Managing risk in alternative investment strategies: successful investing in hedge funds and managed futures
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London ; Munich [u.a.]
Prentice Hall
2002
|
| Edition: | 1. publ. in Great Britain |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIV, 306 S. graph. Darst. |
| ISBN: | 0273656988 |
Staff View
MARC
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| 264 | 1 | |a London ; Munich [u.a.] |b Prentice Hall |c 2002 | |
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Record in the Search Index
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| adam_text | Contents
Preface xiii
1 Introduction 1
Changing investor demand 3
LTCM: What can go wrong for Hedge fund investors 5
Why effective risk management is crucial to realizing the
benefits of AIS 6
A new investment paradigm 7
The AIS investment approach and integrated risk management for
multi manager portfolios ( fund of funds ) 8
Is transparency achievable in AIS investments? 9
Liquidity of AIS investments 13
The challenges of AIS risk management 14
Notes 15
2 The Universe of Alternative Investment Strategies (AIS) 17
Definition of the AIS Universe 17
Development of AIS 20
Understanding the sources of AIS returns 24
Economic functions and Risk premiums 27
The structure of AIS multi manager funds 31
Notes 34
3 Alternative Investment Strategies:
Hedge funds and Managed Futures 38
Hedge fund strategies 38
.... jx ....
Contents
Relative Value Convertible Arbitrage 40
Relative Value Fixed Income Arbitrage 48
Relative Value Equity Market Neutral 53
Event Driven Risk Arbitrage 60
Event Driven Distressed Securities 69
Event Driven Convertible Debenture Arbitrage ( Regulation D ) 73
Opportunistic Global Macro 78
Opportunistic Long/Short Equity 82
Opportunistic Equity Market Timing 87
Opportunistic Short Selling 91
Managed Futures and Currency strategies 95
Futures Active Systematic Technical 97
Futures Active Discretionary 100
Futures Passive 102
Notes 106
4 Empirical Properties of Alternative Investment Strategies 111
Challenges of AIS performance measurement 112
Risk and return 113
Comparison with equities and bonds 119
Unconditional correlation properties 120
Conditional correlation properties 123
Behaviour in extreme market situations 126
Benefits of AIS in a traditional portfolio 129
Summary of empirical properties 130
Appendix: Data providers for AIS 131
Notes 134
5 Risk in Alternative Investment Strategies 136
Risk factors in AIS investments 136
Risk from an investor s point of view 143
Risk factors of the different AIS sectors 145
.... x....
Contents
Risk management principles for the different AIS sectors 152
Portfolio diversification 164
Notes 168
6 Tools and Principles of Modern Financial Risk Management 171
The emergence of quantitative tools for risk management 172
Pre VaR risk management: Traditional risk measures and
modern portfolio theory 173
Value at Risk (VaR) 174
VaR: Back testing and model verification 180
The problems of VaR 180
Variations of VaR 183
Stress testing and scenario analysis 184
Extreme Value Theory 185
Liquidity Risk 188
Credit Risk 189
Other risks 191
Enterprise wide risk management 194
Active risk management 195
Risk analysis systems in practice 196
Notes 198
7 Active Risk Management in Multi Manager AIS Portfolios 205
The AIS industry s current best practices for risk management 205
Multi manager portfolios 208
The issue of transparency in AIS 211
Liquidity of AIS 220
Managed accounts 222
Fund Redemption Policies for multi manager
investment vehicles 223
Leverage 225
Fee structure and other key administrative considerations 227
.... xj....
Contents
The investment and risk management process for AIS
multi manager portfolios 229
Strategy sector selection (top down approach) 232
Manager evaluation (bottom up approach) 237
Investment monitoring: Post investment risk management 246
Active risk management 254
Notes 257
8 Conclusion and Outlook 262
The AIS investment process, risk management, transparency
and liquidity 262
Regulating AIS? 266
The Hedge fund bubble? 266
Outlook for AIS 269
Notes 271
Glossary 272
Bibliography 279
Index 289
.... xjj....
|
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| id | DE-604.BV014693474 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:05:11Z |
| institution | BVB |
| isbn | 0273656988 |
| language | English |
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| physical | XIV, 306 S. graph. Darst. |
| publishDate | 2002 |
| publishDateSearch | 2002 |
| publishDateSort | 2002 |
| publisher | Prentice Hall |
| record_format | marc |
| spelling | Jaeger, Lars Verfasser aut Managing risk in alternative investment strategies successful investing in hedge funds and managed futures Lars Jaeger 1. publ. in Great Britain London ; Munich [u.a.] Prentice Hall 2002 XIV, 306 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Futures Hedge funds Investment analysis Risk management Hedge Fund (DE-588)4444016-9 gnd rswk-swf Termingeschäft (DE-588)4117190-1 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Hedge Fund (DE-588)4444016-9 s Termingeschäft (DE-588)4117190-1 s Risikomanagement (DE-588)4121590-4 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009965748&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Jaeger, Lars Managing risk in alternative investment strategies successful investing in hedge funds and managed futures Futures Hedge funds Investment analysis Risk management Hedge Fund (DE-588)4444016-9 gnd Termingeschäft (DE-588)4117190-1 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4444016-9 (DE-588)4117190-1 (DE-588)4121590-4 |
| title | Managing risk in alternative investment strategies successful investing in hedge funds and managed futures |
| title_auth | Managing risk in alternative investment strategies successful investing in hedge funds and managed futures |
| title_exact_search | Managing risk in alternative investment strategies successful investing in hedge funds and managed futures |
| title_full | Managing risk in alternative investment strategies successful investing in hedge funds and managed futures Lars Jaeger |
| title_fullStr | Managing risk in alternative investment strategies successful investing in hedge funds and managed futures Lars Jaeger |
| title_full_unstemmed | Managing risk in alternative investment strategies successful investing in hedge funds and managed futures Lars Jaeger |
| title_short | Managing risk in alternative investment strategies |
| title_sort | managing risk in alternative investment strategies successful investing in hedge funds and managed futures |
| title_sub | successful investing in hedge funds and managed futures |
| topic | Futures Hedge funds Investment analysis Risk management Hedge Fund (DE-588)4444016-9 gnd Termingeschäft (DE-588)4117190-1 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Futures Hedge funds Investment analysis Risk management Hedge Fund Termingeschäft Risikomanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009965748&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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