Key Features
- Presents new insights about the investability and performance measurement of an investor’s final portfolio
- Uses most recently developed investable hedge fund indexes to revise previous analyses of indexes
- Focuses on 14 distinct types of hedge fund indices with daily data from January 1994 to December 2011
Description
This book will present a comprehensive view of the risk characteristics, risk-adjusted performances, and risk exposures of various hedge fund indices. It will distinguish itself from other books and journal articles by focusing solely on hedge fund indices and emphasizing tail risk as a predictor of hedge fund index returns. The three chapters in this short book have not been previously published.
Investing in Hedge Funds, 1st Edition
1. Introduction
1.1 What Are Hedge Funds?
1.2 The History and the Future
1.3 Academic Perspective
1.4 The Aim of the Book
2. Hedge Fund Strategies
2.1 Event Driven Strategies
2.2 Equity Hedge Strategies
2.3 Relative Value Strategies
2.4 Global Macro Strategies
2.5 Other Strategies
2.6 Fund of Hedge Funds
3. Hedge Fund Databases, Biases and Indices
3.1 Hedge Fund Data Biases
3.2 Hedge Fund Databases and Indices
3.3 Hedge Fund Index Return Distributions
3.3.1 Dow Jones Credit Suisse Hedge Fund Indices
3.3.2 Hedge Fund Research Hedge Fund Indices
4. Risk-Adjusted Performances of Hedge Fund Indices
4.1 Sharpe Ratio
4.2 Sortino Ratio
4.3 Return to VaR Ratio
4.4 Calmar Ratio
5. Determinants of Hedge Fund Index Returns
5.1 Predictability of Hedge Fund Index Returns by Moments of the Return Distribution
5.2 Predictability of Hedge Fund Index Returns by Exposures to Macroeconomic Risk Factors
