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How to invest in hedge funds: an investment professional's guide

Author: Ridley, Matthew Publisher: Kogan Page, 2006.Language: EnglishDescription: 409 p. : Graphs ; 24 cm.ISBN: 0749445769Type 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 .R53 2006
(Browse shelf)
001207830
Available 001207830
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Includes bibliographical references and index

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How to Invest in Hedge Funds An Investment Professional's Guide Contents List of figures List of tables About the author Foreword Acknowledgements Introduction 1 Introducing hedge funds Common misconceptions In search of a definition for hedge funds The basics of selling short The complexities of selling short Classifying hedge funds `Arbitrage grey' Attributes of a typical hedge fund Evolution of the hedge fund industry The rise of the prime broker How performance fees work A note of warning about hedge fund indices 2 Questioning the merits of hedge funds Hedge funds: the record Correlation Market environments hedge funds love and hate The attractions and pitfalls of arbitrage The costs and benefits of hedging Risks of leverage and derivatives xi xv xvii xix xxi 1 3 3 4 5 7 9 12 13 17 22 24 27 29 30 31 36 39 45 48 Defining leverage Transparency issues The value of performance fees The accessibility of hedge funds Lack of regulation Great hedge fund disasters Some famous hedge fund disasters The hedge fund bubble What the academics say Conclusion Appendix 1: the findings of selected academic papers Appendix 2: statistics on hedge funds 3 How to select a hedge fund An investment process for selecting hedge funds Strategy assessment Sourcing hedge funds Qualitative analysis Quantitative analysis Operational due diligence Monitoring Organizing hedge fund research Conclusion Appendix 1: example market indicators for strategy assessment Appendix 2: qualitative analysis considerations Appendix 3: operational due diligence considerations Appendix 4: the application of quantitative performance measures to hedge funds Appendix 5: factor analysis of hedge fund strategies 4 Portfolio construction and management Objectives Portfolio construction in theory Portfolio construction in practice Diversification and risk management Mechanics Nerd's corner: foreign exchange hedging 5 Equity long--short History and evolution The case for equity long--short 48 51 52 56 56 57 58 59 60 61 63 69 78 79 80 81 83 86 87 90 93 99 99 100 109 115 126 131 131 132 135 136 137 139 141 141 142 The efficiency of markets The nature of a long­short portfolio Generating alpha on the long side Generating alpha on the short side A portfolio's static return Relating individual long and short positions Managing exposures Instruments, tools and methods Big house versus little house Nerd's corner: measuring performance expectations Equity long­short: opportunities, difficulties, reaction to markets Appendix 1: key considerations: equity long­short Appendix 2: glossary 6 Merger arbitrage The basics of merger arbitrage Assessing return More complex return estimates Assessing timing risk Assessing completion risk What merger arbitrageurs do Attributes of a good merger arbitrageur Assessing the risk­reward trade-off Nerd's corner 1: the use of options in merger arbitrage Nerd's corner 2: hostile takeovers Merger arbitrage: opportunities, difficulties, reaction to markets Appendix 1: key considerations: merger arbitrage Appendix 2: glossary 7 Statistical arbitrage Multi-factor models Earnings forecast revisions Mean reversion pairs Quant fundamental Trade execution and market making Statistical arbitrage: opportunities, difficulties, reaction to markets Nerd's corner: points about multi-factor models Appendix 1: key considerations: statistical arbitrage Appendix 2: glossary 144 146 146 148 149 150 153 156 162 164 165 173 175 177 178 178 181 186 188 192 194 195 196 197 198 205 207 209 210 211 214 214 215 216 225 227 229 8 Convertible arbitrage Review of the structure of a convertible bond The basics of convertible arbitrage Hedging credit risk Convertible arbitrage: opportunities, difficulties, reaction to markets Nerd's corner: convertible valuation models Appendix 1: key considerations: convertible arbitrage funds Appendix 2: glossary 9 Fixed income arbitrage How arbitrage opportunities arise The nature of fixed income arbitrage returns The basics of fixed income arbitrage Case study: basis trading Other fixed income arbitrage strategies Reflection on the use of leverage Fixed income arbitrage: opportunities, difficulties, reaction to markets Appendix 1: key considerations: fixed income arbitrage Appendix 2: glossary 10 Distressed securities The US bankruptcy process The bankruptcy battle Analysis considerations for distressed securities Different approaches to distressed investing Short selling and capital structure arbitrage Distressed securities: opportunities, difficulties, reaction to markets Appendix 1: key considerations: distressed securities Appendix 2: glossary 11 Hedged mortgage backed securities Mortgage backed securities Characteristics of mortgage backed securities The negative convexity of mortgage backed securities Structured securities Non-agency securities Hedging mortgage backed securities and managing risk 230 230 233 245 251 261 263 264 266 267 269 271 272 275 278 279 286 287 289 292 295 298 302 306 308 316 317 319 320 321 328 329 331 333 Hedged mortgage backed securities: opportunities, difficulties, reaction to markets Appendix 1: key considerations: hedged mortgage backed securities Appendix 2: glossary 12 Global macro and CTAs Global macro Global macro: opportunities, difficulties, reaction to markets Commodity trading advisors CTAs: opportunities, difficulties, reaction to markets 13 Other hedge fund strategies Commodity arbitrage Depositary receipt arbitrage Closed-end fund arbitrage Reg D Volatility arbitrage Mutual fund timing Asset backed lending strategies 14 Selecting a fund of hedge funds The benefits of a fund of hedge funds The drawbacks of funds of hedge funds Philosophy People Sales pitch The fund and its stability Product structure Track record Conclusion 15 Concluding remarks References and further reading Index 336 341 342 345 346 351 353 356 360 360 362 363 366 370 376 380 384 384 385 386 387 388 389 390 391 392 393 395 399

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