Hedge fund strategy replication:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2013
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| Ausgabe: | 1. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Beschreibung: | Getr. Zählung graph. Darst. |
| ISBN: | 9783000461767 |
Internformat
MARC
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| 020 | |a 9783000461767 |9 978-3-00-046176-7 | ||
| 035 | |a (OCoLC)915476804 | ||
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| 100 | 1 | |a Tancar, Roman |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Hedge fund strategy replication |c by Roman Tancar |
| 250 | |a 1. ed. | ||
| 264 | 1 | |c 2013 | |
| 300 | |a Getr. Zählung |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a Bremen, Univ., Diss., 2013 | ||
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Datensatz im Suchindex
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| adam_text | II
TABLE OF CHAPTER CONTENTS
1 INTRODUCTION TO HEDGE FUNDS 1
1.1 DEFINITION AND CLASSIFICATION OF HEDGE FUNDS 2
1.1.1 DEFINITION OF HEDGE FUNDS 2
1.1.2 HEDGE FUNDS AS AN ASSET CLASS 8
1.1.3 INVESTING IN HEDGE FUNDS 10
1.1.4 HEDGE FUND INVESTMENT STYLES 13
1.2 SALIENT OPERATIONAL FEATURES OF HEDGE FUNDS 17
1.2.1 LEGAL STRUCTURE 17
1.2.2 MANAGER COMPENSATION 19
1.2.3 ADDITIONAL ARRANGEMENTS 21
1.2.4 RISK MANAGEMENT 24
1.3 BENEFITS AND DRAWBACKS OF HEDGE FUNDS 29
1.3.1 BENEFITS OF HEDGE FUNDS 29
1.3.1.1 FLEXIBILITY 29
1.3.1.2 SOPHISTICATION 30
1.3.1.3 SUPERIOR PERFORMANCE 31
1.3.1.4 PORTFOLIO DIVERSIFICATION 33
1.3.2 DRAWBACKS OF HEDGE FUNDS 35
1.3.2.1 FEE STRUCTURE 35
1.3.2.2 OPAQUENESS 37
1.3.2.3 ILLIQUIDITY 38
1.3.2.4 LIMITED ACCESS, CAPACITY, AND SCALABILITY 40
1.3.2.5 ADDITIONAL RISK 42
1.4 PAST, PRESENT, AND FUTURE OF THE HEDGE FUND INDUSTRY 48
/. 4.1 HISTORICAL DEVELOPMENT OF THE HEDGE FUND INDUSTRY 48
1.4.2 CURRENT STATE OF THE HEDGE FUND INDUSTRY 53
1.4.3 THE FUTURE OF HEDGE FUNDS 57
1.5 CHAPTER SUMMARY 62
2 HEDGE FUND INVESTMENT STRATEGIES 69
2.1 RELATIVE VALUE 71
2.1.1 EQUITY MARKET NEUTRAL 71
2.1.2 CONVERTIBLE ARBITRAGE 75
HTTP://D-NB.INFO/1058724363
TABLE OF CHAPTER CONTENTS (CONTINUED) III
2.1.3 FIXED INCOME ARBITRAGE 81
2.2 EVENT-DRIVEN 85
2.2.1 MERGER ARBITRAGE 85
2.2.2 DISTRESSED SECURITIES 90
2.3 DIRECTIONAL OR OPPORTUNISTIC 95
2.3.1 LONG/SHORT EQUITY 95
2.3.2 DEDICATED SHORT 97
2.3.3 GLOBAL MACRO 100
2.3.4 MANAGED FUTURES 103
2.3.5 EMERGING MARKETS 105
2.4 CHAPTER SUMMARY 110
3 HEDGE FUND RISK AND RETURN ANALYSIS 113
3.1 HEDGE FUND DATA 114
3.1.1 HEDGE FUND REPORTING 114
3.1.2 HEDGE FUND DATA BIASES 118
3.1.2.1 SELF-SELECTION BIAS 118
3.1.2.2 SURVIVORSHIP BIAS 120
3.1.2.3 VALUATION BIAS 121
3.1.2.4 BACKFILL OR INSTANT HISTORY BIAS 122
3.1.2.5 SAMPLE SELECTION BIAS 123
3.1.3 PECULIARITIES OF HEDGE FUND INDICES 125
3.1.4 DATA USED THROUGHOUT THE EXAMINATIONS. 132
3.1.4.1 CISDM 133
3.1.4.2 CREDIT SUISSE TREMONT 135
3.1.4.3 EDHEC 136
3.1.4.4 HEDGE FUND RESEARCH 137
3.1.4.5 HENNESSEE 138
3.2 STATISTICAL PROPERTIES OF HEDGE FUND RETURNS 141
3.2.1 DESCRIPTIVE STATISTICS OF HISTORICAL HEDGE FUND RETURNS 141
3.2.2 CORRELATION ANALYSIS 151
3.2.2.1 SERIAL CORRELATION OF HEDGE FUND RETURNS 153
3.2.2.2 CORRELATION AMONG HEDGE FUND STRATEGIES 157
3.2.2.3 CORRELATION TO OTHER ASSET CLASSES 164
3.3 HISTORICAL RISK-ADJUSTED PERFORMANCE OF HEDGE FUNDS 170
3.3.1 HISTORICAL RISK-RETURN PROFILES OF HEDGE FUNDS 170
JV TABLE OF CHAPTER
CONTENTS (CONTINUED)
3.3.2 RISK-ADJ
USIED PERFORMANCE MEASURES FOR HEDGE FUNDS 174
3.3.3 HEDGE FUND PERFORMANCE PERSISTENCE 183
3.4 CHAPTER SUMMARY 187
4 MODELING HEDGE FUND RISKS AND RETURNS 190
4.1 LINEAR FACTOR MODELS 191
4.1.1 BASIC LINEAR FACTOR MODELS 191
4.1.2 HEDGE FUND STYLE FACTOR MODELS 198
4.1.3 ASSET-BASED MULTI-FACTOR MODELS 201
4.2 NON-LINEAR FACTOR MODELS 208
4.2.1 MODELS INCLUDING HIGHER MOMENTS. 208
4.2.2 OPTION FACTOR MODELS 211
4.2.3 MODELS WITH TIME-VARYING FACTOR EXPOSURE 222
4.2.3.1 MODELS WITH CONTINUOUSLY DYNAMIC FACTOR EXPOSURE 223
4.2.3.2 REGIME-SWITCHING MODELS 229
4.2.3.3 CONDITIONAL FACTOR MODELS 2 39
4.3 CHAPTER SUMMARY 247
5 THE BASICS OF HEDGE FUND REPLICATION 252
5.1 INTRODUCTION TO HEDGE FUND REPLICATION 253
5.1.1 DEFINITION OF HEDGE FUND REPLICATION. 253
5.1.2 THE CONCEPT OF ALTERNATIVE BETA 25 5
5.1.3 THE RATIONALE FOR ALTERNATIVE BETA 260
5.1.4 RISK PREMIUMS IN HEDGE FUND STRATEGIES 265
5.2 HEDGE FUND REPLICATION METHODOLOGIES 271
5.2.1 TIME SERIES REPLICATION 272
5.2.1.1 ** THE FUNDAMENTALS OF TIME SERIES REPLICATION 272
5.2.1.2 THE MATHEMATICS BEHIND TIME SERIES REPLICATION 275
5.2.1.3 VARIANTS OF TIME SERIES REPLICATION 277
5.2.1.3.1 ASYMMETRIC HEDGE FUND REPLICATION 277
5.2.1.3.2 LINEAR OPTIMIZATION 278
5.2.1.3.3 MARKOWITZ OPTIMIZATION 280
5.2.1.3.4 NON-LINEAR TIME SERIES REPLICATION 281
5.2.1.4 CONCLUDING REMARKS ON TIME SERIES REPLICATION 288
5.2.2 DISTRIBUTIONAL REPLICATION 289
5.2.2.1 THE MATHEMATICS BEHIND DISTRIBUTIONAL REPLICATION 291
5.2.2.2 CONCLUDING REMARKS ON DISTRIBUTIONAL REPLICATION 296
TABLE OF CHAPTER
CONTENTS (CONTINUED) V
5.2.3 TRADING REPLICATION 298
5.2.3.1 TRADING REPLICATION OF MARKET-NEUTRAL STRATEGIES 300
5.2.3.1.1 MERGER ARBITRAGE 300
5.2.3.1.2 FOREIGN EXCHANGE ARBITRAGE 300
5.2.3.1.3 VOLATILITY ARBITRAGE 302
5.2.3.1.4 CONVERTIBLE ARBITRAGE 305
5.2.3.1.5 STATISTICAL ARBITRAGE 308
5.2.3.2 TRADING REPLICATION OF DIRECTIONAL STRATEGIES 310
5.2.3.2.1 LONG/SHORT EQUITY AND GLOBAL MACRO WITH UNILATERAL PAIRS
TRADING 310
5.2.3.2.2 LONG/SHORT EQUITY AND GLOBAL MACRO WITH TREND FOLLOWING 311
5.2.3.2.3 MANAGED FUTURES 313
5.2.3.2.4 LONG/SHORT EQUITY AND GLOBAL MACRO WITH MEAN REVERSION 316
5.2.3.3 CONCLUDING REMARKS ON TRADING REPLICATION 319
5.3 STRENGTHS AND WEAKNESSES OF HEDGE FUND REPLICATION 321
5.3.1 STRENGTHS OF HEDGE FUND REPLICATION 321
5.3.1.1 PRICING 321
5.3.1.2 LIQUIDITY AND CAPACITY 322
5.3.1.3 TRANSPARENCY 323
5.3.1.4 NO DUE DILIGENCE AND NO IDIOSYNCRATIC RISK 324
5.3.1.5 THREE-FOLD BENCHMARK 325
5.3.2 WEAKNESSES OF HEDGE FUND REPLICATION 326
5.3.2.1 REPLICATION TARGET 326
5.3.2.2 DATA SENSITIVITY AND SHORT TRACK RECORD 327
5.3.2.3 TRUNCATED RISK-RETURN SPECTRUM 328
5.3.2.4 REPLICATION ACCURACY RISK 329
5.3.2.5 FUTURE RISK POTENTIAL 329
5.4 MARKET CATALYSTS FOSTERING HEDGE FUND REPLICATION 332
5.4.1 THE FIRST D: DECLINING ALPHA 332
5.4.2 THE SECOND D: DEMANDFROM INSTITUTIONAL AND RETAIL INVESTORS 335
5.4.3 THE THIRD D: DENSITY AND CONVERGENCE OF HEDGE FUND ASSET
ALLOCATIONS 338
5.4.4 THE FOURTH D: DIVERSIFICATION REQUIREMENTS 339
5.4.5 THE FIFTH D: DATABASES 339
5.4.6 THE SIXTH D: DERIVATIVES AND DERIVATIVE EXCHANGES 340
5.4.7 THE SEVENTH D: DEDICATED ACADEMIC RESEARCH 341
5.5 CHAPTER SUMMARY 342
VI
TABLE OF CHAPTER CONTENTS (CONTINUED)
6
EMPIRICAL REPLICATION OF HEDGE FUND STRATEGIES 347
6.1 EMPIRICAL TIME SERIES REPLICATION 348
6.1.1 REPLICATION WITH STATIC ASSET PORTFOLIOS. 348
6.1.1.1 SYMMETRIC REPLICATION 348
6.1.1.2 ASYMMETRIC REPLICATION 354
6.1.2 REPLICATION WITH DYNAMIC ASSET PORTFOLIOS 356
6.1.2.1 SYMMETRIC REPLICATION 367
6.1.2.2 ASYMMETRIC REPLICATION 372
6.1.2.3 REPLICATION WITH LEVERAGE 375
6.1.2.4 REPLICATION WITHIN ENHANCED FUND STRUCTURES 377
6.1.2.5 TRANSACTION COSTS ANALYSIS 380
6.1.3 CONCLUDING REMARKS ON EMPIRICAL TIME SERIES REPLICATION 382
6.2 EMPIRICAL TRADING REPLICATION 385
6.2.1 REPLICATION OF MARKET-NEUTRAL HEDGE FUND STRATEGIES 386
6.2.1.1 MERGER ARBITRAGE 386
6.2.1.2 FOREIGN EXCHANGE ARBITRAGE 388
6.2.1.3 VOLATILITY ARBITRAGE 390
6.2.1.4 STATISTICAL ARBITRAGE 393
6.2.2 REPLICATION OF DIRECTIONAL HEDGE FUND STRATEGIES 401
6.2.2.1 LONG/SHORT EQUITY AND GLOBAL MACRO WITH UNILATERAL PAIRS TRADING
401
6.2.2.2 LONG/SHORT EQUITY AND GLOBAL MACRO WITH TREND FOLLOWING 406
6.2.2.3 MANAGED FUTURES 410
6.2.2.4 LONG/SHORT EQUITY WITH MEAN REVERSION 414
6.2.3 TRANSACTION COSTS OF TRADING REPLICATION 416
6.2.4 CONCLUDING REMARKS ON EMPIRICAL TRADING REPLICATION 418
6.3 CHAPTER SUMMARY 422
7 SUMMARY AND CONCLUSION 430
|
| any_adam_object | 1 |
| author | Tancar, Roman |
| author_facet | Tancar, Roman |
| author_role | aut |
| author_sort | Tancar, Roman |
| author_variant | r t rt |
| building | Verbundindex |
| bvnumber | BV042119714 |
| ctrlnum | (OCoLC)915476804 (DE-599)GBV796809631 |
| dewey-full | 332.64524 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64524 |
| dewey-search | 332.64524 |
| dewey-sort | 3332.64524 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. ed. |
| format | Thesis Book |
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| language | English |
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| spelling | Tancar, Roman Verfasser aut Hedge fund strategy replication by Roman Tancar 1. ed. 2013 Getr. Zählung graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bremen, Univ., Diss., 2013 Anlagepolitik (DE-588)4206018-7 gnd rswk-swf Hedge Fund (DE-588)4444016-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Hedge Fund (DE-588)4444016-9 s Anlagepolitik (DE-588)4206018-7 s DE-604 DE-101 pdf/application http://d-nb.info/1058724363/04 Inhaltsverzeichnis DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027559973&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Tancar, Roman Hedge fund strategy replication Anlagepolitik (DE-588)4206018-7 gnd Hedge Fund (DE-588)4444016-9 gnd |
| subject_GND | (DE-588)4206018-7 (DE-588)4444016-9 (DE-588)4113937-9 |
| title | Hedge fund strategy replication |
| title_auth | Hedge fund strategy replication |
| title_exact_search | Hedge fund strategy replication |
| title_full | Hedge fund strategy replication by Roman Tancar |
| title_fullStr | Hedge fund strategy replication by Roman Tancar |
| title_full_unstemmed | Hedge fund strategy replication by Roman Tancar |
| title_short | Hedge fund strategy replication |
| title_sort | hedge fund strategy replication |
| topic | Anlagepolitik (DE-588)4206018-7 gnd Hedge Fund (DE-588)4444016-9 gnd |
| topic_facet | Anlagepolitik Hedge Fund Hochschulschrift |
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