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Funds of hedge funds: performance, assessment, diversification, and statistical properties

Author: Gregoriou, Greg N. Series: Quantitative finance Publisher: Elsevier, 2006. ; Butterworth-Heinemann, 2006.Language: EnglishDescription: 466 p. ; 24 cm.ISBN: 0750679840Type of document: BookBibliography/Index: Includes bibliographical references and index
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Item type Current location Collection Call number Status Date due Barcode Item holds
Book Europe Campus
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Print HG4751 .F86 2006
(Browse shelf)
001221195
Available 001221195
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Includes bibliographical references and index

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Funds of Hedge Funds Performance, Assessement, Diversification, and Statistical Properties Contents Preface and Acknowledgments About the editor List of contributors Part One Performance 1 Rank alpha funds of hedge funds Carol Alexander and Anca Dimitriu 1.1 Introduction 1.2 Hedge fund data and biases 1.3 Factor models for hedge funds 1.4 Model estimation 1.5 Rank alpha 1.6 Optimizing funds of hedge funds 1.7 Cleaning the covariance matrix 1.8 Performance analysis of rank alpha portfolios 1.9 Conclusion References 2 Funds of hedge funds: bias and persistence in returns Daniel Capocci and Georges Hübner 2.1 Introduction 2.2 Database 2.3 Methodology 2.4 Descriptive statistics 2.5 Bias analysis 2.6 Persistence in performance 2.7 Conclusion References 3 Replication and evaluation of funds of hedge funds returns Harry M. Kat and Helder P. Palaro 3.1 Introduction 3.2 The KP efficiency measure 3.3 Evaluation results xiii xv xvii 1 3 3 5 6 9 17 17 18 20 22 27 27 28 29 31 31 35 41 45 45 47 51 vi Contents 3.4 Distributional analysis 3.5 Conclusion References 4 Performance, size, and new opportunities in the funds of hedge funds industry Jean-François Bacmann, Pierre Jeanneret, and Stefan Scholz 4.1 Introduction 4.2 Experimental framework 4.3 Factor model for fund of funds 4.4 Sample formation 4.5 Performance decomposition of FOF portfolios 4.6 Principal components of FOF returns 4.7 Conclusion References 5 Optimal fund of funds asset allocation: hedge funds, CTAs, and REITs Alain Elkaim and Nicolas Papageorgiou 5.1 Introduction 5.2 Data 5.3 Methodology 5.4 Results 5.5 Conclusion References 6 The changing performance and risks of funds of funds in the modern period Keith H. Black 6.1 Characteristics of funds of funds 6.2 Comparing returns: funds of funds vs. hedge funds 6.3 Ancient history vs. modern history: LTCM as the defining moment 6.4 Factor analysis of returns 6.5 The future of funds of funds References 7 Hedge fund indices: Are they cost-effective alternatives to funds of funds? Kathryn Wilkens 7.1 Introduction 7.2 Funds of funds 53 55 57 57 58 60 62 64 70 77 79 79 81 84 88 95 99 99 100 102 103 105 107 107 108 Contents vii 7.3 Investable hedge fund indices 7.4 Distribution of returns and potential biases 7.5 Asset-based style factors 7.6 Mean excess return and Sharpe ratio comparisons 7.7 Fung and Hsieh model alphas and information ratio comparisons 7.8 Correlation with traditional asset returns and lagged equity return comparisons 7.9 Conclusion References 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 8.1 Introduction 8.2 Data 8.3 Methodology 8.4 Empirical results 8.5 Conclusion References Part Two Diversification, Selection, Allocation, and Hedge Fund Indices 9 Funds of funds of hedge funds: welcome to diworsification François-Serge Lhabitant and Nicolas Laporte 9.1 Introduction 9.2 The art and science of diversification 9.3 Analysis 9.4 Diversification results 9.5 How about the fees? 9.6 Conclusion References 10 Style analysis of funds of hedge funds: measurement of asset allocation and style drift Oliver A. Schwindler and Andreas Oehler 10.1 Introduction 10.2 Sharpe's model for style analysis 10.3 Data set 10.4 Hedge fund classification 108 110 111 113 113 116 117 119 119 121 123 125 131 133 135 135 136 137 138 142 143 145 145 146 148 149 viii Contents 10.5 Accuracy of Sharpe's model 10.6 Measuring the style drift 10.7 Conclusion References Appendix 158 163 166 11 Gains from adding funds of hedge funds to portfolios of traditional assets: an international perspective 171 Niclas Hagelin, Bengt Pramborg, and Fredrik Stenberg 11.1 Introduction 11.2 Data 11.3 Method 11.4 Results 11.5 Conclusion References 171 173 175 178 184 12 Tactical asset allocation for hedge fund indices at one- to six-month horizons189 Laurent Favre 12.1 Introduction 12.2 The model 12.3 The results 12.4 Conclusion References 13 Single-strategy funds of hedge funds: How many funds? Ryan J. Davies, Harry M. Kat, and Sa Lu 13.1 Introduction 13.2 Decomposition 13.3 Conclusion References 189 194 197 201 203 203 204 210 Part Three Construction and Statistical Properties of Funds of Hedge Funds 14 Distributional characteristics of funds of hedge funds returns Elaine Hutson, Margaret Lynch, and Max Stevenson 14.1 Introduction 14.2 Hedge funds: background 14.3 Testing for normality 211 213 213 215 218 Contents ix 14.4 Data and summary performance information 14.5 Results 14.6 Conclusion References 15 Funds of funds and the diversification effect Maher Kooli 15.1 Introduction 15.2 Mean-variance spanning tests 15.3 Data description 15.4 Empirical results 15.5 Conclusion References Appendix 16 Higher-moment performance characteristics of funds of funds Zsolt Berenyi 16.1 Introduction 16.2 Performance assessment basics 16.3 Data and methodology 16.4 Performance characteristics of funds of funds 16.5 Enhancing FOF performance 16.6 Results 16.7 Conclusion References 17 The market risk of funds of hedge funds: a conditional approach Florent Pochon and Jérôme Teïletche 17.1 Introduction 17.2 Estimation of the regimes for the core assets 17.3 Implications for hedge funds returns modeling 17.4 An application to stress testing 17.5 Conclusion References 18 Revisiting the Fama and French model: an application to funds of funds using nonlinear methods Eric Dubé, Clément Gignac, and François-Eric Racicot 18.1 Introduction 18.2 Methodology 223 230 236 239 239 240 244 244 248 251 251 252 254 255 258 258 260 263 263 266 267 282 284 287 287 288 x Contents 18.3 Data 18.4 Results 18.5 Conclusion References 289 289 306 19 Investor's choice: an investor-driven, forward-looking optimization approach to fund of hedge funds construction Clemens H. Glaffig 19.1 Introduction 19.2 Data set: defining market patterns 19.3 Methodology: investor-driven objectives and the optimization algorithm 19.4 Empirical analysis: exhibiting the new degrees of freedom 19.5 Conclusion References 309 309 311 315 318 323 Part Four Monitoring Risk, Overview of Funds of Funds, Due Diligence, and Special Classes of Funds of Funds 20 Moments analysis in risk and performance monitoring of funds of hedge funds David K. C. Lee, Kok Fai Phoon, and Choon Yuan Wong 20.1 Introduction 20.2 Funds of hedge funds 20.3 Investing in funds of hedge funds: a practical approach 20.4 Data description, empirical analysis, and results 20.5 Analysis of trade-off 20.6 Conclusion References 325 327 327 328 329 332 341 347 21 An overview of funds of hedge funds Jean Brunel 21.1 Introduction 21.2 Creating a portfolio of hedge funds 21.3 Ongoing portfolio management 21.4 Returning to the problem of the individual investor 21.5 Tracking funds of funds 21.6 Conclusion References 349 349 350 350 353 354 359 Contents xi 22 Institutional investment due diligence on funds of hedge funds John E. Dunn III 22.1 Introduction 22.2 The gap: fiduciary responsible investing vs. private client products 22.3 Exploring institutional fiduciary responsibility 22.4 Exploring fiduciary responsibility: what IBM has that the average hedge fund of funds needs to incorporate 22.5 Conclusion References 363 363 364 365 366 373 23 Synthetic collateralized debt obligations (CDO) squares and the continuing evolution of funds of funds Paul U. Ali 23.1 Introduction 23.2 Development of synthetic CDO squares 23.3 Structure of synthetic CDO squares 23.4 Recharacterization risk 23.5 Conclusion References 375 375 376 377 379 381 24 Natural resources funds of funds: active management, risk management, and due diligence Rian Akey, Hilary Till, and Aleks Kins 24.1 Introduction 24.2 Emerging demand for natural resources investments 24.3 Diversified, active-management opportunities in natural resources investing 24.4 Risk management in natural resources futures trading 24.5 Due diligence in natural resources fund of funds investing 24.6 Conclusion References 383 383 383 384 388 392 398 25 Identifying and monitoring risk in a fund of hedge funds portfolio Meredith A. Jones 25.1 Introduction 25.2 Diversification and overdiversification 25.3 Liquidity 25.4 Transparency 401 401 403 408 409 xii Contents 25.5 Factor and impact analysis 25.6 Conclusion References 26 The wizardry of analytics for funds of funds Mary Fjelstad and Leola Ross 26.1 Introduction: If only I had good risk analytics 26.2 You're not in Kansas anymore 26.3 Click your heels and say "There's nothing like diversification" 26.4 We're off to see the wizard 26.5 The man behind the curtain 26.6 Follow the yellow brick road 26.7 Conclusion: You're never going back to Kansas References 27 Quantitative hedge fund selection for funds of funds Stephan Joehri and Markus Leippold 27.1 Introduction 27.2 Indicators for hedge fund selection 27.3 Data 27.4 Empirical results 27.5 Conclusion References Index 412 416 417 417 418 420 422 423 429 431 433 433 434 438 439 452 455

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