Hedge funds: myths and limits
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Chichester [u.a.]
Wiley
2002
|
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Hier auch später erschienene, unveränderte Nachdrucke. |
| Beschreibung: | X, 268 S. graph. Darst. |
| ISBN: | 0470844779 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804129186580791296 |
|---|---|
| adam_text | Contents
Preface
xi
1
Introduction
1
Part
One Hedge Fund Overview
5
2
The basics revisited
7
From Alfred W. Jones to LTCM
7
Characteristics of the New Hedge Funds
12
Box
2.1
Definitions of a hedge fund
14
Hedge funds are actively managed
14
Hedge funds are securitized trading floors
14
Hedge funds have flexible investment policies
15
Box
2.2
eNote.com and the dangers of concentrated positions
15
Hedge funds use unusual legal structures
16
Hedge funds have limited liquidity
16
Hedge funds charge performance fees and target absolute returns
17
Box
2.3
Jeff Vinik and Julian Robertson
17
Hedge fund managers are partners, not employees
18
Hedge funds have limited transparency
18
Hedge fund strategies are not scalable
19
Hedge funds target specific investors
19
The Future
20
3
Legal environment and structures
23
Inside the US and its Onshore Funds
24
Securities and Exchange Commission
24
Commodity Futures Trading Commission
28
Structures for US-domiciled hedge funds
30
Outside the US and Offshore Funds
31
Switzerland
33
Germany
34
Contents
Box
3.1
The Xavex HedgeSelect Certificates 35
Italy f
France
38
Ireland
Other European countries ™
The Global Village 39
Third-party providers
41
Notes
4
Operational and organizational structures
45
Operational Structures
45
Box
4.1
Michael Berger s Manhattan Fund and David Mobley s
Maricopa Family
50
Organizational Structures
52
Part Two Hedge Fund Strategies
57
5
Introduction
59
6
The tools used by hedge funds
61
Two Types of Transaction
61
Transactions using a cash account
61
Transactions using a margin account
61
Derivatives
69
Box
6.1
The first derivatives users
70
Leverage
72
Box
6.2
Long Term Capital Management
73
7
Long/short strategies
77
Mechanics of Investing
77
Sources of Return
78
Risks and Drawbacks
80
Market Neutral Investing
81
Box
7.1
Market neutral or sector neutral?
82
8
Arbitrage and relative value strategies
83
Convertible Arbitrage
84
Convertible bonds in simple terms
84
Basic arbitrage of convertibles
86
A more advanced arbitrage strategy
88
Risk control
90
A market overview
9
1
Fixed Income Arbitrage
92
Box
8.1
The Lucent Technologies and Alcatel merger
93
Other Types of Strategy
95
Box
8.2
The free float transition: a typical index arbitrage trade
96
Box
8.3
ADR arbitrage
97
Notes
97
Contents
VII
9
Event-driven strategies
99
Distressed Securities
99
Investing in distressed debt
99
Distressed securities markets
101
Box
9.1
Chapter
11
bankruptcy
102
Box
9.2
The lights go out for California utilities
103
The risks of distressed security investing
104
Merger/Risk Arbitrage
104
Mergers and acquisitions: a historical perspective
105
Box
9.3
Ivan Boesky: the world s most infamous arbitrager
106
Arbitrage spread in cash offers
107
Stock offers and other transactions
108
Box
9.4
A stock offer arbitrage: Microsoft and
Visio
109
Box
9.5
A cash offer arbitrage: First Data Corp. and Paymentech, Inc.
110
Box
9.6
A ménage à trois
situation
111
Risks and returns of merger arbitrage
112
Box
9.7
Julian Robertson: how to become an involuntary merger arbitrager
112
Box
9.8
A deal failure: General Electric and Honeywell International
113
10
Directional strategies
115
Global Macro Funds
115
Emerging Market Hedge Funds
116
Sector Hedge Funds
118
Regulation
D
and Pipes Funds
119
Dedicated-Short Funds
120
Trading Funds and Managed Futures
120
11
Hedge fund indices
123
Calculating Hedge Fund Indices
124
An Overview of Major Index Providers
126
Altvest
126
CSFB/Tremont
127
Evaluation Associates Capital Markets
127
HedgeFund.net (Tuna)
128
Hedge Fund Research
129
Hennessee
Group
129
LJH Global Investments
129
Van Hedge Fund Advisors International
130
Zurich Hedge Fund Universe/Managed Account Reports LLC
130
ZCM/HFR Index Management
131
Zurich Capital Markets
132
Newcomers
132
Statistical Biases in Indices and Databases
133
Survivorship bias
133
Selection bias
134
Backfill bias
135
Double counting bias
135
Reporting bias
135
viii Contents __________________________________________________________
12
Hedge fund performance: beyond NAVs 137
From Mutual Funds to Hedge Funds
37
Box
12.1
Arbitraging between NAVs and quoted price:
Altin AG 138
Equalization Factors
40
Motivation
40
Multiple series of shares
141
Equalization shares
142
Equalization factor/depreciation deposit approach
143
Redemption Policy and Payment Schedules
143
Part Three Hedge Fund Investing
145
13
Introduction
147
14
Asset allocation
149
Diversification and Portfolio Construction
149
Diversification
149
Portfolio construction
151
Asset allocation
154
Asset Allocation with Traditional Asset Classes
154
Hedge Funds in the Investment Universe
159
Motives
159
Naive and planned hedge fund allocation policies
161
Conclusion
167
The Reality Behind the Numbers
169
Framework problems: dynamic asset allocation and market efficiency
169
Box
14.1
Robust estimation
170
Box
14.2
A model with changing correlations
172
Volatility does not capture all hedge fund risk factors
173
The dangers of mean-variance analysis for hedge funds: the skewness
effect
174
Box
14.3
Beware of the skewness effect
178
Correlation solely captures linear covariations
179
Hedge fund indices are not hedge funds
181
Final Thoughts
18
Notes
1
g2
15
Hedge fund selection
185
Stating Objectives
135
Filtering the Universe
186
Quantitative Analysis ]gg
Qualitative Analysis Igg
Due Diligence Igg
The strategy
1
gg
The fund itself
I gg
The management team
j g j
The infrastructure
jç2
The process 1Q2
Contents
Ongoing
Monitoring 192
Mistakes to Avoid
193
Notes
194
16
Funds of funds and metadiversiflcation
195
What are Funds of Funds ?
195
Advantages of Funds of Funds
195
Efficient risk diversification
196
Affordability and accessibility
199
Professional management and built-in asset allocation
199
Access to closed funds
200
Better internal and external transparency
200
Box
16.1
Innovations towards transparency
201
The Dark Side
202
Yet another layer of fees
202
Extra liquidity
203
Box
16.2
Regulated secondary marketplaces increase liquidity
204
Lack of control, overdiversification and duplication
204
Selecting a Fund of Funds
205
Fund Allocation: Inside the Black Box
206
Qualitative approaches
206
Quantitative approaches
207
An example of fund of funds optimization
208
The Future
210
Notes
211
17
Capital-guaranteed products
213
The Package
213
Financial Engineering
214
First generation: the naive approach
214
Second generation: the option-based approach
215
Box
17.1
An Asian tail to lower the price
217
Third generation: the dynamic trading approach
218
Box
17.2
Financial engineering and hedge funds
219
Welcome to the Dark Side
221
Lack of liquidity
221
Guarantee? At maturity!
222
Fees for what?
222
Hedge fund, or what?
222
Watch the fees!
222
The Future
223
Notes
223
18
Advanced topics: inside the black box
225
Multifactor Models
225
Box
18.1
Principal component analysis
226
Style Analysis
227
Sharpe
s
methodology
227
Contents
Box
18.2 Quantitative
corner
227
Application
to hedge funds
229
Capturing nonlinearity: the option-based approach
229
Capturing nonlinearity: the hedge fund index approach
231
Value at Risk
234
Notes
236
19
Conclusion
239
Appendix The statistics of hedge funds
241
Returns Statistics
241
Single-period calculations
242
Multiple-period calculations
243
Multiple hedge fund aggregation
245
Risk Statistics
245
Volatility (standard deviation)
247
Box A.I Quant s corner
248
The shortcomings of volatility
248
Downside risk measures
249
The shortfall concept and value at risk
25
1
Other benchmark-related statistics
252
Drawdowns
253
Skewness and Kurtosis
254
Skewness
254
Kurtosis
254
Bibliography
257
Websites
265
Index 267
|
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| isbn | 0470844779 |
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| spelling | Lhabitant, François-Serge 1966- Verfasser (DE-588)138924996 aut Hedge funds myths and limits François-Serge Lhabitant Chichester [u.a.] Wiley 2002 X, 268 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance series Hier auch später erschienene, unveränderte Nachdrucke. Hedge funds Hedge Fund (DE-588)4444016-9 gnd rswk-swf Hedge Fund (DE-588)4444016-9 s DE-604 Digitalisierung UB Bamberg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009803157&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| subject_GND | (DE-588)4444016-9 |
| title | Hedge funds myths and limits |
| title_auth | Hedge funds myths and limits |
| title_exact_search | Hedge funds myths and limits |
| title_full | Hedge funds myths and limits François-Serge Lhabitant |
| title_fullStr | Hedge funds myths and limits François-Serge Lhabitant |
| title_full_unstemmed | Hedge funds myths and limits François-Serge Lhabitant |
| title_short | Hedge funds |
| title_sort | hedge funds myths and limits |
| title_sub | myths and limits |
| topic | Hedge funds Hedge Fund (DE-588)4444016-9 gnd |
| topic_facet | Hedge funds Hedge Fund |
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