SUMMARY

• Presents cutting-edge research on hedge funds with broad coverage of investing, risk management and portfolio allocation and in-depth analysis on a variety of topics including VaR estimation, illiquidity and dynamic investment strategies

• Explores important differences between approaches to hedge funds and standard investment choices

• Gain a practical insight into the proper analytical tools for evaluating hedge fund investments in order to reach better decisions both in managing the risk of these investments and in allocating the risk among alternatives

• Accurately compare and measure the pros and cons of various risk management strategies so that you can assess whether or not to follow a particular strategy

• Enables hedge fund investors to adequately measure and weigh risk against benefits in order to optimise their asset allocations to hedge funds

• Technical material is presented in appendices and explained in detail in the text, making the title ideal for readers with only moderate technical knowledge

Find out more about Intelligent Hedge Fund Investing and contact Barry Schachter at www.intelligenthedgefundinvesting.com

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  TABLE OF CONTENTS

CONTENTS

Foreword
Tanya Beder
Caxton Associates LLC

About the Editor

List of Contributors

Intelligent Hedge Fund Investing: An Introduction
Barry Schachter

SECTION 1: CHALLENGES TO HEDGE FUND INVESTORS

Introduction
Barry Schachter

1. Hedge Funds vs Common Sense
Harry M. Kat
City University, London

2. Understanding Risks Embedded in Portfolios of Hedge Funds
Boris Arabadjiev
Credit Suisse Asset Management

3. Indexing Hedge Fund Indices
Noël Amenc; Lionel Martellini; Mathieu Vaissié
EDHEC

4. The Benefits and Costs of Illiquidity
Hilary Till
Premia Risk Consultancy, Inc

5. Threading a Rope Through a Needle: How Does a Large-Scale Investor Approach Hedge Funds?
Leola B. Ross
Russell Investment Group

SECTION 2: MEASURING HEDGE FUND PERFORMANCE

Introduction
Barry Schachter

6. Maximum Drawdown: Further Results
Emmanuel Acar; Amy Middleton
Bank of America

7. The Alternative Sharpe Ratio
Bernard Lee; Youngju Lee
Imperial College; Allianz Hedge Fund Partners

8. AIRAP: Alternative Views on Alternative Investments
Milind Sharma
Merrill Lynch Investment Managers

9. How ″Sharpe″ are Funds of Funds?
Youngju Lee; Bernard Lee
Allianz Hedge Fund Partners; Imperial College

SECTION 3: IDENTIFYING AND ESTIMATING HEDGE FUND RISKS

Introduction
Barry Schachter

10. Alternative Approaches to Estimating VAR for Hedge Fund Portfolios
Turan G. Bali; Suleyman Gokcan
Zicklin School of Business; Citigroup Alternative Investments

11. A Quantitative Analysis of Hedge Fund Style and Performance
Claus Bang Christiansen; Peter Brink Madsen; Michael Christensen
Aarhus School of Business

12. An Analysis of the Risk Factors Underlying Hedge Fund Returns
John Okunev; Derek White
Principal Global Investors

13. A Critical Examination of Historical Hedge Fund Returns
Nolke Posthuma; Pieter Jelle van der Sluis
ABP Investments; Free University Amsterdam and ABP Investments

SECTION 4: HEDGE FUNDS IN PORTFOLIOS

Introduction
Barry Schachter

14. Optimal Hedge Fund Style Allocation Under Higher Moments
Jean-François Bacmann; Sébastien Pache
RMF Investment Management; Ernst and Young

15. Evaluating Gains from Diversifying into Hedge Funds Using Dynamic Investment Strategies
Niclas Hagelin; Bengt Prambourg
Stockholm University School of Business and the Swedish National Debt Office; Stockholm University School of Business

16. Evaluating Hedge Fund Investments: The Role of Pure Style Indices
Francois-Serge Lhabitant
Union Bancaire Privée

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  QUOTES

″How exciting to read a book that is so timely and practical.″
Tanya Styblo Beder, Caxton Associates, LLC

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  AUTHOR BIOGRAPHY

Barry Schachter is Managing Director of Risk Management at SAC Capital Advisors, LLC, a large hedge fund. He is also the creator of GloriaMundi.org, a non-commercial website for risk management. Barry is a Fellow of the Program in Mathematics in Finance at the Courant Institute of NYU. He is a member of the Blue Ribbon Advisory Panel of PRMIA and the Advisory Board of IAFE. He serves on the editorial boards of the Journal of Derivatives and Finance Letters. Prior to his current position, Barry has held positions with Caxton Associates, Chase Manhattan Bank, the U.S. Comptroller of the Currency, the U.S. Commodity Futures Trading Commission, and several universities. He has also been a consultant to the International Monetary Fund. He has published his research in academic and practitioner journals, and has edited a book on derivatives in banking. He has spoken widely on the topic of risk management. He received his Ph.D. from Cornell University.

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  CONTRIBUTORS

Harry M. Kat; Boris Arabadjiev; Noël Amenc; Lionel Martellini; Mathieu Vaissié; Hilary Till; Leola B. Ross; Emmanuel Acar; Amy Middleton; Bernard Lee; Youngju Lee; Milind Sharma; Youngju Lee; Bernard Lee; Turan G. Bali; Suleyman Gokcan; Claus Bang Christiansen; Peter Brink Madsen; Michael Christensen; John Okunev; Derek White; Nolke Posthuma; Pieter Jelle van der Sluis; Jean-François Bacmann; Sébastien Pache; Niclas Hagelin; Bengt Prambourg; Francois-Serge Lhabitant
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  CUSTOMERS WHO BOUGHT THIS TITLE ALSO BOUGHT:

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  Hedge Funds and Prime Brokers - Edited By Mark Berman

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