Funds of hedge funds performance, assessment, diversification, and statistical properties
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| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Amsterdam [u.a.]
Elsevier BH
2006
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| Schriftenreihe: | Quantitative finance series
|
| Schlagworte: | |
| Online-Zugang: | Table of contents only Publisher description Inhaltsverzeichnis |
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| 245 | 1 | 0 | |a Funds of hedge funds |b performance, assessment, diversification, and statistical properties |c ed. by Greg N. Gregoriou |
| 264 | 1 | |a Amsterdam [u.a.] |b Elsevier BH |c 2006 | |
| 300 | |a XXIX, 466 S. |b graph. Darst. | ||
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| 490 | 0 | |a Quantitative finance series | |
| 650 | 4 | |a Analyse financière - Mathématiques | |
| 650 | 4 | |a Fonds spéculatifs | |
| 650 | 4 | |a Fonds spéculatifs - Évaluation | |
| 650 | 4 | |a Gestion du risque | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Hedge funds | |
| 650 | 4 | |a Risk management | |
| 650 | 4 | |a Hedge funds |x Evaluation | |
| 650 | 4 | |a Investment analysis |x Mathematical models | |
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Datensatz im Suchindex
| _version_ | 1819750114316517376 |
|---|---|
| adam_text | Contents
Preface and Acknowledgments xiii
About the editor xv
List of contributors xvii
Part One Performance 1
1 Rank alpha funds of hedge funds 3
Carol Alexander and Anca Dimitriu
1.1 Introduction 3
1.2 Hedge fund data and biases 5
1.3 Factor models for hedge funds 6
1.4 Model estimation 9
1.5 Rank alpha 17
1.6 Optimizing funds of hedge funds 17
1.7 Cleaning the covariance matrix 18
1.8 Performance analysis of rank alpha portfolios 20
1.9 Conclusion 22
References
2 Funds of hedge funds: bias and persistence in returns 27
Daniel Capocci and Georges Hiibner
2.1 Introduction 27
2.2 Database 28
2.3 Methodology 29
2.4 Descriptive statistics 31
2.5 Bias analysis 31
2.6 Persistence in performance 35
2.7 Conclusion 41
References
3 Replication and evaluation of funds of hedge funds returns 45
Harry M. Kat and Helder P. Palaro
3.1 Introduction 45
3.2 The KP efficiency measure 47
3.3 Evaluation results 51
vi Contents
3.4 Distributional analysis 53
3.5 Conclusion 55
References
4 Performance, size, and new opportunities in the funds of
hedge funds industry 57
Jean Francois Bacmann, Pierre Jeanneret, and Stefan Scholz
4.1 Introduction 57
4.2 Experimental framework 58
4.3 Factor model for fund of funds 60
4.4 Sample formation 62
4.5 Performance decomposition of FOF portfolios 64
4.6 Principal components of FOF returns 70
4.7 Conclusion 77
References
5 Optimal fund of funds asset allocation: hedge funds, CTAs,
and REITs 79
Alain Elkaim and Nicolas Papageorgiou
5.1 Introduction 79
5.2 Data 81
5.3 Methodology 84
5.4 Results 88
5.5 Conclusion 95
References
6 The changing performance and risks of funds of funds in
the modern period 99
Keith H. Black
6.1 Characteristics of funds of funds 99
6.2 Comparing returns: funds of funds vs. hedge funds 100
6.3 Ancient history vs. modern history: LTCM as the
defining moment 102
6.4 Factor analysis of returns 103
6.5 The future of funds of funds 105
References
7 Hedge fund indices: Are they cost effective alternatives to
funds of funds? 107
Kathryn Wilkens
7.1 Introduction 107
7.2 Funds of funds 108
Contents vii
7.3 Investable hedge fund indices 108
7.4 Distribution of returns and potential biases 110
7.5 Asset based style factors 111
7.6 Mean excess return and Sharpe ratio comparisons 113
7.7 Fung and Hsieh model alphas and information
ratio comparisons 113
7.8 Correlation with traditional asset returns and lagged
equity return comparisons 116
7.9 Conclusion 117
References
8 Simple hedge fund strategies as an alternative to funds of
funds: evidence from large cap funds 119
Greg N. Gregoriou, Georges Hiibner,
Nicolas Papageorgiou, and Fabrice Rouah
8.1 Introduction 119
8.2 Data 121
8.3 Methodology 123
8.4 Empirical results 125
8.5 Conclusion 131
References
Part Two Diversification, Selection, Allocation,
and Hedge Fund Indices 133
9 Funds of funds of hedge funds: welcome to diworsification 135
Francois Serge Lhabitant and Nicolas Laporte
9.1 Introduction 135
9.2 The art and science of diversification 136
9.3 Analysis 137
9.4 Diversification results 138
9.5 How about the fees? 142
9.6 Conclusion 143
References
10 Style analysis of funds of hedge funds: measurement of asset
allocation and style drift 145
Oliver A. Schwindler and Andreas Oehler
10.1 Introduction 145
10.2 Sharpe s model for style analysis 146
10.3 Data set 148
10.4 Hedge fund classification 149
viii Contents
10.5 Accuracy of Sharpe s model 158
10.6 Measuring the style drift 163
10.7 Conclusion 166
References
Appendix
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 171
11.2 Data 173
11.3 Method 175
11.4 Results 178
11.5 Conclusion 184
References
12 Tactical asset allocation for hedge fund indices at one to six month
horizons 189
Laurent Favre
12.1 Introduction 189
12.2 The model 194
12.3 The results 197
12.4 Conclusion 201
References
13 Single strategy funds of hedge funds: How many funds? 203
Ryan J. Davies, Harry M. Kat, and Sa Lu
13.1 Introduction 203
13.2 Decomposition 204
13.3 Conclusion 210
References
Part Three Construction and Statistical Properties of
Funds of Hedge Funds 211
14 Distributional characteristics of funds of hedge funds returns 213
Elaine Hutson, Margaret Lynch, and Max Stevenson
14.1 Introduction 213
14.2 Hedge funds: background 215
14.3 Testing for normality 218
Contents ix
14.4 Data and summary performance information 223
14.5 Results 230
14.6 Conclusion 236
References
15 Funds of funds and the diversification effect 239
Maher Kooli
15.1 Introduction 239
15.2 Mean variance spanning tests 240
15.3 Data description 244
15.4 Empirical results 244
15.5 Conclusion 248
References
Appendix
16 Higher moment performance characteristics of funds of funds 251
Zsolt Berenyi
16.1 Introduction 251
16.2 Performance assessment basics 252
16.3 Data and methodology 254
16.4 Performance characteristics of funds of funds 255
16.5 Enhancing FOF performance 258
16.6 Results 258
16.7 Conclusion 260
References
17 The market risk of funds of hedge funds: a conditional approach 263
Florent Pochon and Jerome Teiletche
17.1 Introduction 263
17.2 Estimation of the regimes for the core assets 266
17.3 Implications for hedge funds returns modeling 267
17.4 An application to stress testing 282
17.5 Conclusion 284
References
18 Revisiting the Fama and French model: an application to
funds of funds using nonlinear methods 287
Eric Dube, Clement Gignac, and Francois Eric Racicot
18.1 Introduction 287
18.2 Methodology 288
x Contents
18.3 Data 289
18.4 Results 289
18.5 Conclusion 306
References
19 Investor s choice: an investor driven, forward looking optimization
approach to fund of hedge funds construction 309
Clemens H. Glaffig
19.1 Introduction 309
19.2 Data set: defining market patterns 311
19.3 Methodology: investor driven objectives and the optimization
algorithm 315
19.4 Empirical analysis: exhibiting the new degrees of freedom 318
19.5 Conclusion 323
References
Part Four Monitoring Risk, Overview of Funds of Funds,
Due Diligence, and Special Classes of Funds of Funds 325
20 Moments analysis in risk and performance monitoring of
funds of hedge funds 327
David K. C. Lee, Kok Fai Phoon, and Choon Yuan Wong
20.1 Introduction 327
20.2 Funds of hedge funds 328
20.3 Investing in funds of hedge funds: a practical approach 329
20.4 Data description, empirical analysis, and results 332
20.5 Analysis of trade off 341
20.6 Conclusion 347
References
21 An overview of funds of hedge funds 349
Jean Brunei
21.1 Introduction 349
21.2 Creating a portfolio of hedge funds 350
21.3 Ongoing portfolio management 350
21.4 Returning to the problem of the individual investor 353
21.5 Tracking funds of funds 354
21.6 Conclusion 359
References
Contents xi
22 Institutional investment due diligence on funds of hedge funds 363
John E. Dunn III
22.1 Introduction 363
22.2 The gap: fiduciary responsible investing vs. private
client products 364
22.3 Exploring institutional fiduciary responsibility 365
22.4 Exploring fiduciary responsibility: what IBM has
that the average hedge fund of funds needs to incorporate 366
22.5 Conclusion 373
References
23 Synthetic collateralized debt obligations (CDO) squares and
the continuing evolution of funds of funds 375
Paul U. AH
23.1 Introduction 375
23.2 Development of synthetic CDO squares 376
23.3 Structure of synthetic CDO squares 377
23.4 Recharacterization risk 379
23.5 Conclusion 381
References
24 Natural resources funds of funds: active management,
risk management, and due diligence 383
Rian Akey, Hilary Till, and Aleks Kins
24.1 Introduction 383
24.2 Emerging demand for natural resources investments 383
24.3 Diversified, active management opportunities in
natural resources investing 384
24.4 Risk management in natural resources futures trading 388
24.5 Due diligence in natural resources fund of funds investing 392
24.6 Conclusion 398
References
25 Identifying and monitoring risk in a fund of hedge funds portfolio 401
Meredith A. Jones
25.1 Introduction 401
25.2 Diversification and overdiversification 403
25.3 Liquidity 408
25.4 Transparency 409
xii Contents
25.5 Factor and impact analysis 412
25.6 Conclusion 416
References
26 The wizardry of analytics for funds of funds 417
Mary Fjelstad and Leola Ross
26.1 Introduction: If only I had good risk analytics 417
26.2 You re not in Kansas anymore 418
26.3 Click your heels and say There s nothing like diversification 420
26.4 We re off to see the wizard 422
26.5 The man behind the curtain 423
26.6 Follow the yellow brick road 429
26.7 Conclusion: You re never going back to Kansas 431
References
27 Quantitative hedge fund selection for funds of funds 433
Stephan Joehri and Markus Leippold
27.1 Introduction 433
27.2 Indicators for hedge fund selection 434
27.3 Data 438
27.4 Empirical results 439
27.5 Conclusion 452
References
Index 455
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| indexdate | 2024-12-23T20:40:22Z |
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| spellingShingle | Funds of hedge funds performance, assessment, diversification, and statistical properties Analyse financière - Mathématiques Fonds spéculatifs Fonds spéculatifs - Évaluation Gestion du risque Mathematisches Modell Hedge funds Risk management Hedge funds Evaluation Investment analysis Mathematical models Risikomanagement (DE-588)4121590-4 gnd Hedge Fund (DE-588)4444016-9 gnd |
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| title | Funds of hedge funds performance, assessment, diversification, and statistical properties |
| title_auth | Funds of hedge funds performance, assessment, diversification, and statistical properties |
| title_exact_search | Funds of hedge funds performance, assessment, diversification, and statistical properties |
| title_full | Funds of hedge funds performance, assessment, diversification, and statistical properties ed. by Greg N. Gregoriou |
| title_fullStr | Funds of hedge funds performance, assessment, diversification, and statistical properties ed. by Greg N. Gregoriou |
| title_full_unstemmed | Funds of hedge funds performance, assessment, diversification, and statistical properties ed. by Greg N. Gregoriou |
| title_short | Funds of hedge funds |
| title_sort | funds of hedge funds performance assessment diversification and statistical properties |
| title_sub | performance, assessment, diversification, and statistical properties |
| topic | Analyse financière - Mathématiques Fonds spéculatifs Fonds spéculatifs - Évaluation Gestion du risque Mathematisches Modell Hedge funds Risk management Hedge funds Evaluation Investment analysis Mathematical models Risikomanagement (DE-588)4121590-4 gnd Hedge Fund (DE-588)4444016-9 gnd |
| topic_facet | Analyse financière - Mathématiques Fonds spéculatifs Fonds spéculatifs - Évaluation Gestion du risque Mathematisches Modell Hedge funds Risk management Hedge funds Evaluation Investment analysis Mathematical models Risikomanagement Hedge Fund Aufsatzsammlung Festschrift |
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