Book description
The phenomenal growth of hedge fund investments into a $1.3 trillion industry has brought with it many challenges and provoked much debate. This dynamic industry continues to thrive despite the obituaries commentators have regularly written for it over the past decade.
Hedge Funds and Managed Futures: A Handbook for Institutional Investors is a measure of the growing sophistication and importance of the sector. The depth and range of topics are testament to the diversity of the industry. It evaluates four key topics from a critical perspective:
- benchmarking and performance measurement
- risk management
- portfolio management
- asset allocation
This multi-contributor handbook offers valuable insights into the needs of investors. It covers hot topics such as: Managed Accounts, Portable Alpha and Active Value Investing and stresses the importance of working in partnership with your clients to develop a wide range of products and looks at how to tailor hedge fund investments to specific needs.
The high profile contributors are a mixture of leading finance academics, industry commentators and practitioners. The independence of their views and the academic-professional balance reflects an intellectual maturity and confidence which is essential in maintaining a healthy industry.
Your ability to generate alpha and structure genuinely innovative products will be paramount to the growth of your business. Based on new research and analysis this informative and timely book will provide you with practical and innovative ideas for successful institutional investment.
Book details
- ISBN
- 9781904339533
- Publish date
- 1 Sep 2006
- Format
- Size
- 155mm x 235mm
Editor biography
Greg N. Gregoriou and Dieter G. Kaiser
Greg N. Gregoriou is Associate Professor of Finance and Coordinator of Faculty Research in the School of Business and Economics at State University of New York (Plattsburgh). He is the hedge fund editor for the peer-reviewed journal Derivatives Use, Trading and Regulation and editorial board member of the Journal of Wealth Management. He has authored over 60 articles on hedge funds, and managed futures in various US and UK peer-reviewed publications, including the Journal of Portfolio Management, Journal of Futures Markets, European Journal of Finance, Journal of Asset Management, European Journal of Operational Research and Annals of Operations Research.
Dieter G. Kaiser is a Director Alternative Investments at FERI Institutional Advisors GmbH in Bad Homburg, Germany where he is responsible for portfolio management and the selection of event driven and commodity hedge funds. From 2003 to 2007 he was responsible for institutional research and business development at Benchmark Alternative Strategies GmbH in Frankfurt. He has written numerous articles on Alternative Investments that have been published in both, academic and professional journals and is the author and editor of seven books. Dieter G. Kaiser holds a B.A. in Business Administration from the University of Applied Sciences Offenburg, a M.A. in Banking and Finance from the Frankfurt School of Finance and Management, and a Ph.D. in Finance from the University of Technology Chemnitz.
Table of contents
PART ONE: BENCHMARKING AND PERFORMANCE MEASUREMENT
1 Construction Methods, Heterogeneity and
Information Ratios of Hedge Fund Indices
Thomas Heidorn; Christian Hoppe; Dieter G. Kaiser
HfB - Business School of Finance & Management;
Dresdner Bank AG; Benchmark Alternative
Strategies GmbH
2 Hedge Fund Indices and Passive Alpha: A Buy-Side
Perspective
François-Serge Lhabitant
Kedge Capital, HEC Lausanne and EDHEC
3 History Bias Factor: A Definition
Daniel Capocci
HEC, University of Liège
4 On Comparing Hedge Fund Strategies Using Higher
Moment Estimators for Correcting Specification
Errors in Financial Models
François-Éric Racicot; Raymond Théoret
University of Quebec, Outaouais; University of Quebec,
Montreal
5 Trading Efficiency of Largest 25 CTAs using a
Basic Data Envelopment Analysis Model and
Returns-to-Scale Estimation
Greg N. Gregoriou
State University of New York (Plattsburgh)
6 Absolute Performance and Correlation Persistence of
Hedge Funds Returns: an Analysis Using the CISDM
Database
Kathryn Wilkens, Donald R. Chambers
CAIAA, Lafayette College
7 Return Attribution for Portfolios of Hedge Funds
François-Serge Lhabitant
Kedge Capital, HEC Lausanne and EDHEC
PART TWO: RISK MANAGEMENT
8 Hedge Funds Returns, Higher Moments and
Nonlinear Risk
Alain Coën, François-Éric Racicot; Raymond Théoret
University of Quebec, Outaouais; University of Quebec, Montreal
9 Operational Risk Management Approaches and
Concepts: Lessons Drawn from a Fund of
Hedge Funds Provider
Pierre-Yves Moix, Bernard Bachmann
RMF Investment Management
10 Hedge Funds, Corporate Governance and the
Separation of Ownership and Control
Paul U. Ali
University of Melbourne
11 Value-at-Risk Predictions of Hedge Fund Portfolios:
A Comparison of Alternative Approaches
Oliver A. Schwindler
HF-Analytics, Bamberg University
12 Managed Accounts or the Price of Liquid and
Transparent Hedge Fund and CTA Investing
Florian Haberfelner; Dieter G. Kaiser; Karin Kisling
Benchmark Capital Management GmbH;
Benchmark Alternative Strategies GmbH;
Benchmark Capital Management GmbH
13 Hedge Funds Investing in Emerging Markets
Mehmet Orhan; Turker Tekten
Economics Department, Fatih University; Standard Bank
PART THREE: PORTFOLIO MANAGEMENT
14 Optimising Hedge Fund Portfolios with
Omega Functions
Jean-François Bacmann, Ursula Bosshard
RMF Investment Management
15 Strategy Selection for Hedge Fund and Managed
Futures Portfolios using Higher Moments
Lutz Johanning, Juliane Proelss, Artus Ph. Rosenbusch,
Denis Schweizer
European Business School
16 Hedge Funds: From Diversification to
Diworsification
François-Serge Lhabitant
Kedge Capital, HEC Lausanne and EDHEC
17 The Risks of Systematic Trend Followers: When
Markets Stop Trending! Understanding High
Intraday Volatility and its Impact on CTA Returns
John E. Dunn III
Thunderbird, The Garvin School of International
Management
18 Selecting Last Year’s Top Performing CTA as this
Year’s Choice: A Simple Trading Strategy
Greg N. Gregoriou
State University of New York (Plattsburgh)
19 Guaranteed Funds, Guaranteed Hedge Funds -
How to Put Investment Efficiency to the Test?
Zsolt Berényi
R.I.S.C. Consulting
PART FOUR: ASSET ALLOCATION
20 Blending Hedge Funds with Traditional Stock and
Bond Portfolios: Investment Management in a
New World
R. McFall Lamm Jr
Global Investment Management, Deutsche Bank
21 Long-Term Co-Movements Between Hedge Funds and
Financial Asset Markets
Roland Füss; Dieter G. Kaiser; Heinz Rehkugler; Irina Butina
University of Freiburg; Benchmark Alternative
Strategies GmbH; University of Freiburg; University of Freiburg
22 Modelling Hedge Fund Returns from an Asset
Allocation Perspective
Bernhard Brunner, Reinhold Hafner
risklab germany GmbH
23 The Effect of Hedge Funds on the Risk Profile of
Global Portfolios
Peter Oertmann
Vescore Solutions Inc, University of Basle
24 The Benefits of Hedge Funds in Asset-Liability
Management
Lionel Martellini, Volker Ziemann
EDHEC Risk and Asset Management Research Center
25 Portable Alpha - Separation and Recombination of
Alpha and Beta
Georg Wessling
Harcourt Investment Consulting AG
26 Active Value Investing: A Case Study on Creating
Alpha in Europe
Guy P. Wyser-Pratte
Wyser-Pratte Management Company, Inc.
Index
