for all those involved in hedge fund investing." -Pascal Botteron, Ph.D., Head of Hedge Fund Product Development, Pictet Asset Management"François-Serge Lhabitant's second book will prove to be a bestseller too - just like Hedge Funds: Myths and Limits. He actually manages to make quantitative analysis 'approachable'- even for those less gifted with numbers. This book, like its predecessor, includes an unprecedented mix of common sense and sophisticated technique. A fantastic guide to the 'nuts and bolts' of hedge fund analysis and a 'must' for every serious investor." -Barbara Rupf Bee, Head of Alternative Fund Investment Group, HSBC Private Bank, Switzerland"An excellent book, providing deep insights into the complex quantitative analysis of hedge funds in the most lucid and intuitive manner. A must-have supplement to Lhabitant's first book dealing with the mystical and fascinating world of hedge funds. Highly recommended!" -Vikas Agarwal, Assistant Professor of Finance, J. Mack Robinson College of Business, Georgia State University"Lhabitant has done it again! Whereas most books on hedge funds are nothing more than glorified marketing brochures, Lhabitant's new book tells it how it is in reality. Accessible and understandable but at the same time thorough and critical." -Harry M. Kat, Ph.D., Professor of Risk Management and Director Alternative Investment Research Centre, Cass Business School, City University"Lhabitant's latest work on hedge funds yet again delivers on some ambitious promises. Successfully bridging theory and practice in a highly accessible manner, those searching for a thorough yet unintimidating introduction to the quantitative methods of hedge fund analysis will not be disappointed." -Christopher L. Culp, Ph.D., Adjunct Professor of Finance, Graduate School of Business, The University of Chicago and Principal, Chicago Partners LLC Inhaltsverzeichnis Foreword by Mark Anson.Introduction.Acknowledgments.PART I: MEASURING RETURN AND RISK.1 Characteristics of Hedge Funds.1.1 What are hedge funds?1.2 Investment styles.1.3 The current state of the hedge fund industry.2 Measuring Return.2.1 The difficulties of obtaining information.2.2 Equalization, crystallization and multiple share classes.2.3 Measuring returns.3 Return and Risk Statistics.3.1 Calculating return statistics.3.2 Measuring risk.3.3 Downside risk measures.3.4 Benchmark-related statistics.4 Risk-Adjusted Performance Measures.4.1 The Sharpe ratio.4.2 The Treynor ratio and Jensen alpha.4.3 M2, M3 and Graham-Harvey.4.4 Performance measures based on downside risk.4.5 Conclusions.5 Databases, Indices and Benchmarks.5.1 Hedge fund databases.5.2 The various biases in hedge fund databases.5.3 From databases to indices.5.4 From indices to benchmarks.PART II: UNDERSTANDING THE NATURE OF HEDGE FUND RETURNS AND RISKS.6 Covariance and Corre...

List of contents

Foreword by Mark Anson.
Introduction.
Acknowledgments.
PART I: MEASURING RETURN AND RISK.
1 Characteristics of Hedge Funds.
1.1 What are hedge funds?
1.2 Investment styles.
1.3 The current state of the hedge fund industry.
2 Measuring Return.
2.1 The difficulties of obtaining information.
2.2 Equalization, crystallization and multiple share classes.
2.3 Measuring returns.
3 Return and Risk Statistics.
3.1 Calculating return statistics.
3.2 Measuring risk.
3.3 Downside risk measures.
3.4 Benchmark-related statistics.
4 Risk-Adjusted Performance Measures.
4.1 The Sharpe ratio.
4.2 The Treynor ratio and Jensen alpha.
4.3 M2, M3 and Graham-Harvey.
4.4 Performance measures based on downside risk.
4.5 Conclusions.
5 Databases, Indices and Benchmarks.
5.1 Hedge fund databases.
5.2 The various biases in hedge fund databases.
5.3 From databases to indices.
5.4 From indices to benchmarks.
PART II: UNDERSTANDING THE NATURE OF HEDGE FUND RETURNS AND RISKS.
6 Covariance and Correlation.
6.1 Scatter plots.
6.2 Covariance and correlation.
6.3 The geometry of correlation and diversification.
6.4 Why correlation may lead to wrong conclusions.
6.5 The question of statistical significance.
7 Regression Analysis.
7.1 Simple linear regression.
7.2 Multiple linear regression.
7.3 The dangers of model specification.
7.4 Alternative regression approaches.
8 Asset Pricing Models.
8.1 Why do we need a factor model?
8.2 Linear single-factor models.
8.3 Linear multi-factor models.
8.4 Accounting for non-linearity.
8.5 Hedge funds as option portfolios.
8.6 Do hedge funds really produce alpha?
9 Styles, Clusters and Classification.
9.1 Defining investment styles.
9.2 Style analysis.
9.3 The Kalman filter.
9.4 Cluster analysis.
PART III: ALLOCATING CAPITAL TO HEDGE FUNDS.
10 Revisiting the Benefits and Risks of Hedge Fund Investing.
10.1 The benefits of hedge funds.
10.2 The benefits of individual hedge fund strategies.
10.3 Caveats of hedge fund investing.
11 Strategic Asset Allocation - From Portfolio Optimizing to Risk Budgeting.
11.1 Strategic asset allocation without hedge funds.
11.2 Introducing hedge funds in the asset allocation.
11.3 How much to allocate to hedge funds?
11.4 Hedge funds as portable alpha overlays.
11.5 Hedge funds as sources of alternative risk exposure.
12 Risk Measurement and Management.
12.1 Value at risk.
12.2 Monte Carlo simulation.
12.3 From measuring to managing risk.
13 Conclusions.
Online References.
Bibliography.
Index.

Product details

• Authors: Franaois-Serge Lhabitant, Francois Serge Lhabitant, Francois-Serge Lhabitant, François-Serge Lhabitant, Frangois-Serge Lhabitant
• Publisher: Wiley, John and Sons Ltd
• Languages: English
• Product format: Hardback
• Released: 25.05.2004
• EAN: 9780470856673
• ISBN: 978-0-470-85667-3
• No. of pages: 354
• Dimensions: 175 mm x 255 mm x 25 mm
• Series: Wiley Finance
• Subjects: Social sciences, law, business > Business > Individual industrial sectors, branches; Investment-Geschäft