Funds of Hedge Funds: Performance, Assessment, Diversification, and Statistical Properties

Erscheinungsjahr 2006
ISBN: 978-0-7506-7984-8
Verlag: BUTTERWORTH HEINEMANN

Buch, Englisch, 496 Seiten, Format (B × H): 161 mm x 235 mm, Gewicht: 810 g

Reihe: Elsevier Professional Finance

With about $450 billion in assets, funds of hedge funds are the most recent darling of investors. While hedge funds carry high risk for the promise of high returns they are designed for the very rich and for large institutional investors such as pension funds. A Fund of Hedge Funds (FOF) spreads investments among a number of hedge funds to reduce risk and provide diversification, while maintaining the potential for higher than average returns. Odds are that some pension fund of yours is invested heavily in these products, and more recently these FOFs have been opened to more and more individual investors in offshore jurisdictions with lower minimum entry levels. Since this is a new and extremely fast-moving financial phenomenon, academic research has just begun in earnest, and this is the first book to present rigorous academic research by some of the leading lights in academic finance, carefully analyzing the broad array of issues involved in FOFs.

Zielgruppe

Primary audience: Researchers and academics in Finance.

Autoren/Hrsg.

Gregoriou, Greg N.

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere

Inhaltsverzeichnis

1 Rank alpha funds of hedge funds Carol Alexander and Anca Dimitriu2 Funds of hedge funds: bias and persistence in returns Daniel Capocci and Georgers Hübner3 Replication and evaluation of fund of funds returns 1994-2005 Harry M. Kat and Helder P. Palaro4 Factor decomposition of fund of funds returnsJean-François Bacmann, Pierre Jeanneret, and Stefan Scholz 5 Optimal fund of fund asset allocation: hedge funds, CTAs and REITs Nicolas Papageorgiou and Alain Elkaim6 The changing performance and factor risks of fund of funds in the modern period Keith H. Black7 Hedge fund indices: are they cost-effective alternatives to fund of funds?Kathryn Wilkens8 Simple hedge fund strategies as an alternative to funds of funds: evidence from large cap funds Greg N. Gregoriou, Georges Hübner, Nicolas Papageorgiou, and Fabrice Rouah9 Funds of funds of hedge funds: welcome to diworsificationFrançois-Serge Lhabitant and Nicolas Laporte10 Style analysis of funds of hedge funds: measurement of asset allocation and style driftAndreas Oehler and Oliver A. Schwindler11 Gains from adding funds of hedge funds to portfolios of traditional assets: An international perspective Niclas Hagelin, Bengt Pramborg, and Fredrik Stenberg12 Tactical asset allocation for hedge fund indices at one- to six-month horizonsLaurent Favre13 Single strategy funds of hedge funds: how many funds?Ryan J. Davies, Harry M. Kat, and Sa Lu 14 The distributional characteristics of fund of hedge fund returnsElaine Hutson, Margaret Lynch and Max Stevenson15 Funds of funds and diversification effect Maher Kooli16 Higher-moment performance characteristics of funds of fundsZsolt Berenyi17 The market risk of funds of hedge funds: a conditional approach Florent Pochon and Jérôme Teïletche18 Revisiting the Fama and French model: An application to funds of funds using nonlinear methodsEric Dubé, Clément Gignac and François Eric Racicot19 Investor's choice: an investor-driven, forward-looking optimization approach to fund of hedge fund constructionClemens H. Glaffig 20 Moments analysis in risk and performance monitoring of funds of hedge funds David K.C. Lee, Kok Fai Phoon, and Choon Yuan Wong21 An overview of funds of hedge fundsJean Brunel22 Institutional investment due diligence on funds of hedge funds John E. Dunn, III23 Synthetic CDO squares and the continuing evolution of funds of funds Paul Ali24 Natural resources fund of funds: essays on active management, risk management, and due diligence25 Identifying and monitoring risk in a fund of hedge funds portfolioMeredith A. Jones26 The wizardry of analytics for funds of fundsMary Fjelstad and Leola Ross 27 Quantitative hedge fund selection for fund of fundsStephan Joehri and Markus Leippold

Über Autor(innen)

Gregoriou, Greg N.
A native of Montreal, Professor Greg N. Gregoriou obtained his joint Ph.D. in finance at the University of Quebec at Montreal which merges the resources of Montreal's four major universities McGill, Concordia, UQAM and HEC. Professor Gregoriou is Professor of Finance at State University of New York (Plattsburgh) and has taught a variety of finance courses such as Alternative Investments, International Finance, Money and Capital Markets, Portfolio Management, and Corporate Finance. He has also lectured at the University of Vermont, Universidad de Navarra and at the University of Quebec at Montreal.

Professor Gregoriou has published 50 books, 65 refereed publications in peer-reviewed journals and 24 book chapters since his arrival at SUNY Plattsburgh in August 2003. Professor Gregoriou's books have been published by McGraw-Hill, John Wiley & Sons, Elsevier-Butterworth/Heinemann, Taylor and Francis/CRC Press, Palgrave-MacMillan and Risk Books. Four of his books have been translated into Chinese and Russian. His academic articles have appeared in well-known peer-reviewed journals such as the Review of Asset Pricing Studies, Journal of Portfolio Management, Journal of Futures Markets, European Journal of Operational Research, Annals of Operations Research, Computers and Operations Research, etc.

Professor Gregoriou is the derivatives editor and editorial board member for the Journal of Asset Management as well as editorial board member for the Journal of Wealth Management, the Journal of Risk Management in Financial Institutions, Market Integrity, IEB International Journal of Finance, and the Brazilian Business Review. Professor Gregoriou's interests focus on hedge funds, funds of funds, commodity trading advisors, managed futures, venture capital and private equity. He has also been quoted several times in the New York Times, Barron's, the Financial Times of London, Le Temps (Geneva), Les Echos (Paris) and L'Observateur de Monaco. He has done consulting work for numerous clients and investment firms in Montreal. He is a part-time lecturer in finance at McGill University, an advisory member of the Markets and Services Research Centre at Edith Cowan University in Joondalup (Australia), a senior advisor to the Ferrell Asset Management Group in Singapore and a research associate with the University of Quebec at Montreal's CDP Capital Chair in Portfolio Management. He is on the advisory board of the Research Center for Operations and Productivity Management at the University of Science and Technology (Management School) in Hefei, Anhui, China.