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Efficient Fund Of Hedge Funds Construction Under Downside Risk Measures
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Book Synopsis Efficient Fund of Hedge Funds Construction Under Downside Risk Measures by : David Morton
Download or read book Efficient Fund of Hedge Funds Construction Under Downside Risk Measures written by David Morton and published by . This book was released on 2006 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider portfolio allocation in which the underlying investment instruments are hedge funds. Benchmarks and conditional-value-at-risk motivate a family of utility functions involving the probability of outperforming a benchmark and expected shortfall from another benchmark. Non-normal return vectors with prescribed marginal distributions and correlation structure are modeled and simulated using the normal-to-anything method. A Monte Carlo procedure is used to obtain, and establish the quality of, a solution to the associated portfolio optimization model. Computational results are presented on a problem in which we construct a fund of 13 CSFB/Tremont hedge-fund indices.
Book Synopsis The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds by : Andre Lucas
Download or read book The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds written by Andre Lucas and published by . This book was released on 2007 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Current research suggests that the large downside risk in hedge fund returns disqualifies the variance as an appropriate risk measure. For example, one can easily construct portfolios with nonlinear pay-offs that have both a high Sharpe ratio and a high downside risk. This paper examines the consequences of shortfall-based risk measures in the context of portfolio optimization. In contrast to popular belief, we show that negative skewness for optimal mean-shortfall portfolios can be much greater than for mean-variance portfolios. Using empirical hedge fund return data we show that the optimal mean-shortfall portfolio substantially reduces the probability of small shortfalls at the expense of an increased extreme crash probability. We explain this by proving analytically under what conditions short-put payoffs are optimal for a mean-shortfall investor. Finally, we show that quadratic shortfall or semivariance is less prone to these problems. This suggests that the precise choice of the downside risk measure is highly relevant for optimal portfolio construction under loss averse preferences.
Book Synopsis Derivatives and Hedge Funds by : Stephen Satchell
Download or read book Derivatives and Hedge Funds written by Stephen Satchell and published by Springer. This book was released on 2016-05-18 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.
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 Wiley. This book was released on 2005-05-06 with total page 167 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!
Book Synopsis Market Risk Management for Hedge Funds by : Francois Duc
Download or read book Market Risk Management for Hedge Funds written by Francois Duc and published by John Wiley & Sons. This book was released on 2010-04-01 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a cutting edge introduction to market risk management for Hedge Funds, Hedge Funds of Funds, and the numerous new indices and clones launching coming to market on a near daily basis. It will present the fundamentals of quantitative risk measures by analysing the range of Value-at-Risk (VaR) models used today, addressing the robustness of each model, and looking at new risk measures available to more effectively manage risk in a hedge fund portfolio. The book begins by analysing the current state of the hedge fund industry - at the ongoing institutionalisation of the market, and at its latest developments. It then moves on to examine the range of risks, risk controls, and risk management strategies currently employed by practitioners, and focuses on particular risks embedded in the more classic investment strategies such as Long/Short, Convertible Arbitrage, Fixed Income Arbitrage, Short selling and risk arbitrage. Addressed along side these are other risks common to hedge funds, including liquidity risk, leverage risk and counterparty risk. The book then moves on to examine more closely two models which provide the underpinning for market risk management in investment today - Style Value-at-Risk and Implicit Value-at-Risk. As well as full quantitative analysis and backtesting of each methodology, the authors go on to propose a new style model for style and implicit Var, complete with analysis, real life examples and backtesting. The authors then go on to discuss annualisation issues and risk return before moving on to propose a new model based on the authors own Best Choice Implicit VaR approach, incorporating quantitative analysis, market results and backtesting and also its potential for new hedge fund clone products. This book is the only guide to VaR for Hedge Funds and will prove to be an invaluable resource as we embark into an era of increasing volatility and uncertainty.
Book Synopsis Portfolio Optimization of Hedge Funds in a Downside Risk Framework (Optimisation de Portefeuille des Hedge Funds dans le cadre du Downside Risk). by : Chokri Mamoghli
Download or read book Portfolio Optimization of Hedge Funds in a Downside Risk Framework (Optimisation de Portefeuille des Hedge Funds dans le cadre du Downside Risk). written by Chokri Mamoghli and published by . This book was released on 2008 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article examines the portfolio optimization of hedge funds in the downside risk framework in order to take into account the asymmetry of returns and the behavior of investors towards the risk which are not captured by the mean-variance model. By using the Credit Suisse/Tremont Hedge Fund database, the results showed that the downside risk measures have an impact on the composition of optimal portfolios and on the efficient frontier. The results also showed that the mean-variance model overestimates the risk because of the use of the variance as a risk measure, but the mean- semivariance model of Harlow (1991) underestimates the risk because of the cosemivariances measures used in this model. Likewise, the results obtained proved that the new mean-semivariance model provides a better optimization of hedge funds portfolios because it makes it possible to capture the non-normality of hedge funds strategies and the risk perception of investors which are not taken into account by the mean-variance model and also makes it possible to overcome the problem of inequality of the cosemivariances measures in the mean-semivariance model of Harlow (1991).
Book Synopsis Hedge Fund Risk Fundamentals by : Richard Horwitz
Download or read book Hedge Fund Risk Fundamentals written by Richard Horwitz and published by John Wiley & Sons. This book was released on 2007-07-01 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the constantly evolving hedge fund marketplace, nothing is more central--but in many ways, more amorphous and elusive--than risk. Yet there remains no standard for analyzing and measuring risk within this highly secretive, largely unregulated field, leaving the thousands of hedge funds--and the tens of thousands of hedge fund investors--in dangerously dim light. The industry has not solved the "transparency" challenge--communicating risk to investors without disclosing proprietary information. Hedge Fund Risk Fundamentals is the first book to bring these issues to the forefront. With clarity, concision, and minimal math, Richard Horwitz lays out the key components and the cutting-edge processes in the field of hedge fund risk management today. Against that backdrop, he presents a groundbreaking utility destined to set the standard for transparency and risk management within the hedge fund universe. You’ll learn why, when it comes to risk management, 1 + 1 = 1.41. For all of those perplexed by the difficulties of assessing risk in hedge fund investing, Horwitz’s concepts make for an invaluable road map and a demystifying resource that hedge funds and investors at all levels will find indispensable.
Download or read book Hedge Funds written by Richard Hills and published by Batsford. This book was released on 1996 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Managing Hedge Fund Risk and Financing by : David P. Belmont
Download or read book Managing Hedge Fund Risk and Financing written by David P. Belmont and published by John Wiley & Sons. This book was released on 2011-09-13 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ultimate guide to dealing with hedge fund risk in a post-Great Recession world Hedge funds have been faced with a variety of new challenges as a result of the ongoing financial crisis. The simultaneous collapse of major financial institutions that were their trading counterparties and service providers, fundamental and systemic increases in market volatility and illiquidity, and unrelenting demands from investors to redeem their hedge fund investments have conspired to make the climate for hedge funds extremely uncomfortable. As a result, many funds have failed or been forced to close due to poor performance. Managing Hedge Fund Risk and Financing: Adapting to a New Era brings together the many lessons learned from the recent crisis. Advising hedge fund managers and CFOs on how to manage the risk of their investment strategies and structure relationships to best insulate their firms and investors from the failures of financial counterparties, the book looks in detail at the various methodologies for managing hedge fund market, credit, and operational risks depending on the hedge fund's investment strategy. Also covering best practice ISDA, Prime Brokerage, Fee and Margin Lock Up, and including tips for Committed Facility lending contracts, the book includes everything you need to know to learn from the events of the past to inform your future hedge fund dealings. Shows how to manage hedge fund risk through the application of financial risk modelling and measurement techniques as well as the structuring of financial relationships with investors, regulators, creditors, and trading counterparties Written by a global finance expert, David Belmont, who worked closely with hedge fund clients during the crisis and experienced first hand what works Explains how to profit from the financial crisis In the wake of the Financial Crisis there have been calls for more stringent management of hedge fund risk, and this timely book offers comprehensive guidelines for CFOs looking to ensure world-class levels of corporate governance.
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.
Book Synopsis Performance Measurement of Hedge Funds Portfolios in a Downside Risk Framework by : Chokri Mamoghli
Download or read book Performance Measurement of Hedge Funds Portfolios in a Downside Risk Framework written by Chokri Mamoghli and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We showed that traditional performance measures are not adequate for the performance evaluation of hedge funds portfolios because they take into account neither the asymmetry of returns nor the risk perception of investors. In order to overcome this problem, we made recourse to performance measures in the downside risk framework. By using the Credit Suisse/Tremont Hedge Fund database, we showed that Sortino ratio; upside potential ratio and Omega measure make it possible to overcome the drawbacks of Sharpe ratio. The results obtained also showed that the index of Mamoghli and Daboussi is the adequate measure which makes it possible to surmount the drawbacks of Treynor index and Mishra and Rahman index. Likewise, the results proved that alpha of Mamoghli and Daboussi measures more correctly than Jensen alpha and Mishra and Rahman alpha the performance of hedge funds.
Download or read book Hedge Funds written by Greg N. Gregoriou and published by Beard Books. This book was released on 2003 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: Twenty-one contributions from academics and practitioners discuss recent research on hedge funds. Aimed at investment professionals and high net worth individuals, the text deals with current methods of hedge fund tracking, evaluation, and selection. Sample topics include convertible arbitrage funds
Book Synopsis Hedge Fund Operational Due Diligence by : Jason A. Scharfman
Download or read book Hedge Fund Operational Due Diligence written by Jason A. Scharfman and published by John Wiley & Sons. This book was released on 2008-12-03 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to diagnose and monitor key hedge fund operational risks With the various scandals taking place with hedge funds, now more than ever, both financial and operational risks must be examined. Revealing how to effectively detect and evaluate often-overlooked operational risk factors in hedge funds, such as multi-jurisdictional regulatory coordination, organizational nesting, and vaporware, Hedge Fund Operational Due Diligence includes real-world examples drawn from the author's experiences dealing with the operational risks of a global platform of over 80 hedge funds, funds of hedge funds, private equity, and real estate managers.
Book Synopsis Downside-risk Performance Measures and Hedge Funds by : Vishal Mewasingh
Download or read book Downside-risk Performance Measures and Hedge Funds written by Vishal Mewasingh and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper delves into performance measures which have recently emerged in an attempt to circumvent the well recognised flaws of conventional measures derived solely from mean and standard deviation. I use several of these measures to rank both equity indices as well as hedge fund strategies based on their likelihood of achieving a particular return level, relative to the downside risk associated with that target return. This method makes intuitive sense since one of the key characteristics of hedge funds is to seek to capture most upside while protecting the downside. While the conclusions clearly point to the superiority of hedge funds at all return thresholds, with the equity indices improving their rankings from worst to middle of the pack at the higher threshold levels, the use of the downside measures is not clear-cut and can be fraught with some ambiguity in the interpretation of rankings which they yield.
Book Synopsis Handbook of Hedge Funds by : François-Serge Lhabitant
Download or read book Handbook of Hedge Funds written by François-Serge Lhabitant and published by John Wiley & Sons. This book was released on 2011-03-23 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to the burgeoning hedge fund industry Intended as a comprehensive reference for investors and fund and portfolio managers, Handbook of Hedge Funds combines new material with updated information from Francois-Serge L’habitant’s two other successful hedge fund books. This book features up-to-date regulatory and historical information, new case studies and trade examples, detailed analyses of investment strategies, discussions of hedge fund indices and databases, and tips on portfolio construction. Francois-Serge L’habitant (Geneva, Switzerland) is the Head of Investment Research at Kedge Capital. He is Professor of Finance at the University of Lausanne and at EDHEC Business School, as well as the author of five books, including Hedge Funds: Quantitative Insights (0-470-85667-X) and Hedge Funds: Myths & Limits (0-470-84477-9), both from Wiley.
Book Synopsis Downside Risk Analysis Applied to the Hedge Funds Universe by : Josep Perelló
Download or read book Downside Risk Analysis Applied to the Hedge Funds Universe written by Josep Perelló and published by . This book was released on 2007 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe fail to capture some crucial aspects due to the strong non-Gaussian character of Hedge Funds statistics. A possible way out to this problem while keeping the CAPM simplicity is the so-called Downside Risk analysis. One important benefit lies in distinguishing between good and bad returns, that is: returns greater or lower than investor's goal. We revisit most popular Downside Risk indicators and provide new analytical results on them. We compute these measures by taking the Credit Suisse/Tremont Investable Hedge Fund Index Data and with the Gaussian case as a benchmark. In this way an unusual transversal lecture of the existing Downside Risk measures is provided.
Book Synopsis Managing Downside Risk in Financial Markets by : Frank A. Sortino
Download or read book Managing Downside Risk in Financial Markets written by Frank A. Sortino and published by Butterworth-Heinemann. This book was released on 2001-10-02 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative methods have revolutionized the area of trading, regulation, risk management, portfolio construction, asset pricing and treasury activities, and governmental activity such as central banking to name but some of the applications. Downside-risk, as a quantitative method, is an accurate measurement of investment risk, because it captures the risk of not accomplishing the investor's goal. 'Downside Risk in Financial Markets' demonstrates how downside-risk can produce better results in performance measurement and asset allocation than variance modelling. Theory, as well as the practical issues involved in its implementation, is covered and the arguments put forward emphatically show the superiority of downside risk models to variance models in terms of risk measurement and decision making. Variance considers all uncertainty to be risky. Downside-risk only considers returns below that needed to accomplish the investor's goal, to be risky. Risk is one of the biggest issues facing the financial markets today. 'Downside Risk in Financial Markets' outlines the major issues for Investment Managers and focuses on "downside-risk" as a key activity in managing risk in investment/portfolio management. Managing risk is now THE paramount topic within the financial sector and recurring losses through the 1990s has shocked financial institutions into placing much greater emphasis on risk management and control. Free Software Enclosed To help you implement the knowledge you will gain from reading this book, a CD is enclosed that contains free software programs that were previously only available to institutional investors under special licensing agreement to The pension Research Institute. This is our contribution to the advancement of professionalism in portfolio management. The Forsey-Sortino model is an executable program that: 1. Runs on any PC without the need of any additional software. 2. Uses the bootstrap procedure developed by Dr. Bradley Effron at Stanford University to uncover what could have happened, instead of relying only on what did happen in the past. This is the best procedure we know of for describing the nature of uncertainty in financial markets. 3. Fits a three parameter lognormal distribution to the bootstrapped data to allow downside risk to be calculated from a continuous distribution. This improves the efficacy of the downside risk estimates. 4. Calculates upside potential and downside risk from monthly returns on any portfolio manager. 5. Calculates upside potential and downside risk from any user defined distribution. Forsey-Sortino Source Code: 1. The source code, written in Visual Basic 5.0, is provided for institutional investors who want to add these calculations to their existing financial services. 2. No royalties are required for this source code, providing institutions inform clients of the source of these calculations. A growing number of services are now calculating downside risk in a manner that we are not comfortable with. Therefore, we want investors to know when downside risk and upside potential are calculated in accordance with the methodology described in this book. Riddles Spreadsheet: 1. Neil Riddles, former Senior Vice President and Director of Performance Analysis at Templeton Global Advisors, now COO at Hansberger Global Advisors Inc., offers a free spreadsheet in excel format. 2. The spreadsheet calculates downside risk and upside potential relative to the returns on an index Brings together a range of relevant material, not currently available in a single volume source. Provides practical information on how financial organisations can use downside risk techniques and technological developments to effectively manage risk in their portfolio management. Provides a rigorous theoretical underpinning for the use of downside risk techniques. This is important for the long-run acceptance of the methodology, since such arguments justify consultant's recommendations to pension funds and other plan sponsors.
