Hedge fund strategies: a global outlook
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Institutional Investor
2002
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 148 S. graph. Darst. |
Internformat
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Datensatz im Suchindex
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| adam_text | Hedge Fund
A GLOBAL
An Examination of Hedge Fund
Return Distributions 14
Mark J.P. Anson
This article examines the return distributions associated with
hedge funds. It classifies hedge fund investment strategies into
two groups: those with exposure to credit risk, and those with
exposure to market risk. Hedge fund strategies with expo¬
sure to credit risk demonstrate large downside tails in the dis¬
tributions of their returns, consistent with distributions of
high yield bonds. Hedge funds that take market risk have a
return distribution consistent with that of large capitalization
stocks. Hedge funds with limited or no market and credit risk
(market neutral) have returns that approximate a normal
distribution.
The Role of Hedge Funds
in a World of Lower Returns 28
Robert D. Arnott
From current valuation levels, it is implausible that stock or
bond investors can see long term returns above about 3% to
4%. Indeed, if there is any reversion to the mean, returns
could be a good deal worse. However, in any market envi¬
ronment, there are interesting ways to make money. TIPS,
timber, absolute return strategies, arbitrage strategies, and sev¬
eral categories of hedge funds may produce far better returns
than stocks or bonds. If all investors seek these opportuni¬
ties, the opportunities will vanish. But, for the select few who
are prepared to venture away from the crowd, there are (and
always will be) opportunities for solid profits. This is the role
that many hedge funds may serve in the years ahead.
Market Neutral Strategies
and the Underfunded Plan 37
Rick Arney, Laurent Dubois, and Asriel Levin
Many plan sponsors are challenged with a required rate of
return for their plan that is higher than what the current mar¬
kets are expected to deliver. This article outlines the sever¬
ity of the current underfunding problem and evaluates poten
6 Hedge Fund Strategies: A Global Outlook
Strategies
OUTLOOK
tial solutions with an emphasis on the benefits of market neu¬
tral strategies as an alternative to traditional long only man¬
agement. The authors demonstrate how the use of a market
neutral overlay can greatly expand the potential solution set
for the plan sponsor and allow a potentially more efficient and
lower risk opportunity for closing the underfunding gap.
What the Indexes Don t Tell You
about Hedge Funds 44
Leola B. Ross and George Oberhofer
A striking limitation of much hedge fund analysis to date is
its focus on so called indexes, which in reality reflect the aver¬
age returns of peer managers categorized by investment style.
The authors focus instead on individual manager return his¬
tories and investigate the relationship between individual
manager performance and investible equity or fixed income
market indexes. The principal finding is that there is sub¬
stantial variation in market relative risk across managers
within hedge fund style universes. Many of the style level
effects reported by other researchers are not observed in a
majority of individual managers. Further, the dramatic asym¬
metry noted elsewhere is largely a function of volatility
induced by the 1998 Russian debt crisis, rather than some
inherent asymmetry in hedge fund return patterns. The
upshot is that designing a hedge fund strategy is a bottom
up exercise. Generalizations at the style level are of little use
to a hedge fund strategy.
Hedge Fund Investments: Do It
Yourself or Hire a Contractor? 60
Ken Stemme and Peter Slattery
This article covers two main topics revolving around the deci¬
sion to build a hedge fund investment program. The first
question an allocator must answer is if a successful hedge fund
program can be built with internal resources. This takes into
consideration such factors as size of the allocation, budget
available for this part of the portfolio, existing resources and
expertise, and the time involved in performing first hand
analysis. It is demonstrated that the cost of a consultant or a
fund of funds does not differ dramatically from the internal
Fali 2002
Hedge Fund
A GLOBAL
costs once time is factored into the equation. The second por¬
tion of the article discusses some questions to consider in
choosing a professional allocator such as a consultant or fund
of funds. Among these issues are past performance (and how
to evaluate it), the role of luck, personnel turnover, motiva
• tion, size of team, size of assets, business risk, capacity, the role
of asset allocation, hiring and firing discipline, risk man¬
agement and transparency. The article concludes by stating
that there are no right answers to the question of how a pro¬
gram should be managed but for the allocator to be certain
that his hedge fund program is aligned with his portfolio s
philosophy and goals.
Institutionalization of
Hedge Funds 69
Leslie Rahl and Stephen Rahl
Funds are in the process of being institutionalized both
from the inside out and the outside in. Whereas tradition¬
ally, hedge funds have been small boutiques with one or more
star traders and little infrastructure to support them, they
have grown in many cases to a size and scope that necessi¬
tates infrastructure—the antithesis of what many of the man¬
agers wanted when they left large bureaucracies to start
hedge funds. At the same time, the mix of investors and,
therefore, the requirements of investors have evolved. While
for many years it was high net worth individuals who were
the primary investors in hedge funds, institutional investors
are increasingly investing in them. As a result, it is rapidly
becoming an imperative for the hedge fund industry to
strike a balance between the changing needs of its growing
community of institutional investors against the often times
conflicting needs of the hedge fund managers. This article will
explore the shifting trends in the hedge fund space and their
implications on hedge funds and their investors.
Implementation of
Hedge Fund Strategies 74
Ananth Madhavan
Hedge funds expend considerable time and energy in devel¬
oping investment strategies to generate alpha. The imple
8 Hh)ce Fund Stratfcjiks: A Global Ouiiook
Strategies
OUTLOOK
mentation of these ideas, however, is also of critical impor¬
tance. Transaction costs can substantially reduce and perhaps
even eliminate the paper returns to a particular strategy. High
turnover and aggressive trading on short lived information
accentuate these problems for hedge funds. This article dis¬
cusses the essential elements of implementing hedge fund
strategies, focusing on all aspects of the investment cycle.
Portfolios of Hedge Funds 81
Gaurav S. Amin and Harry M. Kat
The authors investigate the performance of baskets of hedge
funds ranging in size from one to twenty fund s. The anal¬
ysis shows that increasing the number of funds can be
expected to lead not only to a lower standard deviation but
also to the less attractive result of lower skewness and increased
correlation with the stock market. Most of the change occurs
for relatively small portfolios. Holding more than fifteen
funds changes little. An efficiency test indicates that one
needs to combine only a small number of funds to obtain a
much more efficient risk return profile than that offered by
the average individual hedge fund.
Addressing Risks in
Hedge Fund Investments 89
Sandeep A. Patel, Bhaskar Krishnan,
and Jacqueline Meziani
Like any asset class, hedge fund investment risks can be
divided into systematic and unsystematic risks. Systematic
risks refer to non diversifiable risk factors and are compen¬
sated by an expected risk premium. Unsystematic risks, or
those particular to specific investments, are idiosyncratic and
can be minimized through diversification. In this paper, we
discuss key systematic and unsystematic risks in hedge fund
investments and present the manner in which the S P
Hedge Fund Index (S P HFI) construction methodology
addresses them. The S P HFI controls exposures to the
systematic risks through a disciplined index construction
process that incorporates a stratified sampling technique to
diversify the sector risk to construct a representative portfo¬
lio of hedge funds. We describe the broad sectors and strate
Faii 2002
Hedge Fund
A GLOBAL
gies of hedge funds and illustrate the difference between
random and stratified sampling. To understand and manage
unsystematic risks, the S P HFI Committee stipulates that
an independent, rigorous, and standardized due diligence is
conducted on all index candidates before inclusion.
Hedge Fund Organization 98
Gerald T. Lins
This article explores various organizational and structural
issues in setting up hedge funds and offshore funds. Among
the areas covered are the major issues to consider when
choosing a form and/or jurisdiction of organization for
domestic funds, primary documents involved, and the rela¬
tive advantages and disadvantages in making these decisions.
A Matter of Trust: The Issue of Risk
Transparency 103
Ted Seides
Poor returns from traditional asset classes, a concurrent bear
market for private equity, and acceptance of hedge funds have
all led institutions to adopt hedge fund investments in search
of returns they once expected from public and private equi¬
ties. And for many large institutions to invest in hedge funds,
trustees must be comfortable with lack of transparency in this
industry.
Hedge fund managers have conflicting interests. The
author contends that transparency correlates directly with
trust and understanding between a manager and an investor.
While attempts by industry associations and intermediaries
to address transparency issues are commendable, only inter¬
personal trust and understanding can address the cause.
Hedge Fund Index Returns 111
Anne Sophie Van Royen
Hedge fund managers generally claim to share one common
characteristic: a low correlation with long only traditional
asset classes. The author examines this claim by analyzing con¬
ditional correlations between hedge fund return indexes and
a conventional bond stock reference portfolio, using a mea
10 Hfix.r Fund Si ratlcifs: A Gi obai Oltiook
Strategies
OUTLOOK
sure free from conditioning bias, exceedance correlations.
If hedge fund style indexes take advantage of both rising and
falling markets, we should observe a stable pattern of con¬
ditional correlations over both negative and positive returns.
The results in fact suggest otherwise. Fixed Income Arbitrage
and Statistical Arbitrage display a certain degree of indepen¬
dence from the market. For Event Driven, Fixed Income,
Convertible Arbitrage, and Distressed Securities, there is a dis¬
connection from market conditions, but when markets go up,
not when they fall. Correlations between hedge fund styles
and the market are far from close to zero under all market
conditions.
Direct Investing in Hedge Funds
versus Fund of
Hedge Funds Products 118
E. Lee Hennessee and Charles J. Gradante
Investing in hedge funds through a public fund of funds or
directly investing (i.e. a private fund of funds) are the two core
alternatives for investing in the booming hedge fund market.
Each has its own advantages and disadvantages and is struc¬
tured very differently from one another. Which investment
strategy is most suitable for the size of your hedge fund allo¬
cation and most appropriate for your investment guidelines
is the question all investors must answer.
Maximizing Hedge Fund
After Tax Returns 124
GlNA BlONDO AND MAUREEN SAWYER
With the new SEC rules requiring mutual funds to report
after tax performance, hedge fund managers need to turn
their attention to their after tax returns. This article discusses
various strategies to enhance investor after tax returns and
emphasizes the need for hedge fund managers to be aware
of all relevant tax issues.
Faii 2OD2
Hedge Fund Strategies
A GLOBAL OUTLOOK
Private Investment Funds
and the New Anti Money
Laundering Requirements 133
Roger G. Coffin
The USA Patriot Act imposes anti money laundering com¬
pliance obligations on a broad range of financial institutions.
While it is generally agreed that this applies to banks and their
affiliates, there is a reason to believe this could be focused on
private equity, hedge funds and venture capital firms. Even
before that might happen, these firms should consider com¬
pliance as an act of good citizenship. This article discusses
these compliance issues.
The Hedge Fund Manager s Guide
to Equalization 138
Fergus Healy and Cary M. Klivan
A key concern for hedge fund managers globally is the cal¬
culation and apportionment of the manager s performance (or
incentive) fee. This article reviews the different accounting
techniques that hedge fund managers use. The authors show
that without the use of certain accounting techniques such
as equalization or series accounting the performance fees paid
can be disproportionate to the performance turned in over
a specific period of investment.
Corporate Resource Directory 144
12 Hedge Fund Strategies: A Global Outlook
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| spelling | Hedge fund strategies a global outlook ed. by Brian R. Bruce New York, NY Institutional Investor 2002 148 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Hedge funds Anlagepolitik (DE-588)4206018-7 gnd rswk-swf Hedge Fund (DE-588)4444016-9 gnd rswk-swf Hedge Fund (DE-588)4444016-9 s Anlagepolitik (DE-588)4206018-7 s DE-604 Bruce, Brian R. Sonstige oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010042803&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hedge fund strategies a global outlook Hedge funds Anlagepolitik (DE-588)4206018-7 gnd Hedge Fund (DE-588)4444016-9 gnd |
| subject_GND | (DE-588)4206018-7 (DE-588)4444016-9 |
| title | Hedge fund strategies a global outlook |
| title_auth | Hedge fund strategies a global outlook |
| title_exact_search | Hedge fund strategies a global outlook |
| title_full | Hedge fund strategies a global outlook ed. by Brian R. Bruce |
| title_fullStr | Hedge fund strategies a global outlook ed. by Brian R. Bruce |
| title_full_unstemmed | Hedge fund strategies a global outlook ed. by Brian R. Bruce |
| title_short | Hedge fund strategies |
| title_sort | hedge fund strategies a global outlook |
| title_sub | a global outlook |
| topic | Hedge funds Anlagepolitik (DE-588)4206018-7 gnd Hedge Fund (DE-588)4444016-9 gnd |
| topic_facet | Hedge funds Anlagepolitik Hedge Fund |
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