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Assessing Hedge Fund Performance With Institutional Constraints
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Book Synopsis Assessing Hedge Fund Performance with Institutional Constraints by : Marat Molyboga
Download or read book Assessing Hedge Fund Performance with Institutional Constraints written by Marat Molyboga and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Standard tests for persistence in hedge fund performance are not consistent with investment practices because they ignore performance reporting delay, overlook fund selection standards of institutional investors, and often use portfolios with too many funds. This paper introduces a set of tests based on a large scale simulation framework and stochastic dominance methodology. These tests incorporate constraints that are standard practice in the institutional investment field. To illustrate this framework, we apply it to investigate momentum in performance of hedge funds in the managed futures industry. We find persistence in performance of the top performing fund managers that is significant in statistical and economic terms. Our methodology extends the toolbox of performance persistence tests and results in findings that can be implemented by institutional investors.
Book Synopsis Evaluating Hedge Fund Performance by : Vinh Q. Tran
Download or read book Evaluating Hedge Fund Performance written by Vinh Q. Tran and published by John Wiley & Sons. This book was released on 2007-02-10 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive look at hedge fund performance issues In Evaluating Hedge Fund Performance, Dr. Vinh Tran gives readers the information they need to construct an efficient hedge fund portfolio based on their own level of knowledge. From evaluating hedge funds to picking the winners, Dr. Tran covers some of the most important issues related to this flexible investment vehicle. Evaluating Hedge Fund Performance takes the standard hedge fund book to a new level by detailing how to manage the risk of hedge funds and offering the best methods to evaluate and monitor hedge funds. With strategy based on interviews and data from experts in the field, this book is a must-read for any investor or manager who is investing in hedge funds.
Book Synopsis Your Essential Guide to Quantitative Hedge Fund Investing by : Marat Molyboga
Download or read book Your Essential Guide to Quantitative Hedge Fund Investing written by Marat Molyboga and published by CRC Press. This book was released on 2023-07-18 with total page 317 pages. Available in PDF, EPUB and Kindle. Book excerpt: Your Essential Guide to Quantitative Hedge Fund Investing provides a conceptual framework for understanding effective hedge fund investment strategies. The book offers a mathematically rigorous exploration of different topics, framed in an easy to digest set of examples and analogies, including stories from some legendary hedge fund investors. Readers will be guided from the historical to the cutting edge, while building a framework of understanding that encompasses it all. Features Filled with novel examples and analogies from within and beyond the world of finance Suitable for practitioners and graduate-level students with a passion for understanding the complexities that lie behind the raw mechanics of quantitative hedge fund investment A unique insight from an author with experience of both the practical and academic spheres.
Download or read book Hedge Funds written by Greg N. Gregoriou and published by John Wiley & Sons. This book was released on 2011-08-04 with total page 487 pages. Available in PDF, EPUB and Kindle. Book excerpt: Whether already experienced with hedge funds or just thinking about investing in them, readers need a firm understanding of this unique investment vehicle in order to achieve maximum success. Hedge Funds unites over thirty of the top practitioners and academics in the hedge fund industry to provide readers with the latest findings in this field. Their analysis deals with a variety of topics, from new methods of performance evaluation to portfolio allocation and risk/return matters. Although some of the information is technical in nature, an understanding and applicability of the results as well as theoretical developments are stressed. Filled with in-depth insight and expert advice, Hedge Funds helps readers make the most of this flexible investment vehicle.
Book Synopsis A Simulation-Based Methodology for Evaluating Hedge Fund Investments by : Marat Molyboga
Download or read book A Simulation-Based Methodology for Evaluating Hedge Fund Investments written by Marat Molyboga and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces a large scale simulation framework for evaluating hedge funds' investments subject to the realistic constraints of institutional investors. The method is customizable to the preferences and constraints of individual investors, including investment objectives, performance benchmarks, rebalancing period and the desired number of funds in a portfolio and can incorporate a large number of portfolio construction and fund selection approaches. As a way to illustrate the methodology, we impose the framework on a subset of hedge funds in the managed futures space that contains 604 live and 1,323 defunct funds over the period 1993-2014. We then measure the out-of-sample performance of three hypothetical risk-parity portfolios and two hypothetical minimum risk portfolios and their marginal contributions to a typical 60-40 portfolio of stocks and bonds. We find that an investment in managed futures improves an investor's performance regardless of portfolio construction methodology and that equal risk approaches are superior to minimum risk portfolios across all performance metrics considered in the study. Our paper is relevant for institutional investors in that it provides a robust and flexible framework for evaluating hedge fund investments given the specific preferences and constraints of individual investors.
Download or read book Hedge Funds written by H. Kent Baker and published by Oxford University Press. This book was released on 2017-07-26 with total page 697 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge Funds: Structure, Strategies, and Performance provides a synthesis of the theoretical and empirical literature on this intriguing, complex, and frequently misunderstood topic. The book dispels some common misconceptions of hedge funds, showing that they are not a monolithic asset class but pursue highly diverse strategies. Furthermore, not all hedge funds are unusually risky, excessively leveraged, invest only in illiquid asses, attempt to profit from short-term market movements, or only benefit hedge fund managers due to their high fees. Among the core issues addressed are how hedge funds are structured and how they work, hedge fund strategies, leading issues in this investment, and the latest trends and developments. The authors examine hedge funds from a range of perspectives, and from the theoretical to the practical. The book explores the background, organization, and economics of hedge funds, as well as their structure. A key part is the diverse investment strategies hedge funds follow, for example some are activists, others focusing on relative value, and all have views on managing risk. The book examines various ways to evaluate hedge fund performance, and enhances understanding of their regulatory environment. The extensive and engaging examination of these issues help the reader understands the important issues and trends facing hedge funds, as well as their future prospects.
Book Synopsis Evaluating and Implementing Hedge Fund Strategies by : Ronald A. Lake
Download or read book Evaluating and Implementing Hedge Fund Strategies written by Ronald A. Lake and published by Euromoney Publications. This book was released on 1999 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2nd revised edition includes expanded introductory information, plus new chapters covering hedge funds and emerging markets, convertible arbitrage, opportunistic investing, investors' strategies, opportunities and pitfalls, risk control techniques and the impact of investment technology.
Book Synopsis Evaluating Hedge Fund and CTA Performance by : Greg N. Gregoriou
Download or read book Evaluating Hedge Fund and CTA Performance written by Greg N. Gregoriou and published by John Wiley & Sons. This book was released on 2005-05-06 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introducing Data Envelopment Analysis (DEA) -- a quantitative approach to assess the performance of hedge funds, funds of hedge funds, and commmodity trading advisors. Steep yourself in this approach with this important new book by Greg Gregoriou and Joe Zhu. "This book steps beyond the traditional trade-off between single variables for risk and return in the determination of investment portfolios. For the first time, a comprehensive procedure is presented to compose portfolios using multiple measures of risk and return simultaneously. This approach represents a watershed in portfolio construction techniques and is especially useful for hedge fund and CTA offerings." -- Richard E. Oberuc, CEO, Burlington Hall Asset Management, Inc. Chairman, Foundation for Managed Derivatives Research Order your copy today!
Download or read book Hedge Funds written by IMCA and published by John Wiley & Sons. This book was released on 2003-03-10 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: A well-rounded hedge fund guide for the serious financial professional Alternative investment strategies-hedge funds in particular-have experienced a significant resurgence recently, largely in response to the dramatic downturn of the global equity markets. In response to this explosion in popularity, this book focuses on many of the best moneymaking strategies related to these alternative investment vehicles. IMCA (The Investment Management Consultants Association) is a professional association established in 1985, representing the investment consulting profession in the U.S. and Canada. Kenneth S. Phillips is a member of the IMCA Advisory Council and Managing Principal of Capital Partners, LLC. Ron Surz, CIMA, is a member of the IMCA Board of Directors and the President of PPCA Inc.
Download or read book Hedge Funds written by Theodor Baums and published by Walter de Gruyter GmbH & Co KG. This book was released on 2015-02-06 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: The number of hedge funds and the assets they have under management has increased in recent years. This increase became significantly more pronounced after the market downturn in 2001. Hedge funds can help investors to benefit from volatile and even sinking stock markets. However, despite the prominent use of the word "hedge" in their name, such funds rarely offer a safe hedge against risk, given that they depend heavily on skill-based investment techniques and often invest in highly speculative financial instruments. Nevertheless, such funds received no specific treatment in the legislation of such major markets as Germany and the United States for years. Against the backdrop of international regulatory concern for hedge funds, the Institute for Law and Finance (ILF), in cooperation with Deutsches Aktieninstitut e.V. (DAI), brought together leading scholars, lawyers and bankers, to assess the risks, opportunities and regulatory challenges that hedge funds present. At the time of the conference, German lawmakers were still discussing the need and possible content of a new law. The fruit of their discussions was the German Investment-Modernization Act (Investmentmodernisierungsgesetz), which entered into force on January 1, 2004, and increased the attractiveness of offering hedge fund products in the German market. This inaugural volume of the Institute for Law and Finance Series contains the proceedings of the ILF/DAI May 2003 conference entitled "Hedge Funds: Risks and Regulation", and presents papers discussing the economic characteristics of and regulatory strategies for addressing hedge funds. The first two papers examine hedge funds from an economic perspective. Alexander M. Ineichen, Managing Director and Global Head of AIS Research at UBS, reveals the economic reality of hedge funds from the myths that has surrounded them. Then Franklin R. Edwards, Professor and Director of the Center for the Study of Futures Markets of the Columbia Business School in New York explains how the regulation of hedge funds should be tailored to their core economic reality and the goals of financial stability and investor protection. Next, Marcia L. MacHarg, a partner of Debevoise & Plimpton LLP, Ashley Kovas, a Manager in the Business Standards Department of the Financial Services Authority, London, and Edgar Wallach, a partner of Hengeler Mueller, present the state of the relevant regulatory structures in the United States, the United Kingdom, and Germany, respectively. The book then closes with an analysis of corporate structures used for German hedge funds, offered by Kai-Uwe Steck, a member of the German Asset Management practice group of Shearman & Sterling LLP.
Book Synopsis Hedge Fund Investing by : Kevin R. Mirabile
Download or read book Hedge Fund Investing written by Kevin R. Mirabile and published by John Wiley & Sons. This book was released on 2016-01-19 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to alternative investments and a valuable study companion for the CFA, CAIA, FRM and other professional examinations that include hedge fund investing The 2nd Edition offers new material related to portfolio financing, how funds are sold, liquid alternatives, and the challenges faced when trying to value hedge fund management companies. This edition includes updated power point slides, and a companion workbook with an updated set of end of chapter problems and a revised set of over 150 test bank questions. Hedge Fund Investing is a complete guide to alternative investments for students and professionals alike. Written to align with the CAIA curriculum, this book is much more than just an exam preparation resource—it's a fully comprehensive guide to hedge fund investing in today's market, designed to provide professionals with the deep understanding they need to operate effectively. Broad coverage under the alternative investment umbrella includes discussion about hedge funds, derivatives, investment banking, and commercial banking, with specific guidance toward trading, strategy, portfolio management, performance metrics, due diligence, and more. A full set of ancillary materials helps bring this book into the classroom, and provides rigorous reinforcement of the material presented in the text. Alternative investment expertise has become central to the asset management and institutional investment community. This book facilitates clear understanding of the intricacies of the field and guides you through the practical skills needed to successfully navigate this diverse set of asset classes. Recognize hedge fund trends, flows, and characteristics Examine major hedge fund strategies and how they interact Learn the technical side of financing, settlement, and clearance Measure fund performance and optimize contributing factors Hedge funds and other alternative investments are known for their high reward, but they also come with significant risk. The investment professional's role is to minimize these risks while maximizing reward, but the nuanced nature of these assets dramatically complicates the task. Hedge Fund Investing details every aspect to give you the deep and instinctual understanding you need to operate effectively within the alternative investment sphere.
Book Synopsis Hedge Fund Analysis by : Frank J. Travers
Download or read book Hedge Fund Analysis written by Frank J. Travers and published by John Wiley & Sons. This book was released on 2012-10-02 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: A detailed, step-by-step book covering the entire hedge fund evaluation process Investing in hedge funds is different from investing in other asset classes. There is much less publicly available information about hedge funds performance than there is about mutual funds or individual stocks. Consequently, investing in this class requires more sophisticated investment knowledge, greater due diligence, and, in many cases, a better-developed ability to evaluate investment managers. Hedge Fund Analysis provides a broad framework of how to approach this endeavor, from initial screening to analytical techniques, interviewing skills, and legal and contract negotiations. Along the way, it demonstrates a variety of mechanisms for monitoring and tracking hedge funds and the underlying hedge fund portfolios—explaining each stage of the process in minute detail and providing specific examples which fully explain the opportunities and challenges you'll face each step of the way. Provides a detailed look at how to source hedge funds, screen through them, and rank their strengths and weaknesses Lays out a thorough process for evaluating funds, from initial interviews to performance analysis to onsite meetings Reveals what questions to ask by strategy in order to understand the underlying risk factors associated with each Highlights non-investment analysis, including operational due diligence and risk management, as integral elements in the process Written by a financial professional with over twenty years of experience conducting investment manager due diligence, this book will put you in a position to make more informed decisions when investing in hedge funds.
Book Synopsis Hedge Fund Returns by : Christian Alexander Wegener
Download or read book Hedge Fund Returns written by Christian Alexander Wegener and published by Logos Verlag Berlin GmbH. This book was released on 2011 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present work advances the research on hedge fund returns in three main areas. Firstly, their statistical properties are assessed in order to understand by what degree the returns of this alternative asset class are subject to non-normality, autocorrelation and heteroscedasticity. Secondly, state-of-the-art econometric approaches are used for the purpose of analyzing whether and to what extent monthly hedge fund returns are forecastable. Thirdly, an effort is made to identify and explain which economic risks affect the performance of the different hedge fund strategy styles in which way. The empirical results suggest that monthly hedge fund returns are forecastable by means of multivariate regression models which rely on economic predictors such as changes in interest rates or changes in business outlooks. Accounting for the fact that hedge fund returns are non-normally distributed, heteroscedastic and time-varying in their exposure to pervasive risk factors, the devised econometric models are found to deliver significant out-of-sample predictive power. The thesis at hand also documents that the interdependencies between the monthly changes of envisaged risk factors and the subsequent hedge fund returns remain remarkably stable throughout time. In essence, the performance of hedge funds appears to be sensitive to common business cycle movements. Altogether, the results are relevant to researchers in search of a description and application of contemporary return prediction methods as well as to investors in need of a better understanding of the drivers of hedge fund returns.
Book Synopsis Price-Based Investment Strategies by : Adam Zaremba
Download or read book Price-Based Investment Strategies written by Adam Zaremba and published by Springer. This book was released on 2018-07-25 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
Book Synopsis Performance Evaluation of Hedge Funds by : Greg N. Gregoriou
Download or read book Performance Evaluation of Hedge Funds written by Greg N. Gregoriou and published by Beard Books. This book was released on 2003 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains incisive articles dealing with quantitative and qualitative analyses of hedge funds.
Book Synopsis Evaluating and Implementing Hedge Fund Strategies by : Ronald Lake
Download or read book Evaluating and Implementing Hedge Fund Strategies written by Ronald Lake and published by Euromoney Publications. This book was released on 2003 with total page 547 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fully revised and updated, this new edition provides a helpful guide to all aspects of hedge fund management and investment.
Book Synopsis Hedge Fund Modelling and Analysis Using Excel and VBA by : Paul Darbyshire
Download or read book Hedge Fund Modelling and Analysis Using Excel and VBA written by Paul Darbyshire and published by John Wiley & Sons. This book was released on 2012-02-23 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: Co-authored by two respected authorities on hedge funds and asset management, this implementation-oriented guide shows you how to employ a range of the most commonly used analysis tools and techniques both in industry and academia, for understanding, identifying and managing risk as well as for quantifying return factors across several key investment strategies. The book is also suitable for use as a core textbook for specialised graduate level courses in hedge funds and alternative investments. The book provides hands-on coverage of the visual and theoretical methods for measuring and modelling hedge fund performance with an emphasis on risk-adjusted performance metrics and techniques. A range of sophisticated risk analysis models and risk management strategies are also described in detail. Throughout, coverage is supplemented with helpful skill building exercises and worked examples in Excel and VBA. The book's dedicated website, www.darbyshirehampton.com provides Excel spreadsheets and VBA source code which can be freely downloaded and also features links to other relevant and useful resources. A comprehensive course in hedge fund modelling and analysis, this book arms you with the knowledge and tools required to effectively manage your risks and to optimise the return profile of your investment style.
